LG algorithm finds profitable trading paths in decentralized exchanges.
problem Identifying optimal trading paths in decentralized exchanges.
method Line-graph-based algorithm (LG) for efficient route discovery.
result LG consistently identifies more profitable paths than DFS with comparable costs.
New algorithm finds more arbitrage opportunities in DEXs.
problem Detecting arbitrage loops and non-loops in decentralized exchanges.
method Combining line graph and modified Moore-Bellman-Ford algorithm.
result Found more arbitrage loops and non-loops compared to existing methods.
Generative model improves intraday electricity price forecasting.
problem Intraday electricity price forecasting for improved trading strategies.
method Generative neural network model for probabilistic path forecasts.
result Generative model leads to higher profit gains than benchmark methods.
Following a hedging based approach to model free financial mathematics, we prove that it should be possible to make an arbitrarily large profit by investing in those one-dimensional paths which do not possess local times. The local time is constructed from discrete approximations, and it is shown that it is α-Hölder …
We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price trajectory, we give a pathwise presentation of the replication of European options. The continuity properties of rough-paths allow us to generali…
New method decomposes profits and losses continuously, avoiding discrete reporting issues.
problem Analyzing profits and losses at discrete dates ignores detailed paths.
method Constructs a large class of continuous-time decompositions using extended Itô's formula.
result Identifies a preferred decomposition from exactness, symmetry, and normalization axioms.
This study optimizes currency arbitrage using quantum computing methods.
problem Optimizing profitable trading routes in currency markets.
method Quantum Annealing, QAOA, and Constraint Mapping.
result Quantum computing techniques enhance the identification of optimal arbitrage paths.
Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this paper, we examine the pricing and hedging of contract both from the perspective of the hedger and the counterparty with arbitrary initial end…
A model-free method analyzes trading strategies using excursion paths.
problem Analyzing risk and return for dynamic trading strategies without probabilistic assumptions.
method Pathwise analysis of trading signals using δ-excursions.
result Continuous paths can be uniquely decomposed into δ-excursions.
A method for predicting profit and loss distributions of complex financial portfolios using neural networks.
problem Predicting profit and loss distributions for portfolios with non-linear and path-dependent derivatives.
method Least Square Monte Carlo algorithm with a feed forward neural network for interpolation of continuation values.
result Flexible and automatic accounting of multiple assets in financial portfolios.
Lazy, perfectly informed investors trade infrequently due to costs.
problem The paradox of an omniscient yet lazy investor trading infrequently.
method Formalized the paradox using geometric and fractional Brownian motion models, derived closed-form profit functions, and proved existence and uniqueness of the optimal trading frequency.
result The optimal trading frequency can be interpreted through the fractal dimension of the price path.
Study on liquidity providers' performance in decentralized exchanges.
problem Unclear profitability of liquidity providers in decentralized exchanges.
method Reconstructing LP PnL dynamics from on-chain events, introducing a new metric.
result Only about one out of six LPs avoids losses, suggesting open questions about LP participation motives.
We use a control framework to analyze the digital vendor's profit maximization problem. The vendor captures market share by focusing costly effort on post-launch product maintenance, which influences user perception of the product and drives a revenue stream associated with product use. Our theoretical results show nec…
MOBONS optimizes complex systems with multi-objective Bayesian optimization.
problem Balancing multiple objectives in networked systems with varying model types.
method Leverages network representations and Bayesian optimization for grey-box systems.
result Efficiently optimizes general function networks with cyclic dependencies.
Endogenous randomness emerges from adversarial market learning.
problem Market randomness
method Deterministic adversarial market model
result Out-of-sample profitability collapses to zero.
New method finds profitable investment opportunities by considering additional financial variables.
problem Finding trading strategies that outperform the market with high probability.
method Generalizing functionally generated portfolios to include continuous-path semimartingales.
result Inclusion of additional processes can reduce time horizons for profitable arbitrage opportunities.
The study compares profitability of conventional and Islamic banks in Bangladesh.
problem Evaluating profitability of commercial banks in Bangladesh.
method Examined bank-specific, industry-specific, and banking system factors on profitability.
result Islamic banks consistently outperform conventional banks in profitability.
