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.
PRIME models cryptocurrency exchange market impact.
Fundamental portfolio beats market portfolio under certain conditions.
We first investigate the evolution of opening and closing auctions volumes of US equities along the years. We then report dynamical properties of pre-auction periods: the indicative match price is strongly mean-reverting because the imbalance is; the final auction price reacts to a single auction order placement or can…
The paper explains stock market predictability through a model of heterogeneous beliefs.