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 paper extends ERP framework to non-monotonic payoffs and short selling bans.
Do we know if a short selling ban or a Tobin Tax result in more stable asset prices? Or do they in fact make things worse? Just like medicine regulatory measures in financial markets aim at improving an already complex system. And just like medicine these interventions can cause side effects which are even harder to as…
A large portfolio of independent returns is optimized under the variance risk measure with a ban on short positions. The no-short selling constraint acts as an asymmetric regularizer, setting some of the portfolio weights to zero and keeping the out of sample estimator for the variance bounded, avoiding the di…
Study compares short vs long strategies for equity factors, finds short strategy better.
Investors who optimize their portfolios under any of the coherent risk measures are naturally led to regularized portfolio optimization when they take into account the impact their trades make on the market. We show here that the impact function determines which regularizer is used. We also show that any regularizer ba…
High-dimensional random geometry shows phase transitions in various problems.
Short selling is key to exploiting arbitrage opportunities in financial markets.
Margin trading and short selling boost green tech innovation in China.
Paper analyzes shapes of brain arterial networks using statistical methods.
Paper optimizes ES estimation under an constraint, reducing estimation errors.
Study examines insider trading in short-selling restricted markets.
Study optimal portfolio strategies with periodic evaluation under short-selling prohibition.
Through a short sale, a person borrows a share of stock from a lender, sells the borrowed share to a third person at the current price, and purchases an identical share in the market at a future date and at a future price to replace the borrowed share of stock. This only makes sense if the short seller anticipates a do…
This paper uses DRL for long-short portfolio optimization, improving risk-adjusted returns.
A financial model without short-selling shows deviations from normality.
Short sales are regarded as negative purchases in textbook asset pricing theory. In reality, however, the symmetry between purchases and short sales is broken by a variety of costs and risks peculiar to the latter. We formulate an optimal stopping model in which the decision to cover a short position is affected by two…
New dynamic backdoor attacks bypass current defenses.
Enhances portfolio management with RL, considering transaction costs and short selling.
Export bans during pandemic worsen medical supply shortages globally.
Paper finds optimal selling rule for pairs trading with stock constraints.
This paper investigates the effects of the "uptick rule" (a short selling regulation formally known as rule 10a-1) by means of a simple stock market model, based on the ARED (adaptive rational equilibrium dynamics) modeling framework, where heterogeneous and adaptive beliefs on the future prices of a risky asset were f…
Study assesses sugar beet yields under EU's neonicotinoids ban and climate change.
We show that a trader, who starts with no initial wealth and is not allowed to borrow money or short sell assets, is theoretically able to attain positive wealth by continuous trading, provided that she has perfect foresight of future asset prices, given by a continuous semimartingale. Such an arbitrage strategy can be…
We consider the pricing problem facing a seller of a contingent claim. We assume that this seller has some general level of partial information, and that he is not allowed to sell short in certain assets. This pricing problem, which is our primal problem, is a constrained stochastic optimization problem. We derive a du…
One dimensional stylized model taking into account spatial activity of firms with uniformly distributed customers is proposed. The spatial selling area of each firm is defined by a short interval cut out from selling space (large interval). In this representation, the firm size is directly associated with the size of i…
We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuations decrease with the size of their position, as it would be the case for risk-averse agents. In the equilibrium models of heterogeneous beliefs that fo…
The use of improved covariance matrix estimators as an alternative to the sample estimator is considered an important approach for enhancing portfolio optimization. Here we empirically compare the performance of 9 improved covariance estimation procedures by using daily returns of 90 highly capitalized US stocks for th…
This article is the term paper of the course Investments. We mainly focus on modeling long-term investment decisions of a typical utility-maximizing individual, with features of Chinese stock market in perspective. We adopt an OR based methodology with market information as input parameters to carry out the solution. T…
Optimal investment and risk control strategies for insurers are derived using a time-consistent approach.
Reinsurance can help life insurers maintain higher capital guarantees without losing utility.
This paper studies the optimal timing to liquidate credit derivatives in a general intensity-based credit risk model under stochastic interest rate. We incorporate the potential price discrepancy between the market and investors, which is characterized by risk-neutral valuation under different default risk premia speci…
A new trading model uses deep reinforcement learning to optimize portfolio weights.
New geometrical method optimizes portfolio with minimal risk.
We determine the optimal investment strategy of an individual who targets a given rate of consumption and who seeks to minimize the probability of going bankrupt before she dies, also known as {\it lifetime ruin}. We impose two types of borrowing constraints: First, we do not allow the individual to borrow money to inv…
Bayesian method improves reliability of BERT for hate speech detection.
We consider the l1-regularized Markowitz model, where a l1-penalty term is added to the objective function of the classical mean-variance one to stabilize the solution process, promoting sparsity in the solution. The l1-penalty term can also be interpreted in terms of short sales, on which several financial markets hav…
Knowledge Distillation (KD) consists of transferring âknowledgeâ from one machine learning model (the teacher) to another (the student). Commonly, the teacher is a high-capacity model with formidable performance, while the student is more compact. By transferring knowledge, one hopes to benefit from the studentâs…
Optimal buying and selling times for homes in fluctuating interest rates.
End-to-end portfolio optimization framework bypassing covariance matrix estimation.
In this paper, we study the ability to make the short-term prediction of the exchange price fluctuations towards the United States dollar for the Bitcoin market. We use the data of realized volatility collected from one of the largest Bitcoin digital trading offices in 2016 and 2017 as well as order information. Experi…
New method learns interaction-aware orderbook representation for better intraday electricity price forecasting.
User contributions in the form of posts, comments, and votes are essential to the success of online communities. However, allowing user participation also invites undesirable behavior such as trolling. In this paper, we characterize antisocial behavior in three large online discussion communities by analyzing users who…
Corrects technical error in change of measure for HTB models.
It is suggested to consider long term trends of financial markets as a growth phenomenon. The question that is asked is what conditions are needed for a long term sustainable growth or contraction in a financial market? The paper discuss the role of traditional market players of long only mutual funds versus hedge fund…
Kuroda and Nagai \cite{KN} state that the factor process in the Risk Sensitive control Asset Management (RSCAM) is stable under the Föllmer-Schweizer minimal martingale measure . Fleming and Sheu \cite{FS} and more recently Föllmer and Schweizer \cite{FoS} have observed that the role of the minimal martingale measure i…
We study the gain of an insider having private information which concerns the default risk of a counterparty. More precisely, the default time τis modelled as the first time a stochastic process hits a random barrier L. The insider knows this barrier (as it can be the case for example for the manager of the counterpart…
Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify and characterize hidden orders we fit hidden Markov models to the time series of the sign of the tick by tick inventory var…
We give an algebraic definition of a Markowitz market and classify markets up to isomorphism. Given this classification, the theory of portfolio optimization in Markowitz markets without short selling constraints becomes trivial. Conversely, this classification shows that, up to isomorphism, there is little that can be…