Research
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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.

169,291 papers · 148 categories

Trend · papers per month

count% of corpus
0.3%0.5%0.8%0.2% · Dec 201319922001200920182026
3 results for “no-dynamic-arbitrage”
Cross-impact and no-dynamic-arbitrageq-fin.TR

The study extends a framework to analyze cross-impact in multi-asset markets.

problem Analyzing cross-impact and no-dynamic-arbitrage in multi-asset markets.
method Deriving theoretical limits for cross-impact from the condition of absence of dynamical arbitrage, testing these constraints with data.
result Significant violations of cross-impact symmetry found, but not exploitable due to bid-ask spread.
cross-impactno-dynamic-arbitragemulti-asset marketsmarket impactsovereign bonds
2016-12-22abs ↗pdf ↗
Market Impact Paradoxesq-fin.TR

The market impact (MI) of Volume Weighted Average Price (VWAP) orders is a convex function of a trading rate, but most empirical estimates of transaction cost are concave functions. How is this possible? We show that isochronic (constant trading time) MI is slightly convex, and isochoric (constant trading volume) MI is…

2013-12-11abs ↗pdf ↗
Non-unique time and market incompletenessq-fin.TR

The paper challenges the assumption of a unique global time in financial markets, highlighting market incompleteness.

problem The assumption of a unique global time in financial markets is challenged.
method The paper contrasts event-time, renewal, point-process, and order-flow descriptions of financial markets.
result Non-uniqueness of time leads to a more foundational form of market incompleteness.
financial marketstimeincompletenessevent-drivenorder flow
2026-04-26abs ↗pdf ↗