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 study examines how choice of risk measure and volatility estimator affects procyclicality.
Automorphisms of pants complex are shown to be inner.
Neural-SDE model accurately simulates option risks.
Investors adjust spending based on a social norm, spending less during losses and more during gains.
We prove that the profinite completion of the fundamental group of a compact 3-manifold satisfies a Tits alternative: if a closed subgroup does not contain a free pro- subgroup for any , then is virtually soluble, and furthermore of a very particular form. In particular, the profinite completion of th…
Since exchange economy considerably varies in the market assets, asset prices have become an attractive research area for investigating and modeling ambiguous and uncertain information in today markets. This paper proposes a new generative uncertainty mechanism based on the Bayesian Inference and Correntropy (BIC) tech…
Modeling bank leverage dynamics to understand systemic risk in financial markets.
Since the beginning of the new millennium, stock markets went through every state from long-time troughs, trade suspensions to all-time highs. The literature on asset pricing hence assumes random processes to be underlying the movement of stock returns. Observed procyclicality and time-varying correlation of stock retu…
Modeling financial systemic risk with optimal control theory for stability.
We explore a model of the interaction between banks and outside investors in which the ability of banks to issue inside money (short-term liabilities believed to be convertible into currency at par) can generate a collapse in asset prices and widespread bank insolvency. The banks and investors share a common belief abo…
Study asset pricing with reference-dependent preferences, finding matching equity premia.
Study automorphisms of profinite mapping class groups for surfaces with negative Euler characteristic.
Effective risk control must make a tradeoff between the microprudential risk of exogenous shocks to individual institutions and the macroprudential risks caused by their systemic interactions. We investigate a simple dynamical model for understanding this tradeoff, consisting of a bank with a leverage target and an unl…
Credit risk management in Italy is characterized, in the period June 2008 to June 2012, by frequent (frequency=0.5 cycles per year) and intense (peak amplitude: mean=39.2 billion Euros, s.e.=2.83 billion Euros) quarterly contractions and expansions around the mean (915.4 billion Euros, s.e.=3.59 billion Euros) of the n…