On-device research index

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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3 results for “no-statistical-arbitrage”

A characterisation of cross-impact kernelsq-fin.TR

Investigates cross-impact kernels for financial asset prices.

problem Understanding and parameterizing cross-impact kernels for financial asset prices.

method Examined martingale-admissible and no-statistical-arbitrage-admissible kernels, determined their overlap, and provided calibration formulas.

result Identified the overlap between martingale-admissible and no-statistical-arbitrage-admissible kernels and provided formulas for their calibration.

cross-impact kernels financial asset prices martingales no-statistical-arbitrage SP500 futures

2021-07-19abs ↗pdf ↗

Statistical Arbitrage in the Black-Scholes Frameworkq-fin.MF

In this study we prove the existence of statistical arbitrage opportunities in the Black-Scholes framework by considering trading strategies that consists of borrowing from the risk free rate and taking a long position in the stock until it hits a deterministic barrier level. We derive analytical formulas for the expec…

2014-06-21abs ↗pdf ↗

Mean-Field Liquidation Games with Market Drop-outq-fin.MF

Study on liquidation games with market drop-out, proving unique equilibria.

problem Analyzing portfolio liquidation with market drop-out constraints.

method Proves existence and uniqueness of equilibria using integral equations.

result Existence and uniqueness of equilibria in both mean-field and finite-player games.

portfolio liquidation market drop-out mean-field games integral equations equilibrium

2023-03-10abs ↗pdf ↗