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.
Paper models non-maturing deposits using a Lévy-driven Ornstein-Uhlenbeck process.
Bank deposits are analyzed as having dual characteristics, akin to quantum physics.
Analysis finds no evidence of banks managing deposit run risk prior to 2023 Regional Banking Crisis.
The definition of deposit substitutes in Philippine tax law fails to consider the maturity of a debt instrument. This makes it possible for long-term bonds to be considered as deposit substitutes if they meet the 20-lender rule, taxable at 20% final tax. However, long-term debt instruments cannot realistically function…
One of the most important applications of seismic reflection is the hydrocarbon exploration which is closely related to salt deposits analysis. This problem is very important even nowadays due to it's non-linear nature. Taking into account the recent developments in deep learning networks TGS-NOPEC Geophysical Company …
Dual ML approach predicts peak temperatures in AFSD, improving process optimization.
Commercial banks and other depository institutions in some countries are required to hold in reserve against deposits made by their customers at their Central Bank or Federal Reserve. Although some countries have been eliminated it, this requirement is useful as one of many Central Bank's regulation made to control rat…
We investigate the macroeconomic consequences of narrow banking in the context of stock-flow consistent models. We begin with an extension of the Goodwin-Keen model incorporating time deposits, government bills, cash, and central bank reserves to the base model with loans and demand deposits and use it to describe a fr…
This paper examines SVB's failure and its impact on bank stocks.
A computer vision approach improves neutral particle detection in particle flow algorithms.
We propose a simple model of the banking system incorporating a game feature where the evolution of monetary reserve is modeled as a system of coupled Feller diffusions. The Markov Nash equilibrium generated through minimizing the linear quadratic cost subject to Cox-Ingersoll-Ross type processes creates liquidity and …
In this paper, a novel architecture of Recurrent Neural Network (RNN) is designed and experimented. The proposed RNN adopts a computational memory based on the concept of stigmergy. The basic principle of a Stigmergic Memory (SM) is that the activity of deposit/removal of a quantity in the SM stimulates the next activi…
Study on Spanish households' investment choices in housing, deposits, and stocks.
Framework optimizes expensive manufacturing processes efficiently.
We present an extended version of the recently proposed "LLOB" model for the dynamics of latent liquidity in financial markets. By allowing for finite cancellation and deposition rates within a continuous reaction-diffusion setup, we account for finite memory effects on the dynamics of the latent order book. We compute…
We discuss the portfolio optimization problem with the obligatory deposits constraint. Recently it has been shown that as a consequence of this nonlinear constraint, the solution consists of an exponentially large number of optimal portfolios, completely different from each other, and extremely sensitive to any changes…
A hierarchical Bayesian classifier is trained at pixel scale with spectral data from the CRISM (Compact Reconnaissance Imaging Spectrometer for Mars) imagery. Its utility in detecting rare phases is demonstrated with new geologic discoveries near the Mars-2020 rover landing site. Akaganeite is found in sediments on the…
Study analyzes profitability and efficiency of Chinese banks, finding state-owned banks superior.
Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits plus a 3x6 months Forward Rate Agreement (FRA), and that Libor was a good proxy …
In order to scale transaction rates for deployment across the global web, many cryptocurrencies have deployed so-called "Layer-2" networks of private payment channels. An idealized payment network behaves like a Credit Network, a model for transactions across a network of bilateral trust relationships. Credit Networks …
Surface mount technology (SMT) is an enhanced method in electronic packaging in which electronic components are placed directly on soldered printing circuit board (PCB) and are permanently attached on PCB with the aim of reflow soldering process. During reflow process, once deposited solder pastes start melting, electr…
This paper studies a two-person trading game in continuous time that generalizes Garivaltis (2018) to allow for stock prices that both jump and diffuse. Analogous to Bell and Cover (1988) in discrete time, the players start by choosing fair randomizations of the initial dollar, by exchanging it for a random wealth whos…
An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and a binding exogenous portfolio constraint. We explicitly derive the optimal trading policy, its welfare, and implied tra…
RED-2400 is a public benchmark of trading events from a Solana exchange, labeled by algorithmic rejection.
