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.
TradeMech nets trades without changing counterparty relationships.
This study assesses risk concentration in MDB portfolios using Monte Carlo simulations.
We study the impact of central clearing of over-the-counter (OTC) transactions on counterparty exposures in a market with OTC transactions across several asset classes with heterogeneous characteristics. The impact of introducing a central counterparty (CCP) on expected interdealer exposure is determined by the tradeof…
This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be either internalizing or regular, either a hedge fund or a brokery agency. The spe…
We present a Bayesian tensor factorization model for inferring latent group structures from dynamic pairwise interaction patterns. For decades, political scientists have collected and analyzed records of the form "country took action toward country at time "---known as dyadic events---in order to form an…
We investigate the role of networks of alliances in preventing (multilateral) interstate wars. We first show that, in the absence of international trade, no network of alliances is peaceful and stable. We then show that international trade induces peaceful and stable networks: trade increases the density of alliances s…
We present a study of price impact in the over-the-counter credit index market, where no limit order book is used. Contracts are traded via dealers, that compete for the orders of clients. Despite this distinct microstructure, we successfully apply the propagator technique to estimate the price impact of individual tra…
Paper introduces Cycles Protocol to integrate trade credit into market clearing.
Feature Selection (FS) plays an important role in learning and classification tasks. The object of FS is to select the relevant and non-redundant features. Considering the huge amount number of features in real-world applications, FS methods using batch learning technique can't resolve big data problem especially when …
Study models opaque financial markets using multi-agent simulation.
CDFD analyzes circularity and directionality in weighted directed networks.
This paper examines how regional trade agreements affect global trade relationships.