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arXiv research

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.

168,695 papers · 148 categories

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0111 · Nov 202019922001200920172026
2 results for “micro-trading”
Pattern recognition in micro-trading behaviors before stock price jumps: A framework based on multivariate time series analysisq-fin.ST

New framework analyzes pre-stock jump trading behaviors using multivariate time series analysis.

problem Understanding micro-trading behaviors before stock price jumps.
method Multivariate time series analysis considering temporal information.
result Identifies highly informative attributes for predicting price jumps.
stock price jumpsmicro-tradingmultivariate time seriestemporal informationtechnical indicators
2020-11-10abs ↗pdf ↗
Tail-Safe Stochastic-Control SPX-VIX Hedging: A White-Box Bridge Between AI Sensitivities and Arbitrage-Free Market Dynamicsq-fin.RM

A new framework for SPX and VIX hedging that combines AI and market dynamics.

problem Jointly hedging SPX and VIX exposures under transaction costs and regime shifts.
method Integrates an SSVI-based implied-volatility surface and a Cboe-compliant VIX computation with a control layer that enforces safety as constraints.
result Reduces expected shortfall while suppressing nuisance turnover in a reproducible synthetic environment.
hedge fundSPXVIXtransaction costsregime shifts
2025-10-09abs ↗pdf ↗