Study good-deal hedging under uncertain market prices, reducing speculative components.
problem Good-deal valuation under model uncertainty and speculative risk.
method Robust approach using backward stochastic differential equations.
result Reduction or elimination of speculative components in good-deal hedging.
Study tests if deep hedging differs from delta hedging in a GARCH market model.
problem Whether deep hedging includes speculative components in a GARCH market.
method Tested in a GARCH-based market model, comparing deep hedging and delta hedging.
result The difference between deep hedging and delta hedging is speculative if risk measure does not prioritize adverse outcomes.
NFT royalties boost creator earnings by sharing risk, reducing info asymmetry, and enabling price discrimination.
problem NFTs' royalties are criticized for being neutralized by speculators.
method Analyzes NFTs' royalties in various market conditions and their effects on creators.
result Royalties enable creators to capitalize on speculators' presence through risk sharing, info reduction, and price discrimination.
Model shows speculative trading agents create price bubbles with increasing risk of crash.
problem Speculative trading and price bubbles creation.
method Agent-based modeling with adaptive stock-to-bond ratios and risk levels.
result Persistent price bubbles and growing risk of crash.
New risk measure uses Fourier analysis of stock prices.
problem Identifying speculative behavior in financial products.
method Fourier analysis applied to stock price changes.
result Speculative behavior indicated by disproportionate price changes within one week.
What return should you expect when you take on a given amount of risk? How should that return depend upon other people's behavior? What principles can you use to answer these questions? In this paper, we approach these topics by exploring the consequences of two simple hypotheses about risk. The first is a common-sense…
Modeling speculative markets with varying costs of carrying positions.
problem Analyzing the impact of varying costs of carrying positions on speculative markets.
method Continuous-time model with heterogeneous beliefs, Hamilton-Jacobi-Bellman equation.
result Decreasing shorting costs can lead to market collapse and price collapse.
This paper empirically analyses risk in the Euro relative to other currencies. Comparisons are made between a sub period encompassing the final transitional stage to full monetary union with a sub period prior to this. Stability in the face of speculative attack is examined using Extreme Value Theory to obtain estimate…
Derivative pricing in risk-neutral equilibrium with uncertain volatilities.
problem Deriving prices for derivatives when agents have different beliefs about underlying dynamics.
method Existence proof of unique equilibrium price incorporating speculative resale value.
result Equilibrium price operator reflects strong aversion to model uncertainty.
Study replicates reference-dependent preferences impact on risk-return trade-off in Chinese stock market.
problem Impact of reference-dependent preferences on risk-return trade-off in Chinese stock market.
method Utilized CGO proxy, econometric techniques (Dependent Double Sorting, Fama-MacBeth regressions), and data from 1995-2024.
result Reference-dependent preferences have a weaker or absent positive risk-return relationship in the Chinese market.
Study compares Bitcoin and Ether's volatility and speculative behavior.
problem Comparing Bitcoin and Ether's volatility and speculative behavior.
method Econometric techniques to analyze volatility, correlation, and diversification properties.
result Ether is more persistent in volatility and less speculative than Bitcoin.
Agent optimizes risky asset trading times based on Prospect Theory.
problem Optimizing speculative trading times with transaction costs.
method Formulated as a sequential optimal stopping problem, characterized the solution.
result Trading patterns influenced by preference and market friction.
Modeling central bank strategy to minimize risk in pegged currency markets.
problem Maintaining a pegged currency market from speculative investor attacks.
method Mathematical modeling of a stochastic game between a trader and a central bank.
result Identifying the optimal strategy for the central bank to minimize risk.
A novel CAB-XDE framework predicts speculative stock prices with high accuracy.
problem Forecasting speculative stock prices in volatile markets.
method Customized attention BiLSTM with XGBoost, integrating attention mechanism and weight determination theory-error reciprocal method.
result Empirically validated with MAPE of 0.0037, MAE of 84.40, and RMSE of 106.14.
The paper models cryptocurrency market bubbles using agent-based models.
problem Understanding speculative bubbles in cryptocurrency markets.
method Agent-based models and ODE models to estimate return rates and market values.
result Formulated formula for total system risk.
