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.
Study quantifies inefficiencies in U.S. equity markets, identifying open/close periods and affected stocks.
Study finds inefficiencies in US equity markets, especially with Dow 30 stocks.
Unified framework for strain-gradient plasticity from dislocations.
We reconcile between two classical models of edge-dislocations in solids. The first model, dating from the early 1900s models isolated edge-dislocations as line singularities in locally-Euclidean manifolds. The second model, dating from the 1950s, models continuously-distributed edge-dislocations as smooth manifolds en…
Study of knotted defects in smectic liquid crystals using topological knot theory.
We present a rigorous homogenization theorem for distributed dislocations. We construct a sequence of locally-flat Riemannian manifolds with dislocation-type singularities. We show that this sequence converges, as the dislocations become denser, to a flat non-singular Weitzenböck manifold, i.e. a flat manifold endowed …
We present a general derivation of the arbitrage-free pricing framework for multiple-currency collateralized products. We include the impact on option pricing of the policy adopted to fund in foreign currency, so that we are able to price contracts with cash flows and/or collateral accounts expressed in foreign currenc…
Large twist-angle grain boundaries in layered structures are often described by Scherk's first surface whereas small twist-angle grain boundaries are usually described in terms of an array of screw dislocations. We show that there is no essential distinction between these two descriptions and that, in particular, their…
Purely real space versions of the differential equations describing the kinematics of a dislocated crystalline medium are considered. The differential geometric structures associated with them are revealed.
Paper explores limits of distributed dislocations in geometric and constitutive paradigms.
This note refers to our previous paper "The emergence of torsion in the continuum limit of distributed edge-dislocations". It identifies and fixes an error in the notion of convergence of Weitzenböck manifolds defined in the paper, and in the proof of the well-definiteness of this notion of convergence.
In non-linear incompatible elasticity, the configurations are maps from a non-Euclidean body manifold into the ambient Euclidean space, . We prove the -convergence of elastic energies for configurations of a converging sequence, , of body manifolds. This convergence result …
We develop a theory to represent dislocated single crystals at the mesoscopic scale by considering concentrated effects, governed by the distribution theory combined with multiple-valued kinematic fields. Our approach gives a new understanding of the continuum theory of defects as developed by Kroener (1980) and other …
We formulate the laws governing the dynamics of a crystalline solid in which a continuous distribution of dislocations is present. Our formulation is based on new differential geometric concepts, which in particular relate to Lie groups. We then consider the static case, which describes crystalline bodies in equilibriu…
We discuss several issues regarding material homogeneity and strain compatibility for materially uniform thin elastic shells from the viewpoint of a 3-dimensional theory, with small thickness, as well as a 2-dimensional Cosserat theory. A relationship between inhomogeneity and incompatibility measures under the two des…
Paper explores MM strategies that can refuse to quote or provide single-sided quotes.
Analyzes news graphs to predict financial market dislocations.
The paper shows how to calculate risk-neutral default probabilities from bid and ask CDS quotes.
Theory of space-time currents for geometric evolutions.
Axiomatizes the bid-ask market maker's quoting rule
Motivated by the importance and universal character of phase singularities which are clarified recently, we study the local structure of equi-phase loci near the dislocation locus of complex valued planar and spatial waves, from the viewpoint of singularity theory of differentiable mappings, initiated by H. Whitney and…
Study risk-sensitive market making with entropy regularization for better quote control.
This paper develops a method to select a reference contract for multi-contract quoting to minimize execution risk.
Proposes a framework to adjust quotes for informational risk in markets with informed traders and price-revealing quotes.
Unified theory for optimal execution through signal-adaptive quotes in limit order books.
ARL and Hawkes processes improve market-making strategies with variable volatility.
This expository paper is a tribute to Ekkehart Kröner's results on the intrinsic non-Riemannian geometrical nature of a single crystal filled with point and/or line defects. A new perspective on this old theory is proposed, intended to contribute to the debate around the still open Kröner's question: "what are the dyna…
Classical elasticity is concerned with bodies that can be modeled as smooth manifolds endowed with a reference metric that represents local equilibrium distances between neighboring material elements. The elastic energy associated with a configuration of a body in classical elasticity is the sum of local contributions …
The paper calibrates a model to market quotes efficiently and arbitrage-free.
A dealer manages quotes and rejection rules to control slippage risk in FX markets.
Closed-form approximations for multi-asset market making models.
Study uses SABR model to create implied volatilities from sparse quotes.
The definition of time is still an open question when one deals with high frequency time series. If time is simply the calendar time, prices can be modeled as continuous random processes and values resulting from transactions or given quotes are discrete samples of this underlying dynamics. On the contrary, if one take…
Link slope stability to Donaldson's functional via Quot-scheme limits.
In this paper, we develop a Markovian model that deals with the volume offered at the best quote of an electronic order book. The volume of the first limit is a stochastic process whose paths are periodically interrupted and reset to a new value, either by a new limit order submitted inside the spread or by a market or…
New models optimize quotes for automated market makers considering various price dynamics and demand variability.
Two price regimes identified in limit order books: close and far from quotes.
We examine the Foreign Exchange (FX) spot price spreads with and without Last Look on the transaction. We assume that brokers are risk-neutral and they quote spreads so that losses to latency arbitrageurs (LAs) are recovered from other traders in the FX market. These losses are reduced if the broker can reject, ex-post…
The paper analyzes optimal dealer strategies in agent-based market models.
We study the natural Kähler metrics on moduli spaces of stable oriented pairs in a very general framework, and we prove a universal formula expressing the Kähler class of such a moduli space in terms of characteristic classes of the universal bundle. We use these results to compute explicitly the volumina of certain Qu…
This paper develops a model of liquidity provision in financial markets by adapting the Madhavan, Richardson, and Roomans (1997) price formation model to realistic order books with quote discretization and liquidity rebates. We postulate that liquidity providers observe a fundamental price which is continuous, efficien…
The goal of this paper is twofold. First we prove a rigidity estimate, which generalises the theorem on geometric rigidity of Friesecke, James and Müller to 1-forms with non-vanishing exterior derivative. Second we use this estimate to prove a kind of spontaneous breaking of rotational symmetry for some models of cryst…
We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy to implement and requires only basic linear algebra operations…
The paper uses XAI to predict RFQ fulfillment accuracy.
Study Nash competition among dealers quoting prices to clients with unknown trading motives.
Optimal market making improves liquidity in prediction markets.
ClauseLens uses reinforcement learning to price reinsurance treaties transparently and auditably.
New method builds volatility surfaces from quotes without arbitrage.