Research shows SBP's tone impacts stock market returns positively or negatively.
problem Impact of State Bank of Pakistan's monetary policy communications on stock market.
method Sentiment analysis and high frequency stock market returns analysis.
result Positive or negative tone in SBP communications affects stock returns positively or negatively.
Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We construct stock trading networks based on the limit order book data and classify traders into k classes using the k-shell decomposition m…
The paper examines how price impact influences optimal investment, demand, and arbitrage in a competitive market.
problem The impact of price impact on optimal investment, demand, and arbitrage in a competitive market.
method Analyzes the effects of price impact on optimal policies, pricing rules, and demand schedules for contingent claims.
result Price impact leads to constrained trading and non-linear hedging costs, affecting arbitrage opportunities and equilibrium positions.
Optimizes Ethena's yield strategy by controlling stETH and ETH futures positions.
problem Maximizes Ethena's yield while managing price impacts.
method Formulates and solves stochastic control problems for Ethena's yield-generating strategy.
result Explicitly determines optimal control rates for stETH and ETH futures.
We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquidation occurs in a disorderly manner and negatively impacts the market price of the asset. We consider the perspective of small investors whos…
We consider a model for linear transient price impact for multiple assets that takes cross-asset impact into account. Our main goal is to single out properties that need to be imposed on the decay kernel so that the model admits well-behaved optimal trade execution strategies. We first show that the existence of such s…
Modeling market makers' quoting strategies to understand price impact.
problem Understanding how price impact arises from market makers' quoting strategies.
method Modeling market making as a dynamic auction using Stochastic Differential Games and finding Nash Equilibrium.
result The price impact function derived from market makers' strategies matches the Almgren-Chriss model.
Agent hedges non-tradable risk with traded asset, accounting for cross-impact and risk aversion.
problem Hedging non-tradable risks with transaction costs and price impact.
method Solving stochastic control problem to derive optimal hedging strategy.
result Closed-form expressions for optimal hedging strategies under different exposure conditions.
In the over-the-counter market in derivatives, we sometimes see large numbers of traders taking the same position and risk. When there is this kind of concentration in the market, the position impacts the pricings of all other derivatives and changes the behaviour of the underlying volatility in a nonlinear way. We mod…
We study the problem of what causes prices to change. We define the mechanical impact of a trading order as the change in future prices in the absence of any future changes in decision making, and its it informational impact as the remainder of the total impact once mechanical impact is removed. We introduce a method o…
Study optimal liquidation under high risk aversion and small price impact.
problem Optimal liquidation of options under high risk aversion and linear price impact.
method Analyzes Bachelier model with linear price impact, computes utility indifference prices, and finds asymptotically optimal portfolios.
result Establishes a scaling limit for vanishing price impact and computes corresponding utility indifference prices.
Model predicts and optimizes trading of electricity price spreads across multiple zones.
problem Forecasting and optimizing day-ahead versus real-time price spreads in U.S. electricity markets.
method Unified statistical model for positive and negative spikes, structural price impact model based on bid stacks.
result Optimal trading strategy improves risk-return profile and highlights market heterogeneity.
This paper deals with an optimal position management problem for a market maker who has to face uncertain customer order flows in an illiquid market, where the market maker's continuous trading incurs a stochastic linear price impact. Although the execution timing is uncertain, the market maker can also ask its OTC cou…
Model shows how price impact and transaction costs affect trading behavior and profits.
problem Analyzing trading behavior and profits in markets with transaction costs and price impact.
method Proves the existence of an equilibrium in a model with transaction costs and price impact.
result Existence of a strictly positive optimal transaction cost from the exchange's perspective.
The paper uses SVAR modeling to analyze how demographic changes affect the current account and economic growth.
problem The impacts of demographic changes on the current account and economic growth.
method SVAR modeling to track dynamic impacts between population growth, current account, and economic growth.
result The long-run net impact on economic growth of the domestic working population growth and demand labor for emigrants is positive.
