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.
Expands robust profit opportunities to include distributional uncertainty.
Optimizes insurance profits under regulatory constraints.
An arbitrage strategy allows a financial agent to make certain profit out of nothing, i.e., out of zero initial investment. This has to be disallowed on economic basis if the market is in equilibrium state, as opportunities for riskless profit would result in an instantaneous movement of prices of certain financial ins…
The study analyzes trading imbalances from SEC Form 13F-HR filings to identify profitable trading opportunities.
This short note provides a systematic construction of market models without unbounded profits but with arbitrage opportunities.
Paper uses GNNs to efficiently detect profitable triangular arbitrage opportunities.
Myopic investors make suboptimal choices that benefit others, leading to market inefficiencies.
DeepScalper uses RL to capture intraday trading opportunities, balancing risk and profit.
The paper investigates cyclic arbitrage opportunities in decentralized exchanges.
LARA forecasts financial asset trends by refining noisy labels and extracting profitable samples.
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise to arbitrage opportunities. We study these opportunities in a generic stochastic volatility model and exhibit the strateg…
New method finds profitable investment opportunities by considering additional financial variables.
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find intra-day variations in the number and length of arbitrage opportunities, with la…
Modeling fees impacts on arbitrage profits and LP losses in AMMs.
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing Model and the French-Fama three factor model. The evolving arbitrage opportunities are also studied by quantifying the…
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which only becomes known to the ordinary agents at date T, we give criteria for the No …
Real time bidding (RTB) enables demand side platforms (bidders) to scale ad campaigns across multiple publishers affiliated to an RTB ad exchange. While driving multiple campaigns for mobile app install ads via RTB, the bidder typically has to: (i) maintain each campaign's efficiency (i.e., meet advertiser's target cos…
Study increasing profits in a flexible financial market model.
In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits. By relying on the theory of progressive enlargement of filtrations, we explicitly show that no kind of arbitrage profit can ever be realised strictly…
The concept of absence of opportunities for free lunches is one of the pillars in the economic theory of financial markets. This natural assumption has proved very fruitful and has lead to great mathematical, as well as economical, insights in Quantitative Finance. Formulating rigorously the exact definition of absence…
This paper completes the analysis of Choulli et al. Non-Arbitrage up to Random Horizons and after Honest Times for Semimartingale Models and contains two principal contributions. The first contribution consists in providing and analysing many practical examples of market models that admit classical arbitrages while the…
New algorithm finds more arbitrage opportunities in DEXs.
For an investor with constant absolute risk aversion and a long horizon, who trades in a market with constant investment opportunities and small proportional transaction costs, we obtain explicitly the optimal investment policy, its implied welfare, liquidity premium, and trading volume. We identify these quantities as…
Hidden Markov model predicts profitable statistical arbitrage in Shanghai crude oil futures.
High-frequency trading strategy boosts battery storage profits.
We report on a technique based on multi-agent games which has potential use in the prediction of future movements of financial time-series. A third-party game is trained on a black-box time-series, and is then run into the future to extract next-step and multi-step predictions. In addition to the possibility of identif…
The study examines robust decision-making in volatile financial markets, finding action robustness is more impactful than uncertainty tolerance.
Modeling gas fee competition in decentralized exchanges to optimize arbitrage profits.
New pricing algorithm learns demand curves and optimizes prices in dynamic markets.
Blockchain MEV is unaffected by ordering changes.
Polymarket users exploit mispriced assets for profit.
This paper intends to present the opportunities emerging for the national economy, out of the financial crisis. In particular the management of those, which arise from the commercial real estate owned property sector, defined by the author as crisis heritage management. On one hand, as real estate property prices are s…
LLMs can collude in market divisions, maximizing profits.
In this study we prove the existence of statistical arbitrage opportunities in the Black-Scholes framework by considering trading strategies that consists of borrowing from the risk free rate and taking a long position in the stock until it hits a deterministic barrier level. We derive analytical formulas for the expec…
This paper analyzes arbitrage opportunities in Polymarket's NBA markets.
Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in a previous paper of ours, we prove the existence of investment opportunities producing an exponentiall…
Developed Forex trading heuristics with high profit potential.
Novel OTT method for cryptocurrency trading offers high annualized profit.
CREDIT learns to master pair trading with risk-aware RL, outperforming existing methods.
This study proposes a framework for identifying profitable trading opportunities based on volatility and causal relationships.
Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algorithms for constructing (ex-post) trading strategies that are optimal with respect to the total return, the Sterling ratio…
VolTS uses stats & ML to forecast stock market trends based on volatility.
The prospects of Kahneman and Tversky, Mega Million and Powerball lotteries, St. Petersburg paradox, premature profits and growing losses criticized by Livermore are reviewed under an angle of view comparing mathematical expectations with awards received. Original prospects have been formulated as a one time opportunit…
The optimal (`equilibrium') macroscopic properties of an economy with industries endowed with different technologies, commodities and one consumer are derived in the limit with fixed using the replica method. When technologies are strictly inefficient, a phase transition occurs upon increas…
Study uses RL to optimize crypto portfolios with two-sided transactions and lending.
Study confirms Indian stock market is weak form inefficient.
Firm financials are well established as return predictors, being the inspiration for a large set of anomalies in the asset pricing literature. Employing topological data analysis we revisit the question of association between seven of the most commonly studied financial ratios and stock returns. Specifically the TDA Ba…
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies based on the additional information. In this model market participants have access t…