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 research introduces a control system for managing DeFi money supply.
This research improves DeFi interest rates using a PID control system.
An agent-based computational economical toy model for the emergence of money from the initial barter trading, inspired by Menger's postulate that money can spontaneously emerge in a commodity exchange economy, is extensively studied. The model considered, while manageable, is significantly complex, however. It is alrea…
MQLV uses Q-learning to optimize money management in retail banking.
PoPCoin aims to create a more equitable cryptocurrency.
Myopic optimization outperforms reinforcement learning in portfolio management, leading to lower returns and higher risks.
In this paper the multivariate fractional trading ansatz of money management from Ralph Vince (Portfolio Management Formulas: Mathematical Trading Methods for the Futures, Options, and Stock Markets, John Wiley & Sons, Inc., 1990) is discussed. In particular, we prove existence and uniqueness of an optimal f of the res…
New dataset and techniques detect money laundering patterns in crypto.
The paper suggests using derivatives instead of stocks for better utility and risk management.
In this paper the fractional trading ansatz of money management is reconsidered with special attention to chance and risk parts in the goal function of the related optimization problem. By changing the goal function with due regards to other risk measures like current drawdowns, the optimal fraction solutions reflect t…
Money is a technology for promoting economic prosperity. Over history money has become increasingly abstract, it used to be hardware, gold coins and the like, now it is mostly software, data structures located in banks. Here I propose the logical conclusion of the abstraction of money: to use as money the most general …
Optimizes real estate prices with dynamic strategies.
Bayesian and simulation methods predict credit default probabilities.
This review is about the convenience, the benefits, as well as the destructive capacities of money. It deals with various aspects of money creation, with its value, and its appropriation. All sorts of money tend to get corrupted by eventually creating too much of them. In the long run, this renders money worthless and …
Model studies money exchange stability in social networks.
The paper examines how decentralized credit curators have taken over risk management from traditional protocols.
Recently, in order to explore the mechanism behind wealth or income distribution, several models have been proposed by applying principles of statistical mechanics. These models share some characteristics, such as consisting of a group of individual agents, a pile of money and a specific trading rule. Whatever the trad…
A simple example shows that losing all money is compatible with a very high Sharpe ratio (as computed after losing all money). However, the only way that the Sharpe ratio can be high while losing money is that there is a period in which all or almost all money is lost. This note explores the best achievable Sharpe and …
Deep neural networks reduce loan portfolio risk.
Financial portfolio management is the process of constant redistribution of a fund into different financial products. This paper presents a financial-model-free Reinforcement Learning framework to provide a deep machine learning solution to the portfolio management problem. The framework consists of the Ensemble of Ide…
Money was invented to address the difficulty in the double coincidence of wants between the supply and demand when people exchanged their goods and services. There are two information states in society: one is the initial state that people have goods and services due to division of labor; the other is the final state t…
We have studied the statistical mechanics of money circulation in a closed economic system. An explicit statistical formulation of the circulation velocity of money is presented for the first time by introducing the concept of holding time of money. The result indicates that the velocity is governed by behavior pattern…
We consider a simple model of a closed economic system where the total money is conserved and the number of economic agents is fixed. In analogy to statistical systems in equilibrium, money and the average money per economic agent are equivalent to energy and temperature, respectively. We investigate the effect of the …
The distribution of money is analysed in connection with the Boltzmann distribution of energy in the degenerate states of molecules. Plots of the population density of income distribution for various countries are well reproduced by a Gamma function, confirming the validity of the statistical distribution at equilibriu…
In this paper the dependence of wealth distribution and the velocity of money on the required reserve ratio is examined based on a random transfer model of money and computer simulations. A fractional reserve banking system is introduced to the model where money creation can be achieved by bank loans and the monetary a…
We develop the first basic Operational Risk perspective on key risk management issues associated with the development of new forms of electronic currency in the real economy. In particular, we focus on understanding the development of new risks types and the evolution of current risk types as new components of financia…
In this model study of the commodity market, we present some evidence of competition of commodities for the status of money in the regime of parameters, where emergence of money is possible. The competition reveals itself as a rivalry of a few (typically two) dominant commodities, which take the status of money in turn…
This paper investigates and compares currency substitution between the currencies of Central and Eastern European (CEE) countries and the euro. In addition, we develop a model with microeconomic foundations, which identifies difference between currency substitution and money demand sensitivity to exchange rate variatio…
Optimizes Iron Condor portfolios for better risk and profit management.
The paper reveals the hidden costs of digitizing commodity money and proposes a new stable-coin system.
This Chapter reviews statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as random transfers of money between the agents in payment for goods and services. Starting from the initially equal distrib…
We present a dynamical many-body theory of money in which the value of money is a time dependent ``strategic variable'' that is chosen by the individual agents. The value of money in equilibrium is not fixed by the equations, and thus represents a continuous symmetry. The dynamics breaks this continuous symmetry by fix…
Log-ergodic model improves velocity of money prediction.
Taxonomies of cryptocurrencies and comparisons with fiat money and databases.
We briefly review statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as random transfers of money between the agents in payment for goods and services. We focus on conceptual foundations for this …
New GNN method detects money laundering in diverse customer relationships.
In our simplified description `wealth' is money (). A kinetic theory of gas like model of money is investigated where two agents interact (trade) selectively and exchange some amount of money between them so that sum of their money is unchanged and thus total money of all the agents remains conserved. The probabilit…
Implementing large-scale information and communication technology (IT) projects carries large risks and easily might disrupt operations, waste taxpayers' money, and create negative publicity. Because of the high risks it is important that government leaders manage the attendant risks. We analysed a sample of 1,355 publ…
We have studied here the self-organising features of the dynamics of a model market, where the agents `trade' for a single commodity with their money. The model market consists of fixed numbers of economic agents, money supply and commodity. We demonstrate that the model, apart from showing a self-organising behaviour,…
The determinants of the velocity of money have been examined based on life-cycle hypothesis. The velocity of money can be expressed by reciprocal of the average value of holding time which is defined as interval between participating exchanges for one unit of money. This expression indicates that the velocity is govern…
This is an invited article for the Discussion and Debate special issue of The European Physical Journal Special Topics on the subject "Can Economics Be a Physical Science?" The first part of the paper traces the personal path of the author from theoretical physics to economics. It briefly summarizes applications of sta…
The paper introduces a new risk statistic considering the time value of money.
Money analyzed as a multidimensional tensor for better economic policy.
We consider the at-the-money strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behavior of the slope for infinite activity exponential Lévy models including a Brownian component. As auxiliary results, we obtain asymptotic expansions of short maturity at-the-money digit…
The nature of monetary arrangements is often discussed without any reference to its detailed construction. We present a graph representation that allows for a clear understanding of modern monetary systems. First, we show that systems based on commodity money are incompatible with credit. We then study the current char…
Framework detects suspicious money laundering flows in large transaction graphs.
This paper compares modern portfolio theories and applies them to real-world portfolio selection.
Venice used 'helicopter money' to subsidize during famine and plague, but it caused instability.