Algorithm improves blockchain bridge efficiency.
We develop an axiomatic theory of balance functions (future value functions) in the theory of interest that is derived from financial considerations and which applies to general regulated payment streams, including continuous payment streams. Balance functions exist and are unique up to an initial choice of deposit and…
vOED-NFs uses normalizing flows to improve Bayesian OED without likelihood evaluations.
In this article we study the shape of a compact surface of constant mean curvature of Euclidean space whose boundary is contained in a round sphere. We consider the case that the boundary is prescribed or that the surface meets the sphere with a constant angle. We study under what geometric conditions the surface must …
Spectral analysis detects structural changes in financial networks.
In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book. The agents follow a noise decision making process where their actions are related to a s…
This research finds three meta-indicators for university rankings.
The paper calculates prices for multi-step barrier options under the Black-Scholes model.
The model of this paper gives a convenient strategy that a bank in the federal funds market can use in order to maximize its profit in a contemporaneous reserve requirement (CRR) regime. The reserve requirements are determined by the demand deposit process, modelled as a Brownian motion with drift. We propose a new mod…
We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will result in more risk being taken on by those financial entities than would otherwise be the case. Furthermore, the risks taken on by the regulated financial entities are far more systemically concentrate…
An exclusion particle model is considered as a highly simplified model of a limit order market. Its price behavior reproduces the well known crossover from over-diffusion (Hurst exponent H>1/2) to diffusion (H=1/2) when the time horizon is increased, provided that orders are allowed to be canceled. For early times a ma…
Jets from boosted heavy particles have a typical angular scale which can be used to distinguish them from QCD jets. We introduce a machine learning strategy for jet substructure analysis using a spectral function on the angular scale. The angular spectrum allows us to scan energy deposits over the angle between a pair …
We show that some pieces of cylinders bounded by two parallel straight-lines bifurcate in a family of periodic non-rotational surfaces with constant mean curvature and with the same boundary conditions. These cylinders are initial interfaces in a problem of microscale range modeling the morphologies that adopt a liquid…
Paper finds relations between Willmore-type energies, weighted areas, and vertical potential energies for cylindrical critical points.
We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis of data from the NYSE order book points out that traders' strategies contribute to this asymmetry. We also investigate this phenomenon in th…
Financial contagion from liquidity shocks has being recently ascribed as a prominent driver of systemic risk in interbank lending markets. Building on standard compartment models used in epidemics, in this work we develop an EDB (Exposed-Distressed-Bankrupted) model for the dynamics of liquidity shocks reverberation be…
We provide a bridge between generative modeling in the Machine Learning community and simulated physical processes in High Energy Particle Physics by applying a novel Generative Adversarial Network (GAN) architecture to the production of jet images -- 2D representations of energy depositions from particles interacting …
The prediction of the gas production from mature gas wells, due to their complex end-of-life behavior, is challenging and crucial for operational decision making. In this paper, we apply a modified deep LSTM model for prediction of the gas flow rates in mature gas wells, including the uncertainties in input parameters.…
Artificial intelligence offers the potential to automate challenging data-processing tasks in collider physics. To establish its prospects, we explore to what extent deep learning with convolutional neural networks can discriminate quark and gluon jets better than observables designed by physicists. Our approach builds…
As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking network model composed of banks and bank assets and propose a cascading failure model …
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask imbalance, the number of queuing limit orders, the activity (number and volume) of…
Study analyzes factors affecting profits in crypto liquidity provision.
Optimizes liquidity provision intervals for profitable AMM participation.
The main task in oil and gas exploration is to gain an understanding of the distribution and nature of rocks and fluids in the subsurface. Well logs are records of petro-physical data acquired along a borehole, providing direct information about what is in the subsurface. The data collected by logging wells can have si…