Firm foundation theory estimates a security's firm fundamental value based on four determinants: expected growth rate, expected dividend payout, the market interest rate and the degree of risk. In contrast, other views of decision-making in the stock market, using alternatives such as human psychology and behavior, bou…
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with respect to the bulk of drawdown price movement distribution. This paper goes on dee…
During a speculative episode the price of an item jumps from an initial level p_1 to a peak level p_2 before more or less returning to level p_1. The ratio p_2/p_1 is referred to as the amplitude A of the peak. This paper shows that for a given market the peak amplitude is a linear function of the logarithm of the pric…
Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new methodology to test how this model classifies 9 time series that have been previously considered as bubbles ending in crashes. The …
Defines speculative bubbles in discrete-time models based on discounted stock price losing mass.
problem Characterizing speculative bubbles in discrete-time models.
method Introduces a new definition based on discounted stock price behavior and provides probabilistic characterizations.
result Speculative bubbles in discrete time are linked to solutions of a linear Volterra integral equation.
The basic financial purpose of corporation is creation of its value. Liquidity management should also contribute to realization of this fundamental aim. Many of the current asset management models that are found in financial management literature assume book profit maximization as the basic financial purpose. These boo…
The study shows how probability weighting can lead to betting in a risk-averse economy.
problem Understanding how probability weighting affects economic behavior and risk aversion.
method Examining a von Neumann-Morgenstern economy with an RDU agent to model probability weighting effects.
result Probability weighting can lead to endogenous betting in an economy with common beliefs.
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual unpredictable fluctuations. This classical view of markets absorbing information a…
A model of open economics composed of producers and speculators is investigated by numerical simulations. The capital flows from the environment to the producers and from them to the speculators. The price fluctuations are suppressed by the speculators. When the aggressivity of the speculators grows, there is a transit…
We present and study a Minority Game based model of a financial market where adaptive agents -- the speculators -- interact with deterministic agents -- called producers. Speculators trade only if they detect predictable patterns which grant them a positive gain. Indeed the average number of active speculators grows wi…
Agent-based model simulates speculative electronic market with price bubbles.
problem Understanding speculative behavior and price bubbles in electronic markets.
method Agent-based model with two types of traders: mean reverting and speculative.
result Speculative traders lead to increased volatility and price deviations from fundamental value.
Research identifies four motivational groups for crypto-metaverse landowners.
problem Understanding motivations of retail investors in the crypto-metaverse.
method Detailed financial behavior survey and principal components analysis.
result Four distinct motivational groups identified: Aesthetics, Social, Speculation, Innovation.
Accelerating Speculative Diffusions via Block Verification
problem Adapting speculative decoding for continuous diffusion models
method Introducing a novel speculative sampling mechanism for diffusion models
result Improves acceptance rate and speeds up inference
Extended speculation game improves Hurst exponent of financial time series.
problem Anti-persistent market price behavior resulting in small Hurst exponent.
method Introduced a perturbative part to price change considering additional effects.
result Improved Hurst exponent value of financial time series.
Investment strategy optimized for ambiguity and interest rate risk.
problem Dynamic asset allocation with interest rate risk and ambiguity.
method Closed-form solution for optimal investment strategy.
result Ambiguity affects speculative motives, not hedging of interest rate risk.
The paper revisits classical competition theory to explain speculative asset price dynamics.
problem Understanding the dynamics of speculative asset prices and their volatility.
method Specialized classical model of competition with reservation prices, incorporating speculation.
result The model explains excess, fat-tailed, and clustered volatility in speculative asset prices.
This letter assesses model risk in credit capital requirements and finds substantial tail risk.
problem Uncertainty in the probability of default and loss-given-default parameters in credit capital requirements.
method Models estimation risk in a simple way, analyzing two datasets and testing parameter dependency.
result Parameter dependency significantly increases tail risk in capital requirements, requiring substantial increases in regulatory capital.
Proving the existence of speculative financial bubbles even a posteriori has proven exceedingly difficult so anticipating a speculative bubble ex ante would at first seem an impossible task. Still as illustrated by the recent turmoil in financial markets initiated by the so called subprime crisis there is clearly an ur…
This paper analyzes speculative decoding, a method to speed up large language model inferences.
problem Theoretical understanding of speculative decoding is lacking.
method Conceptualizes speculative decoding as a markov chain problem and studies its key properties.
result Reveals fundamental connections between LLM components and their impact on decoding efficiency.
