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.
This study models AI traders' impact on financial markets using a multi-agent framework.
We present an agent behavior based microscopic model that induces jumps, spikes and high volatility phases in the price process of a traded asset. We transfer dynamics of thermally activated jumps of an unexcited/ excited two state system discussed in the context of quantum mechanics to agent socio-economic behavior an…
A Kyle-inspired model with adaptive agents explains excess volatility and volatility clustering.
We provide a microfoundation for linear price impact models in a stationary market.
New method learns distribution shifts caused by predictive models in social computing.
We investigate an inhomogeneous Ising model in the context of tax evasion dynamics where different types of agents are parametrized via local temperatures and magnetic fields. In particular, we analyse the impact of backauditing and endogenously determined penalty rates on tax compliance. Both features contribute to a …
In this paper we sketch some reflections on the pitfalls and inconsistencies of the research program - currently dominant among the profession - aimed at providing microfoundations to macroeconomics along a Walrasian perspective. We argue that such a methodological approach constitutes an unsatisfactory answer to a wel…
New model of vague knowledge without strict partitions or transitivity.
The paper explores how AI trading agents' similar information representation can cause financial market instability.
Macroscopic price evolution models are commonly used for investment strategies. There are first promising achievements in defining microscopic agent based models for the same purpose. Microscopic models allow a deeper understanding of mechanisms in the market than the purely phenomenological macroscopic models, and thu…
Educational game on crypto investment helps students grasp macroeconomics.
When executing their orders, investors are proposed different strategies by brokers and investment banks. Most orders are executed using VWAP algorithms. Other basic execution strategies include POV (also called PVol) -- for percentage of volume --, IS -- implementation shortfall -- or Target Close. In this article ded…
Geometric theory explains substitutability in market outcomes based on production constraints.
Proposes a method to infer the distributional impacts of predictive models on stakeholders.
This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations consistent with observed business cycles. To this end, we seek to incorporate into the macroeconomic framework a dynamic stock market model …
Two models predict similar high-frequency price dynamics but differ in low-frequency impact strength.