The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive positive and negative daily price changes, and test the dependence of the price impact…
Anti-ELAB protests affected Hong Kong firms' stock prices, especially those linked to pan-democrats.
problem Impact of anti-ELAB protests on Hong Kong firms' stock prices.
method Daily protesting intensity measured by number of protestors from 2019/6/6 to 2020/1/17; analyzed stock price changes of firms.
result Anti-ELAB protests negatively affected firms linked to pan-democrats, positively affected red chips.
Paper introduces impact curves for evaluating binarized regression models with varying costs.
problem Evaluating binarized regression models with varying costs and instance-specific utility.
method Proposes impact curves to optimize binary decisions across different utilities.
result Impact curves identify conditions where one model is favored over another and quantify model improvement.
Develops SPT with price impact, deriving formulas for wealth and arbitrage conditions.
problem Tackles price impact in high-dimensional markets.
method Incorporates nonlinear price impact and impact decay models.
result Derives master formula for trading strategies and wealth dynamics.
Revisits multivariate Kyle model, proving unicity of impact matrix.
problem Calibrating cross-impact matrices in market microstructure.
method Risk-neutral setting with a rational insider and market maker, proving unicity of impact matrix.
result Unicity of symmetric, positive definite solution for impact matrix.
We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a deterministic part increasing with execution volume and a positive stochastic noise pa…
The paper analyzes optimal stock position-building strategies in competitive markets.
problem Optimal stock position-building in competitive markets with market impact.
method Developed a game-theoretic framework to find best-response strategies.
result Closed-form solutions for equilibrium trading strategies were derived.
Investment strategies involving cryptocurrencies and VIX INDEX show positive impact in market performance.
problem Investment strategies involving cryptocurrencies and VIX INDEX.
method Parameter estimation on raw data, comparison of two different portfolios, and analysis of different market conditions.
result VIX INDEX positively impacts the investment portfolio of cryptocurrencies in both standard and downward markets.
Develops a new criterion for subgroup fairness in algorithmic decision support.
problem Identifying fair recommendations in algorithms despite group-level differences.
method IJDI criterion and IJDI-Scan approach to detect and mitigate disparities.
result Identifies significant disparities in recommendations across subpopulations.
This study examines how DEXs impact traders' behavior in perpetual futures contracts.
problem Understanding trader behavior in decentralized exchanges.
method Categorizing DEX models and analyzing their impact on trading patterns.
result DEXs, particularly those using VAMM, show differential effects on long and short positions.
We study a multiplicative transient price impact model for an illiquid financial market, where trading causes price impact which is multiplicative in relation to the current price, transient over time with finite rate of resilience, and non-linear in the order size. We construct explicit solutions for the optimal contr…
Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions are considered. The solution of the paradox lies in the non-constant nature of re…
Study shows environmental spending positively impacts company profitability.
problem Impact of environmental spending on company profitability.
method Panel data regression analysis using E-Views.
result Environmental spending positively impacts profitability metrics.
New analysis shows PE in Transformers increases generalization gap and vulnerability.
problem Understanding the impact of PE on Transformer generalization and robustness.
method Generalization analysis and adversarial Rademacher bounds for a single-layer Transformer with trainable PE.
result PE systematically enlarges the generalization gap and makes models more vulnerable to attacks.
Study optimal liquidation strategies on Uniswap v2/v3 considering price impact.
problem Optimal liquidation of large positions on Uniswap v2/v3 under transient price impact.
method Dynamic programming and numerical approximation for Uniswap v3, closed-form solutions for v2.
result Obtained optimal strategies for both Uniswap v2 and v3, showing how liquidity profile influences them.
We propose a general framework to describe the impact of different events in the order book, that generalizes previous work on the impact of market orders. Two different modeling routes can be considered, which are equivalent when only market orders are taken into account. One model posits that each event type has a te…
Study examines impact of capital structure on Indian auto companies' profitability.
problem Understanding the impact of capital structure on profitability of Indian auto companies.
method Used fixed and random effect models with 10 years of data from 17 companies.
result Optimal capital structure improves company performance and maintains capital adequacy.