The profitability of CPMMs is significantly impacted by mint and burn fees.
problem Understanding the profitability of decentralized exchanges.
method Formalized liquidity providers' profitability conditions, studied the effect of mint and burn fees, and compiled a large data set from Uniswap V2 transactions.
result The profitability of liquidity provision is severely affected by mint and burn costs.
Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this paper, we examine the pricing and hedging of contract both from the perspective of the hedger and the counterparty with arbitrary initial end…
Fossil power firms have recently profited more than renewables, but this may be a temporary phenomenon.
problem The profitability gap between renewable and fossil power firms in Europe.
method Machine-learning clustering and Bayesian model averaging.
result Renewable power firms are becoming more profitable, while fossil power firms are becoming less so.
This paper introduces strategies to maximize arbitrage profits in decentralized exchanges.
problem Maximizing profits from arbitrage loops in decentralized exchanges.
method Three strategies: MaxPrice, MaxMax, and Convex Optimization.
result The Convex Optimization strategy yields the highest monetized arbitrage profit in theory and practice.
Breaks circular dependency in synthetic option pricing with a novel model.
problem Circular dependency in implied volatility limits synthetic data for machine learning and risk analysis.
method Uses a Jump-Hidden Markov Model to generate price paths and a modified Heston process to convert paths into implied volatility.
result Framework generates realistic synthetic American option prices without external calibration.
Marxism's rate of profit thesis rejected as illogical.
problem Marxism's rate of profit thesis is challenged as illogical.
method Rejects Marx's thesis on the long-term tendency of the rate of profit to fall.
result Marxism's rate of profit thesis is rejected as illogical.
Equations track profits and losses in trading algorithms.
problem Evaluating the performance of trading algorithms.
method Formal equations incorporating spread.
result Evaluate trading model algorithms' performance.
We analyze annual revenues and earnings data for the 500 largest-revenue U.S. companies during the period 1954-2007. We find that mean year profits are proportional to mean year revenues, exception made for few anomalous years, from which we postulate a linear relation between company expected mean profit and revenue. …
Suppose (X,ω) is a compact Kähler manifold. Following Mabuchi, the space of smooth Kähler potentials H can be endowed with a Riemannian structure, which induces an infinite dimensional path length metric space (H,d). We prove that the metric completion of (H,d) can be identified with …
Constant Proportion Portfolio Insurance (CPPI) is an investment strategy designed to give participation in the performance of a risky asset while protecting the invested capital. This protection is however not perfect and the gap risk must be quantified. CPPI strategies are path-dependent and may have American exercise…
This paper proposes a two-stage scoring approach to help lenders decide their fund allocations in the peer-to-peer (P2P) lending market. The existing scoring approaches focus on only either probability of default (PD) prediction, known as credit scoring, or profitability prediction, known as profit scoring, to identify…
Study analyzes factors affecting profits in crypto liquidity provision.
problem Liquidity providers lack guidance for developing profitable strategies.
method Developed a measurement model based on impermanent loss to analyze key parameters.
result Uncovered influences of key parameters on LPs' profits.
A new framework integrates credit scoring into profit scoring for better P2P lending investments.
problem Maximizing profit while minimizing risk in P2P lending investments.
method Two-stage framework using Light Gradient Boosting Machine (lightGBM) to integrate credit scoring into profit scoring.
result The proposed framework identifies more profitable loans and provides better investment guidance.
Study shows adding similar investors can either increase or decrease profits, depending on their strategy.
problem Investors argue conflictingly about the impact of adding similar investors on their profits.
method Built an agent-based financial market model with additional agents and investigated their earnings.
result Adding similar fundamental agents stabilizes market prices and decreases profits, while adding similar technical agents makes prices unstable and increases profits.
Study shows environmental spending positively impacts company profitability.
problem Impact of environmental spending on company profitability.
method Panel data regression analysis using E-Views.
result Environmental spending positively impacts profitability metrics.
