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.
This study found significant asymmetry between potential maximum gain and loss in asset returns, improving predictability and utility for investors.
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend. These empirical asymmetries predict that stock index drops are more common on a…
NFT royalties boost creator earnings by sharing risk, reducing info asymmetry, and enabling price discrimination.
Researchers have studied the first passage time of financial time series and observed that the smallest time interval needed for a stock index to move a given distance is typically shorter for negative than for positive price movements. The same is not observed for the index constituents, the individual stocks. We use …
We reinvestigate the "rockets and feathers" effect between retail gasoline and crude oil prices in a new framework of fractional integration, long-term memory and borderline (non-)stationarity. The most frequently used error-correction model is examined in detail and we find that the prices return to their equilibrium …
We consider a non-Gaussian option pricing model, into which the underlying log-price is assumed to be driven by an -stable distribution. We remove the a priori divergence of the model by introducing a Mellin regularization for the Lévy propagator. Using distributional and tools, we derive an analytic …
The paper analyzes financial market turbulence using mathematical physics.
A new pricing model from game theory fits financial data well.
Recent studies have revealed a number of striking dependence patterns in high frequency stock price dynamics characterizing probabilistic interrelation between two consequent price increments x (push) and y (response) as described by the bivariate probability distribution P(x,y) [1,2,3,4]. There are two properties, the…
Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a predefined level of return is obtained from (often detrended) historic asset prices. Such a distribution typically goes t…
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…
Previous research has shown that for stock indices, the most likely time until a return of a particular size has been observed is longer for gains than for losses. We establish that this so-called gain/loss asymmetry is present also for individual stocks and show that the phenomenon is closely linked to the well-known …
Quantum walk model captures asymmetry and bimodality in long-term financial returns.
Quantum walks model financial returns with flexibility and asymmetry.
Research shows that information asymmetry affects how quickly companies adjust their capital structure and expected returns.
The abstract discusses financial irreversibility using quantum mechanics and projective geometry.
Examines GARCH intensity model for risk-neutral option pricing.
Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill asymmetries. We show that certain properties of the conditional dynamics at a sing…
An empirical study of joint bivariate probability distribution of two consecutive price increments for a set of stocks at time scales ranging from one minute to thirty minutes reveals asymmetric structures with respect to the axes y=0, y=x, x=0 and y=-x. All four asymmetry patterns remarkably resemble a four-blade mill…
A framework for fair derivative contract pricing and risk-sharing between parties with funding differences.
QBVAR improves oil price forecasting across quantiles, especially for downside risk.
We point out a stunning time asymmetry in the short time cross correlations between intra-day and overnight volatilities (absolute values of log-returns of stock prices). While overnight volatility is significantly (and positively) correlated with the intra-day volatility during the \textit{following} day (allowing thu…
Leasing is a popular channel to market new cars. Pricing a leasing contract is complicated because the leasing rate embodies an expectation of the residual value of the car after contract expiration. To aid lessors in their pricing decisions, the paper develops resale price forecasting models. A peculiarity of the leas…
Innovative extensions to option pricing models using asymmetric Brownian motion and random walk approaches.
Bitcoin reacts positively to USDT minting but not burning, showing state-dependence.
Trading strategy advantage based on information asymmetry.
We detect and quantify asymmetries in volatility spillovers using the realized semivariances of petroleum commodities: crude oil, gasoline, and heating oil. During the 1987--2014 period we document increasing spillovers from volatility among petroleum commodities that substantially change after the 2008 financial crisi…
This paper uses spectrum analysis to understand price behavior in the Indian stock market.
We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the market have only partial observations, especially about the default threshold. Different information structures are dis…
Paper examines costs of using wrong price impact models in trading.
In recent publications, the authors have considered inverse statistics of the Dow Jones Industrial Averaged (DJIA) [1-3]. Specifically, we argued that the natural candidate for such statistics is the investment horizons distribution. This is the distribution of waiting times needed to achieve a predefined level of retu…
Study reveals asymmetry in market dynamics across different timescales.
In order to investigate the origin of large price fluctuations, we analyze stock price changes of ten frequently traded NASDAQ stocks in the year 2002. Though the influence of the trading frequency on the aggregate return in a certain time interval is important, it cannot alone explain the heavy tailed distribution of …
New model captures asymmetric rough volatility with Zumbach effect.
New measures detect asymmetries, non-linearity in stock returns.
We develop a probabilistic consumer choice framework based on information asymmetry between consumers and firms. This framework makes it possible to study market competition of several firms by both quality and price of their products. We find Nash market equilibria and other optimal strategies in various situations ra…
Researchers study spectral asymmetry using pseudodifferential projections on the massless Dirac operator.
Develops a new approach to spectral asymmetry using microlocal analysis.
We present the results of study of a possible relationship between the space weather and terrestrial markets of agricultural products. It is shown that to implement the possible effect of space weather on the terrestrial harvests and prices, a simultaneous fulfillment of three conditions is required: 1) sensitivity of …
Classical time series models forecast Bitcoin prices and volatility accurately.
The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work out the price impacts across a correlated financial market. We quantify the asymmetries of the distributions and of the market structures of …
This paper optimizes liquidity provision in automated market makers using auction theory.
Study shows how sentiment shocks affect equity markets, revealing asymmetries and state-dependent effects.
The inverse statistics is the distribution of waiting times needed to achieve a predefined level of return obtained from (detrended) historic asset prices \cite{optihori,gainloss}. Such a distribution typically goes through a maximum at a time coined the {\em optimal investment horizon}, , which defines the most…
Research builds an index measuring analysts' perception of informational asymmetry.
A new model optimizes portfolios by accounting for dynamic market conditions.
This paper uses Hawkes processes to forecast high-frequency order flow imbalance.
We discuss the pricing methodology for Bonus Certificates and Barrier Reverse-Convertible Structured Products. Pricing for a European barrier condition is straightforward for products of both types and depends on an efficient interpolation of observed market option pricing. Pricing products We discuss the pricing metho…