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.
The square root of Fredholm determinants causes numerical instabilities in option pricing models.
Survival strategies in a market with self-determined prices are closely tied to log-optimal investment.
Method determines asset prices in incomplete markets to optimize portfolios.
This paper presents approaches to determine a network based pricing for 3D printing services in the context of a two-sided manufacturing-as-a-service marketplace. The intent is to provide cost analytics to enable service bureaus to better compete in the market by moving away from setting ad-hoc and subjective prices. A…
Much significant research has been done to investigate various facets of the link between Bitcoin price and its fundamental sources. This study goes beyond by looking into least to most influential factors-across the fundamental, macroeconomic, financial, speculative and technical determinants as well as the 2016 event…
Proposes a model for clearing prices in financial markets due to margin calls.
We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in the definition of relative price. The order placement process is determined by several empirical regularities: the long memory in order direc…
We consider a discrete-time approximation of paths of an Ornstein--Uhlenbeck process as a mean for estimation of a price of European call option in the model of financial market with stochastic volatility. The Euler--Maruyama approximation scheme is implemented. We determine the estimates for the option price for prede…
Price and return predictions are limited by economic complexity, not just volatility.
The problem of determining the European-style option price in the incomplete market has been examined within the framework of stochastic optimization. An analytic method based on the discrete dynamic programming equation (Bellman equation) has been developed that gives the general formalism for determining the option p…
Barrieu, Rouault, and Yor [J. Appl. Probab. 41 (2004)] determined asymptotics for the logarithm of the distribution function of the Hartman-Watson distribution. We determine the asymptotics of the density. This refinement can be applied to the pricing of Asian options in the Black-Scholes model.
It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American options for different strikes, we show how to construct a time-homogeneous stock pric…
We test whether the futures prices of some commodity and energy markets are determined by stochastic rules or exhibit nonlinear deterministic endogenous fluctuations. As for the methodologies, we use the maximal Lyapunov exponents (MLE) and a determinism test, both based on the reconstruction of the phase space. In par…
Study uses non-parametric method to analyze EU ETS price determinants.
A pricing formula for discount bonds, based on the consideration of the market perception of future liquidity risk, is established. An information-based model for liquidity is then introduced, which is used to obtain an expression for the bond price. Analysis of the bond price dynamics shows that the bond volatility is…
Study proposes a machine learning method to predict stock price crashes based on investor sentiment.
This paper models financial contagion with endogenously determined market liquidity.
We show how the prices of options can be determined with the help of double-fractional differential equation in such a way that their inclusion in a portfolio of stocks provides a more reliable hedge against dramatic price drops that the use of options whose prices were fixed by the Black-Scholes formula.
Second-order economic theory considers new variables to improve price volatility predictions.
We consider the problem of pricing derivatives written on some industrial loss index via utility indifference pricing. The industrial loss index is modelled by a compound Poisson process and the insurer can adjust her portfolio by choosing the risk loading, which in turn determines the demand. We compute the price of a…
This article presents valuation of Treasury Bonds (T-Bonds) on Macedonian Stock Exchange (MSE) and empirical test of duration, modified duration and convexity of the T-bonds at MSE in order to determine sensitivity of bonds prices on interest rate changes. The main goal of this study is to determine how standard valuat…
Equity default-swaps pay the holder a fixed amount of money when the underlying spot level touches a (far-down) barrier during the life of the instrument. While most pricing models give reasonable results when the barrier lies within the range of liquidly traded strikes of plain-vanilla option prices, the situation is …
We consider the problem of determining the Lévy exponent in a Lévy model for asset prices given the price data of derivatives. The model, formulated under the real-world measure , consists of a pricing kernel together with one or more non-dividend-paying risky assets driven by the same Lév…
Recent academic work has developed a method to determine, in real time, if a given stock is exhibiting a price bubble. Currently there is speculation in the financial press concerning the existence of a price bubble in the aftermath of the recent IPO of LinkedIn. We analyze stock price tick data from the short lifetime…
In this paper a simple model for the evolution of the forward density of the future value of an asset is proposed. The model allows for a straightforward initial calibration to option prices and has dynamics that are consistent with empirical findings from option price data. The model is constructed with the aim of bei…
Deep learning for financial derivatives pricing and hedging.
Consider the problem of pricing options on forwards in energy markets, when spot prices follow a geometric multi-factor model in which several rates of mean reversion appear. In this paper we investigate the role played by slow mean reversion when pricing and hedging options. In particular, we determine both upper and …
The common wisdom argues that, in general, large trades cause large price changes, while small trades cause small price changes. However, for extremely large price changes, the trade size and news play a minor role, while the liquidity (especially price gaps on the limit order book) is a more influencing factor. Hence,…
Global supply networks in agriculture, manufacturing, and services are a defining feature of the modern world. The efficiency and the distribution of surpluses across different parts of these networks depend on choices of intermediaries. This paper conducts price formation experiments with human subjects located in lar…
This paper analyzes a time-dependent CFMM called RMM-01, focusing on its pricing and stability.
Paper derives closed-form solutions for CEV model using semiclassical approximation.
A new method for pricing exchange options under stochastic volatility and jumps.
Modeling price dynamics in AMMs with fees using geometric Brownian motion.
In this paper, we determine a representative agent model based on risk-neutral information. The main idea is that the pricing kernel is transition independent, which is supported by the well-known capital asset pricing theory. Determining the representative agent model is closely related to the eigenpair problem of a s…
We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected value) and risk (a variance). In the ideal case without transaction costs the optimal strategy for any given agent is fou…
We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a "risk-free" asset, and the second axiom determines the intertemporal pricing rel…
We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian option), given a finite number of observed call prices for these maturities. A model-free approach is used, only taking into account that th…
For a given level of accuracy in option prices, the paper considers the problem of deciding when exactly, as one or more of the pricing parameters change, a barrier option degenerates into a simpler type of option. This problem is meaningful in the real world where option prices are always determined within a certain l…
We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations. Dynamical schemes modeling the convergence of the buyer's and of th…
A common assumption in financial engineering is that the market price for any derivative coincides with an objectively defined risk-neutral price - a plausible assumption only if traders collectively possess objective knowledge about the price dynamics of the underlying security over short time scales. Here we assume t…
Hidformer improves stock price prediction accuracy using Transformer techniques.
Develops a novel framework for pricing variance swaps in multi-asset stochastic volatility models.
We propose that predictability is a prerequisite for profitability on financial markets. We look at ways to measure predictability of price changes using information theoretic approach and employ them on all historical data available for NYSE 100 stocks. This allows us to determine whether frequency of sampling price c…
Statistical test rejects market efficiency using entropy from price returns.
Extended Jarrow-Rudd model with skewness and kurtosis for option pricing.
The true probability of a European call option to achieve positive return is investigated under the Black-Scholes model. It is found that the probability is determined by those market factors appearing in the BS formula, besides the growth rate of stock price. Our numerical investigations indicate that the biases of BS…
The assessment of co-movement among metals is crucial to better understand the behaviors of the metal prices and the interactions with others that affect the changes in prices. In this study, both Wavelet Analysis and VARMA (Vector Autoregressive Moving Average) models are utilized. First, Multiple Wavelet Coherence (M…
A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an independent random variable: all prices and quantities are considered to be stochastic p…