Speculative bubbles have been occurring periodically in local or global real estate markets and are considered a potential cause of economic crises. In this context, the detection of explosive behaviors in the financial market and the implementation of early warning diagnosis tests are of critical importance. The recen…
We document and analyze the empirical facts concerning one of the clearest evidence of speculation in financial trading as observed in the postage collection stamp market. We unravel some of the mechanisms of speculative behavior which emphasize the role of fancy and collective behavior. In our conclusion, we propose a…
Adaptive speculative decoding framework for LLMs using bandit algorithms.
problem Adaptive speculative decoding for LLMs to balance speed and quality.
method Formulated as a Multi-Armed Bandit problem, proposed UCBSpec and EXP3Spec algorithms.
result UCBSpec algorithm achieves optimal regret performance up to universal constants.
Improved diffusion model generation speed with speculative sampling.
problem Generating samples from computationally expensive diffusion models.
method Extending speculative sampling to diffusion models, using fast draft models for candidate token generation.
result Significant speedup in generation, halving the number of function evaluations.
We develop SIN to analyze financial bubbles' sector influence.
problem Understanding causal relationships between sectors during financial bubbles.
method Developed Hidden Markov Model (HMM) and transfer entropy to quantify influence.
result SIN reveals sectors that influenced others during the bubble and crash.
Accelerates TPP sampling with speculative decoding for faster sequence generation.
problem Efficiently sampling from complex temporal point processes.
method Adapting speculative decoding techniques from language models to TPPs.
result Achieves significant speedup (2-6x) while maintaining distributional accuracy.
Cactus improves auto-regressive decoding speed without sacrificing quality.
problem Accelerating auto-regressive decoding while maintaining output quality.
method Formalizes speculative sampling as constrained optimization and proposes Cactus for controlled divergence from the verifier distribution.
result Empirically validated effectiveness across various benchmarks.
The object of this contribution is to present the ideas behind the thinking of the French economist Pierre-Joseph Proudhon (1809-1865) in relation to the causes and effects of Stock market speculation. It is based upon the works of this author but particularly on his "Manuel du spéculateur à la Bourse" (Stock Market Sp…
Estimates crypto risk premia using hidden factors and finds significant integration with traditional markets.
problem Estimating risk premia in cryptocurrency returns.
method Giglio-Xiu (2021) three-pass approach, controlling for latent factors and non-tradable state variables.
result Latent factors significantly impact crypto returns, highlighting the importance of controlling for unobserved risks.
Recent increases in basic food prices are severely impacting vulnerable populations worldwide. Proposed causes such as shortages of grain due to adverse weather, increasing meat consumption in China and India, conversion of corn to ethanol in the US, and investor speculation on commodity markets lead to widely differin…
Study liquidity provision in decentralized exchanges considering risk aversion and replication costs.
problem Economic viability of liquidity provision in decentralized exchanges (DEXs).
method Formulated strategic interactions as a sequential game with risk-averse LP, traders, and arbitrageurs.
result DEX liquidity depth is crucial for risk management, influenced by risk aversion and replication costs.
Kinetic models predict speculators' strategy can affect market prices.
problem Understanding how speculators' behavior affects market prices in a multi-agent exchange system.
method Developed kinetic equations to model interactions between dealers and speculators, using utility functions and mean quantities.
result Speculators' strategy can drive the price of goods towards a zone with marked utility for their group.
GSI improves efficiency of large language model inference.
problem Efficiently guiding test-time alignment in large language models.
method Combines soft best-of-n scaling with a reward model and speculative samples. result Achieves higher accuracy and reduced latency compared to standard methods.
Investigates Bitcoin market risk, showing volatility and jumps impact future volatility.
problem Understanding and forecasting the risk dynamics of Bitcoin market.
method Comprehensive investigation using realized volatility and jumps analysis.
result Jumps, especially positive ones, reduce future realized variance; long-term realized variance benefits from modeling jumps.