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 introduces new methods to estimate stock return rates.
Study introduces new methods to estimate equity and liability required rates of return.
In their activity, the traders approximate the rate of return by integer multiples of a minimal one. Therefore, it can be regarded as a quantized variable. On the other hand, there is the impossibility of observing the rate of return and its instantaneous forward time derivative, even if we consider it as a continuous …
A model explains why 4% is a safe retirement withdrawal rate.
In this paper, we use replica analysis to investigate the influence of correlation among the return rates of assets on the solution of the portfolio optimization problem. We consider the behavior of the optimal solution for the case where the return rate is described with a single-factor model and compare the findings …
In this paper we give definitions of matrix rates of return which do not depend on the choice of basis describing baskets. We give their economic interpretation. The matrix rate of return describes baskets of arbitrary type and extends portfolio analysis to the complex variable domain. This allows us for simultaneous a…
Currency volatility shocks predict lower excess returns, and buying weak transmitters outperforms selling strong ones.
MILLION framework optimizes portfolio risk and return efficiently.
In this paper we investigate the scaling behavior of the average daily exchange rate returns of the Indian Rupee against four foreign currencies namely US Dollar, Euro, Great Britain Pound and Japanese Yen. Average daily exchange rate return of the Indian Rupee against US Dollar is found to exhibit a persistent scaling…
EXFormer predicts foreign exchange returns with high accuracy using a multi-scale self-attention mechanism and dynamic variable selection.
Study uses VIX for zero-coupon Treasury rates, proving long-term stability and returns.
Study uses ML to analyze how interest rates affect fund returns, finding gradient boosting is effective.
In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the risky asset returns are serially correlated. No assumptions about the correlation structure between different time points or about the dis…
The VIX is used to model corporate bond volatility and returns.
We study the dynamics of the linear and non-linear serial dependencies in financial time series in a rolling window framework. In particular, we focus on the detection of episodes of statistically significant two- and three-point correlations in the returns of several leading currency exchange rates that could offer so…
The future value of a security is described as a random variable. Distribution of this random variable is the formal image of risk uncertainty. On the other side, any present value is defined as a value equivalent to the given future value. This equivalence relationship is a subjective. Thus follows, that present value…
The paper examines the Chinese market reaction to the ADR issue by comparing returns and their stochastic variances of the Chinese firms cross-listed in the U.S. stock market. First, It was implemented capital asset pricing model (CAPM) to determine expected returns A and N shares. The CAPM provided with a methodology …
We define risk-free portfolios using three gauge invariant differential operators that require such portfolios to be insensitive to price changes, to be self-financing, and to produce a zero real return so there are no risk-free profits. This definition identifies the risk-free rate as the return of an infinitely diver…
The CAPM's market returns are endogenously determined, affecting all assets' expected returns.
The detection of community structure in stock market is of theoretical and practical significance for the study of financial dynamics and portfolio risk estimation. We here study the community structures in Chinese stock markets from the aspects of both price returns and turnover rates, by using a combination of the PM…
The paper examines how randomness in forex returns increases during financial crises.
Study examines USD exchange rate dynamics using Kramers-Moyal expansion.
The herd behaviors of returns for the won-dollar exchange rate and the KOSPI are analyzed in Korean financial markets. It is shown that the probability distribution of price returns for three values of the herding parameter tends to a power-law behavior with the exponents (the wo…
The paper challenges the notion that asset return doesn't affect Black-Scholes-Merton model.
We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming two triangles: EUR-GBP-USD and GBP-CHF-JPY. It is shown that the exchange rate return fluctuations for all the pairs considered are well desc…
The geometric Lévy model (GLM) is a natural generalisation of the geometric Brownian motion model (GBM) used in the derivation of the Black-Scholes formula. The theory of such models simplifies considerably if one takes a pricing kernel approach. In one dimension, once the underlying Lévy process has been specified, th…
Unified framework for ESG-inclusive portfolio optimization and pricing.
Any discussion on exchange rate movements and forecasting should include explanatory variables from both the current account and the capital account of the balance of payments. In this paper, we include such factors to forecast the value of the Indian rupee vis a vis the US Dollar. Further, factors reflecting political…
We present a simple dynamical model of stock index returns which is grounded on the ability of the Cyclically Adjusted Price Earning (CAPE) valuation ratio devised by Robert Shiller to predict long-horizon performances of the market. More precisely, we discuss a discrete time dynamics in which the return growth depends…
Wealth tax equivalent to government stake, affecting returns and portfolio choice.
Beta is a widely used quantity in investment analysis. We review the common interpretations that are applied to beta in finance and show that the standard method of estimation - least squares regression - is inconsistent with these interpretations. We present the case for an alternative beta estimator which is more app…
Roy's `Safety First' criterion for selecting one risky asset from many is adapted to the case of non-normal returns, via Cornish Fisher expansion. The resulting investment objective is consistent with first order stochastic dominance, and is equal to the Sharpe ratio for the case of normal returns. An investor selectin…
Study finds no significant impact of US sovereign credit rating downgrade on equity market.
We propose a model for equity trading in a population of agents where each agent acts to achieve his or her target stock-to-bond ratio, and, as a feedback mechanism, follows a market adaptive strategy. In this model only a fraction of agents participates in buying and selling stock during a trading period, while the re…
The time development of the price of a financial asset is considered by constructing and solving Langevin equations for a homogeneously saturated model, and for comparison, for a standard model and for a logistic model. The homogeneously saturated model uses coupled rate equations for the money supply and for the price…
We introduce a simple generalization of rational bubble models which removes the fundamental problem discovered by [Lux and Sornette, 1999] that the distribution of returns is a power law with exponent less than 1, in contradiction with empirical data. The idea is that the price fluctuations associated with bubbles mus…
Modeling stock returns and volatility using a bivariate gamma generalized Laplace law.
Study estimates Medallion's compounded return before fees at 31.8%.
We present a finite-dimensional version of the quantum model for the stock market proposed in [C. Zhang and L. Huang, A quantum model for the stock market, Physica A 389(2010) 5769]. Our approach is an attempt to make this model consistent with the discrete nature of the stock price and is based on the mathematical for…
A scenario in which regulators take the drastic step of requiring coverage of all venture bank investment loans using interbank borrowed funds is considered. In this scenario, a minimal amount of default insurance is used, such that Tier 1 and 2 capital requirements are still met. To do this, the default insurance perc…
Study on distributional TD learning with linear approximations for better return estimation.
It is customary that when security prices fully reflect all available information, the markets for those securities are said to be efficient. And if markets are inefficient, investors can use available information ignored by the market to earn abnormally high returns on their investments. In this context this paper tri…
The p-index improves investment performance for NYSE stocks but not for SSE stocks.
Derives equations for life insurance reserves with interest rate uncertainty.
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic law. It supports the possibility that the tail exponents are universal at least for mature markets in the sense that th…
Study analyzes foreign exchange rates using MFDFA, revealing multifractality and its sources.
Portfolio optimisation typically aims to provide an optimal allocation that minimises risk, at a given return target, by diversifying over different investments. However, the potential scope of such risk diversification can be limited if investments are concentrated in only one country, or more specifically one currenc…
Robotic table tennis learns efficient policies to return balls at 100Hz.