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 p-index improves investment performance for NYSE stocks but not for SSE stocks.
Proposes a new method to rank risky investments based on Omega measure.
We develop a tractable model of realization utility that studies the role of reference-dependent S-shaped preferences in a dynamic investment setting with reinvestment. Our model generates both voluntarily realized gains and losses. It makes specific predictions about the volume of gains and losses, the holding periods…
Study of Anosov flows using microlocal analysis for ergodicity and mixing properties.
Develops BPDS for better financial portfolio decisions.
Monetary risk measures are usually interpreted as the smallest amount of external capital that must be added to a financial position to make it acceptable. We propose a new concept: intrinsic risk measures and argue that this approach provides a direct path from unacceptable positions towards the acceptance set. Intrin…
Combines absolute and relative wealth in portfolio optimization with power utility functions.
Dividend yields have been widely used in previous research to relate stock market valuations to cash flow fundamentals. However, this approach relies on the assumption that dividend yields are stationary. Due to the failure to reject the hypothesis of a unit root in the classical dividend-price ratio for the US stock m…
Ethereum's Pectra upgrade introduces 0x02 compounding validators, offering higher stake and potential APR uplifts.
Automatically balances blockchain network resources to boost market efficiency.
I unravel the basic long run dynamics of the broker call money market, which is the pile of cash that funds margin loans to retail clients (read: continuous time Kelly gamblers). Call money is assumed to supply itself perfectly inelastically, and to continuously reinvest all principal and interest. I show that the rela…
Paper proposes a novel trading strategy combining clustering and reinforcement learning for multi-period portfolio management.
Reinforcement learning for optimizing retirement plans and target dated funds.