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.
TGARCH model shows CSI-300 futures reduce spot price volatility.
Derives pricing formulas for perpetual futures contracts.
Russia-Ukraine conflict impacts global agricultural futures and spot markets' extreme risks.
In commodity markets the convergence of futures towards spot prices, at the expiration of the contract, is usually justified by no-arbitrage arguments. In this article, we propose an alternative approach that relies on the expected profit maximization problem of an agent, producing and storing a commodity while trading…
In this paper we introduce a flexible HJM-type framework that allows for consistent modelling of intraday, spot, futures, and option prices. This framework is based on stochastic processes with economic interpretations and consistent with the initial term structure given in the form of a price forward curve. Furthermor…
This paper studies the interrelation between spot and futures prices in the two major rice markets in prewar Japan from the perspective of market efficiency. Applying a non-Bayesian time-varying model approach to the fundamental equation for spot returns and the futures premium, we detect when efficiency reductions in …
This paper presents a model based on multilayer feedforward neural network to forecast crude oil spot price direction in the short-term, up to three days ahead. A great deal of attention was paid on finding the optimal ANN model structure. In addition, several methods of data pre-processing were tested. Our approach is…
This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The first novelty consist in proposing a model that unifies the dynamics of the futures curve and the spot price, which accounts…
Perpetual futures offer leverage without maturity, with prices influenced by funding rates.
Modeling precious metals market making using nested Ornstein-Uhlenbeck processes.
This paper studies the market phenomenon of non-convergence between futures and spot prices in the grains market. We postulate that the positive basis observed at maturity stems from the futures holder's timing options to exercise the shipping certificate delivery item and subsequently liquidate the physical grain. In …
Model simulates Perpetual Futures market with agent behavior.
This review classifies electricity price models for risk management.
This paper studies the empirical tracking performance of leveraged ETFs on gold, and their price relationships with gold spot and futures. For tracking the gold spot, we find that our optimized portfolios with short-term gold futures are highly effective in replicating prices. The market-traded gold ETF (GLD) also exhi…
This paper studies the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the Ornstein-Uhlenbeck (OU), Cox-Ingersoll-Ross (CIR), or exponential Ornstein-Uhlenbeck (XOU) model. The futures term structure is derived and its conne…
The paper analyzes the pricing of a new compute futures asset.
We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward contracts to hedge the uncertainty of the future commodity price. Financial investors take positions in these contracts in order to diversify t…
Kriging predicts futures prices by accounting for trends and bid-ask spreads.
Study models live cattle futures prices in Brazil.
We study the optimal trading policies for a wind energy producer who aims to sell the future production in the open forward, spot, intraday and adjustment markets, and who has access to imperfect dynamically updated forecasts of the future production. We construct a stochastic model for the forecast evolution and deter…
Swing options on the gas market are american style option where daily quantities exercices are constrained and global quantities exerciced each year constrained too. The option holder has to decide each day how much he consumes of the quantities satisfying the constraints and tries to use a strategy in order to maximiz…
Study compares two factor models for electricity spot prices across different periods.
We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary independent increments process for the low-frequency dynamics, and model the la…
This study presents an agent-based computational cross-market model for Chinese equity market structure, which includes both stocks and CSI 300 index futures. In this model, we design several stocks and one index futures to simulate this structure. This model allows heterogeneous investors to make investment decisions …
Introduces an unobservable intrinsic electricity price to link storage theory with risk premium.
In this article, we analyze the application of options contract in special commodity supply chain such as fresh agricultural products. This problem is discussed in the point of the retailer. When spot market and future market are both available, we discuss how the retailer chooses the optimal production. Furthermore, o…
Optimizes Ethena's yield strategy by controlling stETH and ETH futures positions.
We study a series of static and dynamic portfolios of VIX futures and their effectiveness to track the VIX index. We derive each portfolio using optimization methods, and evaluate its tracking performance from both empirical and theoretical perspectives. Among our results, we show that static portfolios of different VI…
The paper examines variable annuities pricing and risk management using the Black-Scholes model and identifies key risk drivers.
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity spot prices. The stack structure allows for a range of generator efficiencies p…
Paper compares ETF and futures carry rates in segmented Bitcoin markets.
Model estimates LIBOR rates and finds COVID-19 spread spike due to credit risk.
The paper analyzes gold, oil, and bitcoin futures volatility and basis.
Crude oil is a major component in most advanced economies of the world. Accurately predicting and understanding the behavior of crude oil prices is important for economists, analysts, forecasters, and traders, to name a few. The price of crude oil has declined in the past decade and is seeing a phase of stability; but …
Study optimizes Bitcoin futures hedging to reduce liquidation risk.
Study examines asymmetry impacts on Japanese stock market volatility modeling and forecasting.
Fast probabilistic option price predictions using modular Bayesian inference.
In this paper, we address one of the main puzzles in finance observed in the stock market by proponents of behavioral finance: the stock predictability puzzle. We offer a statistical model within the context of rational finance which can be used without relying on behavioral finance assumptions to model the predictabil…
Predictive policing models can be biased by differential crime reporting rates.
This study compares price discovery in ETH and BTC markets between centralized and decentralized exchanges.
A new multi-factor model improves commodity pricing accuracy.
Develops polynomial diffusion models for multi-factor commodity futures dynamics.
Paper develops new spot regression estimators using candlesticks for asset pricing.
SVAR-LiNGAM reveals causal order in crypto-asset markets.
Study prices energy derivatives using specific stochastic processes.
Study hot spots on warped product manifolds and infinite cones.
Hot spots conjecture proven for small eigenvalue domains.
Study normal tempered stable processes for energy derivative pricing.