Study examines downsizing impact on Indian construction firms' profitability.
problem Impact of downsizing layoffs on construction firms' profitability in India.
method Used Co-integration test, OLS, and VAR models on secondary data of 15 companies.
result Employee Expenses and Number of Employees have significant impact on profitability.
Expands robust profit opportunities to include distributional uncertainty.
problem Distributional uncertainty in financial markets.
method Formulates infinite dimensional primal problems, simplifies to finite dimensional dual problems using Wasserstein distance.
result Distributional uncertainty can enhance robustness of profit opportunities.
A common assumption of political economy is that profit rates across firms or sectors tend to uniformity, and often models are formulated in which this tendency is assumed to have been realised. But in reality this tendency is never realised and the distribution of firm profits is not degenerate but skewed to the right…
Study increasing profits in a flexible financial market model.
problem Characterize increasing profits in a 1D diffusion market with interest rates.
method Characterize increasing profits using an auxiliary deterministic signed measure and a canonical trading strategy.
result Existence and characterization of increasing profits in terms of ν and θ. We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two variables, p and q. Stocks are sold and bought if the log return is bigger than p and less than -q, respectively. Repet…
The paper defines fair profit sharing ratios in Islamic PL contracts.
problem Determining fair profit sharing ratios in Islamic PL contracts.
method Introduces c-fair profit sharing ratios and uses econometrics models to compute or approximate them. result Elucidates the relation between profit sharing ratios and economic factors.
This paper finds a new method for decomposing insurer profits and losses.
problem Nonlinear balance sheets make it hard to attribute changes to risk factors.
method An axiomatic approach leading to infinitesimal sequential updating (ISU) decompositions.
result ISU decompositions are more general and applicable beyond insurance.
Study shows how financial report sentiment impacts bank profitability.
problem Understanding causal effects of financial report sentiment on bank profitability.
method Causal forest machine learning methodology, FinancialBERT sentiment scores, SHAP analysis, comprehensive dataset.
result Statistically significant causal associations between balance sheet and expense management variables and profitability.
Optimizes liquidity provision intervals for profitable AMM participation.
problem Financial losses from poor liquidity provision intervals and reallocation costs.
method Developed a tractable stochastic optimization problem.
result Computes optimal liquidity provision intervals for profitable liquidity concentration.
Proposes a framework to reconcile policy learning and profit maximization in CATE estimation.
problem Aligning CATE estimation with profit maximization for optimal customer treatment decisions.
method Optimizes a novel objective function that concentrates learning capacity near the decision boundary, ensuring consistency with the original profit function.
result Consistent CATE estimates can be recovered from existing profit-maximization pipelines, allowing firms to navigate the trade-off between accuracy and profit.
Neural nets optimize dynamic hedging strategies with transaction costs.
problem Optimal hedging strategy in presence of transaction costs and discrete time.
method Convolutional neural network trained to infer optimal hedging frequencies.
result Dynamic multiscale hedging strategy reduces risk and maximizes profit.
Study examines the impact of employment benefit costs on firm profitability.
problem Impact of employment benefit costs on firm profitability.
method Panel data regression analysis using E-Views.
result There is a significant positive relationship between employment benefit costs and firm profitability.
It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a sufficient measure of market efficiency. We instead propose to measure inefficiencies of markets in terms of the maximal profit an ideal trader can…
The paper limits the profitability of technical trading rules and finds they are not better than random trading.
problem The profitability of technical trading rules in stock markets is controversial.
method Proves the upper bound of cumulative return and investigates the profitability of technical trading rules using bootstrap methodology.
result Technical trading rules are not better than random trading and less profitable than the market.
Study optimal portfolio selection using average and current profitability of risky assets.
problem Continuous-time mean-variance portfolio selection in time-varying financial markets.
method Introduced AP and CP indexes; estimated AP and CP using second-order variation of an auxiliary wealth process.
result Estimations of AP and CP are more accurate than traditional MLE.
Current study aims to provide new empirical evidence on the impact of debt on corporate profitability. This impact can be explained by three essential theories: signaling theory, tax theory and the agency cost theory. Using panel data sample of 2240 French non listed companies of service sector during 1999-2006. By uti…