Oil prices affect Russian banks' stability, with negative impacts from decreases.
problem The impact of international oil prices on Russian public banks' financial stability.
method Data from 17 Russian public banks (2008-2016), Pool Mean Group (PMG) estimator.
result An increase in international oil prices and price to book value ratio positively affects Russian public banks' stability in the long run, while negative shocks have the opposite effect.
Optimal investment strategy with price impact model.
problem Maximizing expected utility from liquidation wealth with price impact.
method Price impact model accounting for market depth, liquidity costs, and convexity. Singular optimal stochastic control problem reduced to deterministic optimal tracking problem.
result Explicit solution constructed, free boundaries described, optimal trading strategy identified.
The study shows interest rates impact investment and funding negatively but positively on dividend decisions.
problem The effect of interest rates on financial decisions like investment, funding, and dividend.
method Correlation coefficient analysis and descriptive methods.
result Interest rates have a negatively insignificant effect on investment and funding decisions, but positively moderate effect on dividend decisions.
New model shows negative resilience can improve trading efficiency.
problem Optimal trade execution in limit order books with negative resilience.
method Stochastic order book model with negative resilience.
result Negative resilience can lead to more efficient trading.
Study on positive scalar curvature and its impact on Ricci limit spaces.
problem The influence of uniformly positive scalar curvature on Ricci limit spaces.
method Investigates uniformly positive scalar curvature on non-collapsed Ricci limit spaces.
result Proves a limit space splits at most n-2 lines or R-factors.
We consider the optimal trade execution strategies for a large portfolio of single stocks proposed by Almgren (2003). This framework accounts for a nonlinear impact of trades on average market prices. The results of Almgren (2003) are based on the assumption that no shares of assets per unit of time are trade at the be…
Based on the order flow data of a stock and its warrant, the immediate price impacts of market orders are estimated by two competitive models, the power-law model (PL model) and the logarithmic model (LG model). We find that the PL model is overwhelmingly superior to the LG model, regarding the robustness of the estima…
The paper classifies trades into types based on proximity and measures their impact on stock prices.
problem Understanding the impact of high-frequency trades on stock prices and their predictability.
method Classifies trades into five types based on proximity, measures conditional order imbalance (COI), and develops trading strategies.
result Strong positive correlations between contemporaneous returns and COIs, and positive associations with future returns for isolated trades.
The practice of valuation by marking-to-market with current trading prices is seriously flawed. Under leverage the problem is particularly dramatic: due to the concave form of market impact, selling always initially causes the expected leverage to increase. There is a critical leverage above which it is impossible to e…
Study finds dividend payout policy positively impacts firm profitability.
problem Determining the optimal dividend payout ratio and its effect on financial performance.
method Panel data analysis of 60 Indian listed firms over 10 years, using ROA as a proxy for profitability.
result Positive and significant relationship between dividend payout policy and firm performance.
Study shows financial literacy, social capital, and financial tech positively impact financial inclusion of Indonesian students.
problem Financial literacy, social capital, and financial technology's impact on financial inclusion of Indonesian students.
method Quantitative research using questionnaires distributed to 100 students from 7 private colleges in Tangerang, Indonesia.
result Financial literacy, social capital, and financial technology have a positive and significant influence on financial inclusion.
Study shows randomized strategies can't be Nash equilibria in markets with transient price impact.
problem Existence of pure Nash equilibria in markets with transient price impact.
method Considered randomized strategies and showed that they cannot be Nash equilibria.
result Nash equilibria cannot contain randomized strategies.
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival times of a Poisson process. The criterion to be optimised consists in maximising…
A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behaviors are observed for the return variance σ2, the price impact H and the predictability K for both models with linear and square root impact functions. The sum of the traders' wealth displays a positive v…
The paper applies thermodynamics to financial markets to prove no-arbitrage constraints.
problem No arbitrage in financial markets under price impact.
method Stochastic thermodynamics applied to financial trading cycles.
result Proves any round-trip trading strategy yields non-positive expected profit.
Study uses social media to analyze COVID-19 impact.
problem Understanding the global impact of COVID-19.
method Machine learning and linguistic tools to analyze social media posts.
result Automatic detection of positive reports of COVID-19.