A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Proposes a diagnostic method to evaluate factor models using cap-axis integrals.
Proposes a diagnostic method to evaluate factor models using cap-axis integrals.
We consider the problem of robustly maximizing the growth rate of investor wealth in the presence of model uncertainty. Possible models are all those under which the assets' region and instantaneous covariation are known, and where additionally the assets are stable in that their occupancy time measures converg…
Cryptocurrencies are ranked for efficiency using a new Complexity-Entropy Plane.
Open markets are a subset of equity markets with fixed top stocks, changing over time.
Study reveals that cryptocurrency price variations follow power-law distributions, influenced by age and market capitalization.
Study shows how market firm capitalization models converge to stochastic PDE solutions.
The paper analyzes equity market dynamics and optimal portfolios using time-varying optimization.
Monopoly breakup impacts AT&T and AMX's market value by 65% and 32%.
Membership in the Russell 1000 and 2000 Indices is based on a ranking of market capitalization in May. Each index is separately value weighted such that firms just inside the Russell 2000 are comparable in size to firms just outside (i.e. at the bottom of the Russell 1000) but have much higher index weights. These feat…
Study analyzes price change patterns across different market capitalizations using Markov chains.
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic law. It supports the possibility that the tail exponents are universal at least for mature markets in the sense that th…
Study shows survivorship bias inflates returns in India's small-cap index.
Derives a new formula for measuring risk aversion in markets.
Study uses VC correlation to uncover directional financial relationships.
We introduce polynomial processes in the sense of [8] in the context of stochastic portfolio theory to model simultaneously companies' market capitalizations and the corresponding market weights. These models substantially extend volatility stabilized market models considered by Robert Fernholz and Ioannis Karatzas in …
Study shows long-term debt impacts financial growth of non-financial firms listed at Nairobi Securities Exchange.
Study assesses short-term debt's impact on non-financial firms' financial growth.
This paper investigates the scaling dependencies between measures of "activity" and of "size" for companies included in the FTSE 100. The "size" of companies is measured by the total market capitalization. The "activity" is measured with several quantities related to trades (transaction value per trade, transaction val…
The paper discusses decades of stock market manipulation and its benefits.
Study finds billing codes at IPO boost digital health companies' financial performance.
The cryptocurrency market surpassed the barrier of \$100 billion market capitalization in June 2017, after months of steady growth. Despite its increasing relevance in the financial world, however, a comprehensive analysis of the whole system is still lacking, as most studies have focused exclusively on the behaviour o…
This study assesses how share capital affects financial growth of non-financial firms listed at NSE.
Gradient boosting detects insider purchases predicting abnormal returns in microcap stocks.
Cryptocurrencies evolve through survival of the fittest, modeled with evolutionary finance.
Cryptocurrency patterns stable across market caps, validated by microstructure theory.
The goal of this paper is to explore the relationship between momentum effects and liquidity in cryptocurrency markets. Portfolios based on momentum-liquidity bivariate sorts are formed and rebalanced on a varying number of cryptocurrencies through time. We find a strong momentum effect in the most liquid cryptocurrenc…
Portfolio managers are typically constrained by turnover limits, minimum and maximum stock positions, cardinality, a target market capitalization and sometimes the need to hew to a style (such as growth or value). In addition, portfolio managers often use multifactor stock models to choose stocks based upon their respe…
We empirically show the superiority of the equally weighted S\&P 500 portfolio over Sharpe's market capitalization weighted S\&P 500 portfolio. We proceed to consider the MaxMedian rule, a non-proprietary rule designed for the investor who wishes to do his/her own investing on a laptop with the purchase of only 20 stoc…
Model predicts S&P 500 IT sector index prices with high accuracy.
It is customary that when security prices fully reflect all available information, the markets for those securities are said to be efficient. And if markets are inefficient, investors can use available information ignored by the market to earn abnormally high returns on their investments. In this context this paper tri…
Over the past half-century, the empirical finance community has produced vast literature on the advantages of the equally weighted S\&P 500 portfolio as well as the often overlooked disadvantages of the market capitalization weighted Standard and Poor's (S\&P 500) portfolio (see \cite{Bloom}, \cite{Uppal}, \cite{Jacobs…
The validity of the Efficient Market Hypothesis has been under severe scrutiny since several decades. However, the evidence against it is not conclusive. Artificial Neural Networks provide a model-free means to analize the prediction power of past returns on current returns. This chapter analizes the predictability in …
We present a broad agenda for meaningful banking regulation reform aiming the creation of evolutive competitive environment to maximize the effectiveness of international financial system through the introduction of fair competition process among the banks in free market capitalism. We assume that the international fin…
We introduce a pathwise approach to analyze the relative performance of an equity portfolio with respect to a benchmark market portfolio. In this energy-entropy framework, the relative performance is decomposed into three components: a volatility term, a relative entropy term measuring the distance between the portfoli…
We provide evidence that cumulative distributions of absolute normalized returns for the American companies with the highest market capitalization, uncover a critical behavior for different time scales . Such cumulative distributions, in accordance with a variety of complex --and financial-- systems, can be m…
Study examines revenue from scam tokens on Ethereum, revealing key characteristics and market factors.
Study macroscopic equity market properties affecting active strategies.
Unified framework combines views and optimization for better portfolio management.
Study reveals the 2020 U.S. stock crash was endogenous, not caused by COVID.
Optimization methods are used to determine equilibria of investment in cryptocurrencies. The basic assumptions involve existence of a core group (the "wealthy") that fears the loss of substantial assets through government seizure. Speculators constitute another group that tends to introduce volatility and risk for the …
Using detailed statistical analyses of the size distribution of a universe of equity exchange-traded funds (ETFs), we discover a discrete hierarchy of sizes, which imprints a log-periodic structure on the probability distribution of ETF sizes that dominates the details of the asymptotic tail. This allows us to propose …
Useful alpha returns vanished in modern stock markets.
We introduce a new system of stochastic differential equations which models dependence of market beta and unsystematic risk upon size, measured by market capitalization. We fit our model using size deciles data from Kenneth French's data library. This model is somewhat similar to generalized volatility-stabilized model…
Using available data from the New York stock market (NYSM) we test four different bi-parametric models to fit the correspondent volume-price distributions at each -minute lag: the Gamma distribution, the inverse Gamma distribution, the Weibull distribution and the log-normal distribution. The volume-price data, whi…
Consider an equity market with stocks. The vector of proportions of the total market capitalizations that belong to each stock is called the market weight. The market weight defines the market portfolio which is a buy-and-hold portfolio representing the performance of the entire stock market. Consider a function th…
Estimates crypto risk premia using hidden factors and finds significant integration with traditional markets.
This paper proposes new GARCH models for cryptocurrency volatility, showing skewed distributions improve prediction accuracy.