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.
Unified market-based description of returns and variances of trades.
The emph{securities market} is the fundamental theoretical framework in economics and finance for resource allocation under uncertainty. Securities serve both to reallocate risk and to disseminate probabilistic information. emph{Complete} securities markets - which contain one security for every possible state of natur…
Contextual bandit framework improves revenue optimization in securities lending market.
We create a formal framework for the design of informative securities in prediction markets. These securities allow a market organizer to infer the likelihood of events of interest as well as if he knew all of the traders' private signals. We consider the design of markets that are always informative, markets that are …
Study on risk sharing in capital requirements for diverse security markets.
The Dhaka Stock Exchange shows weak market efficiency and low risk-return relationships.
Market-based portfolio variance measures risks using trade data.
This study examines how banks and securities markets coevolved in 19th century Belgium.
Study optimal portfolio selection in a complex market with jumps and regime shifts.
The paper explores how mining costs, rewards, and blockchain security are interconnected.
Broker uses multi-task dynamic pricing to learn competitive prices in credit markets.
A strategy to beat benchmarks by investing in heavily shorted but fundamentally sound securities.
This paper describes recent development and test implementation of a continuous time recurrent neural network that has been configured to predict rates of change in securities. It presents outcomes in the context of popular technical analysis indicators and highlights the potential impact of continuous predictive capab…
Study shows Bitcoin security tied to mining rewards and prices.
Markowitz simplified portfolio returns assuming constant trade volumes.
In an incomplete continuous-time securities market with uncertainty generated by Brownian motions, we derive closed-form solutions for the equilibrium interest rate and market price of risk processes. The economy has a finite number of heterogeneous exponential utility investors, who receive partially unspanned income …
New method corrects Markowitz variance for trading volume fluctuations.
Study shows SEC crypto classification led to significant market reactions.
New techniques exploit market systems to manipulate prices.
The paper uses stochastic volatility to optimize trading strategies in a limit order book market.
Quantum theory is used to model secondary financial markets. Contrary to stochastic descriptions, the formalism emphasizes the importance of trading in determining the value of a security. All possible realizations of investors holding securities and cash is taken as the basis of the Hilbert space of market states. The…
The study calculates securities lending haircuts and indemnification costs.
Study on price formation in a market with a major player and minor firms.
How an investor invests in the market is largely influenced by the market efficiency because if a market is efficient, it is extremely difficult to make excessive returns because in an efficient market there will be no undervalued securities i.e. securities whose value is less than its assumed intrinsic value, which of…
Study analyzes optimal liquidation strategies in multi-venue markets.
This paper deals with an optimal position management problem for a market maker who has to face uncertain customer order flows in an illiquid market, where the market maker's continuous trading incurs a stochastic linear price impact. Although the execution timing is uncertain, the market maker can also ask its OTC cou…
The article presents a new entropy model for assessing stock market interest.
We propose the development of a prediction market for forecasting prices for "toxic assets" to be transferred from Irish banks to the National Asset Management Agency (NAMA). Such a market allows market participants to assume a stake in a security whose value is tied to a future event. We propose that securities are cr…
Traditional market makers are losing their importance as automated systems have largely assumed the role of liquidity provision in markets. We update the model of Glosten and Milgrom (1985) to analyze this new world: we add multiple securities and introduce an automated market maker who uses the relationships between s…
We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker who is quoting prices for this security. We assume that the market maker quotes the prices such that by taking the other side of the invest…
Study examines trading costs after Hong Kong-Shanghai Connect.
This work tried to detect the existence of a relationship between the graphic signals - or patterns - observed day by day in the Brazilian stock market and the trends which happen after these signals, within a period of 8 years, for a number of securities. The results obtained from this study show evidence of the exist…
Nearly one-half of all trades in financial markets are executed by high-speed, autonomous computer programs -- a type of trading often called high-frequency trading (HFT). Although evidence suggests that HFT increases the efficiency of markets, it is unclear how or why it produces this outcome. Here we create a simple …
We consider the problem of belief aggregation: given a group of individual agents with probabilistic beliefs over a set of uncertain events, formulate a sensible consensus or aggregate probability distribution over these events. Researchers have proposed many aggregation methods, although on the question of which is be…
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage condition under the efficient friction assumption is equivalent to the existence of a risk-neutral measure. We derive dual repre…
New model values equity-linked securities with guaranteed return.
High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now accounts for nearly one-half of all trades. Although evidence suggests that HFT contributes to the efficiency of markets, there are concerns it…
Prime Match protects client stock trades from market price manipulation.
The article presents calculations that prove practical importance of the earlier derived theoretical relationship between the interest rate on the interbank credit market, volume of investment and the quantity of securities tradable on the stock exchange.
We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker who is quoting prices for this security. We assume that the market maker quotes the prices such that by taking the other side of the invest…
This essay quantifies convexities in incomplete markets using entropy, adjusting prices for risk and incompleteness.
In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particular we consider credit-risky assets that may include random recovery upon default. The market filtration is generated by a collection of information processes associated with economic…
Extends micro-price concept to RFQ markets for fair pricing.
The DAO Report led to a significant shift of ICO activity to Europe.
Optimal securities lending mechanism incentivizes truthfulness and privacy.
Study assesses risks of European Safe Bonds using credit risk models.
Paper proposes a visual tool for analyzing financial markets.
A quantum financial approach to finite games of strategy is addressed, with an extension of Nash's theorem to the quantum financial setting, allowing for an entanglement of games of strategy with two-period financial allocation problems that are expressed in terms of: the consumption plans' optimization problem in pure…