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.
Optimizes liquidity provision intervals for profitable AMM participation.
Study on Kyle's model with stochastic liquidity impacts asset volatility.
Optimal trade execution in a fluctuating market with stochastic liquidity.
The paper models battery valuation in intraday electricity markets, incorporating liquidity costs.
We extend Kyle's model to include stochastic liquidity and multiple assets.
Study asset price bubbles using random matching and stochastic factors.
AMM finds optimal contract for LPs to maximize order flow.
We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price impact. Liquidity is stochastic in that the volume effect process, which determi…
We assume a continuous-time price impact model similar to Almgren-Chriss but with the added assumption that the price impact parameters are stochastic processes modeled as correlated scalar Markov diffusions. In this setting, we develop trading strategies for a trader who desires to liquidate his inventory but faces pr…
Study optimal liquidation with multiple regimes using BSDEs with singular terminal values.
In this paper, we consider the optimal portfolio liquidation problem under the dynamic mean-variance criterion and derive time-consistent solutions in three important models. We give adapted optimal strategies under a reconsidered mean-variance subject at any point in time. We get explicit trading strategies in the bas…
This paper proposes a parametric approach for stochastic modeling of limit order markets. The models are obtained by augmenting classical perfectly liquid market models by few additional risk factors that describe liquidity properties of the order book. The resulting models are easy to calibrate and to analyze using st…
Optimal liquidation strategy with price impact and signal exploitation.
We establish existence, uniqueness and regularity of solution results for a class of backward stochastic partial differential equations with singular terminal condition. The equation describes the value function of non-Markovian stochastic optimal control problem in which the terminal state of the controlled process is…
Paper introduces a new pricing model for Uniswap V3 positions.
Solves optimal liquidation problem for stock price following geometric Brownian motion.
Quantum calculus models stock liquidity issues.
Unified framework for optimal liquidation with small market impact and semimartingale strategies.
Model uses Navier-Stokes equations to assess liquidity and systemic risk.
Optimal liquidation of an asset with unknown constant drift and stochastic regime-switching volatility is studied. The uncertainty about the drift is represented by an arbitrary probability distribution; the stochastic volatility is modelled by -state Markov chain. Using filtering theory, an equivalent reformulation…
We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process whose local characteristics are driven by an unobservable finite-state Markov chain and by the liquidation rate. This model is consistent with stylized facts of high frequency data such as the discrete n…
Agent optimizes perpetual contract liquidation with transaction costs and risk.
This thesis studies CPMMs with CL, developing strategies for LTs and LPs.
Model predicts insolvency risks in banks due to liquidity and credit risks.
Study optimal stock purchases under fluctuating market resilience.
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…
Study growth of LP wealth in G3Ms affected by trading fees and arbitrage.
Traders are often faced with large block orders in markets with limited liquidity and varying volatility. Executing the entire order at once usually incurs a large trading cost because of this limited liquidity. In order to minimize this cost traders split up large orders over time. Varying volatility however implies t…
Study how firm liquidation regimes affect shareholder value and stability.
We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in which the goal is to maximize the expected revenue from liquidating the entire p…
Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a `liquidity-adjusted risk measure' characterized by the absence of a fixed time horizon. The underlying assumption is that - due to changes on market liquidity conditions - o…
The paper develops a new model for order book dynamics using Hawkes processes.
The study extends SPT to account for real-world transaction costs, improving portfolio performance.
Optimizes liquidity withdrawal timing for AMM LPs to balance fees and impermanent loss.
We consider rate swaps which pay a fixed rate against a floating rate in presence of bid-ask spread costs. Even for simple models of bid-ask spread costs, there is no explicit strategy optimizing an expected function of the hedging error. We here propose an efficient algorithm based on the stochastic gradient method to…
Paper uses RL to optimize trading in time-varying liquidity markets.
We study the competition of two strategic agents for liquidity in the benchmark portfolio tracking setup of Bank, Soner, Voß (2017). Specifically, both agents track their own stochastic running trading targets while interacting through common aggregated temporary and permanent price impact à la Almgren and Chriss (2001…
Paper tackles liquidating stocks using reinforcement learning.
We extend a linear version of the liquidity risk model of Cetin et al. (2004) to allow for price impacts. We show that the impact of a market order on prices depends on the size of the transaction and the level of liquidity. We obtain a simple characterization of self-financing trading strategies and a sufficient condi…
In this manuscript we analyse the leading statistical properties of fluctuations of (log) 3-month US Treasury bill quotation in the secondary market, namely: probability density function, autocorrelation, absolute values autocorrelation, and absolute values persistency. We verify that this financial instrument, in spit…
We study the existence of a minimal supersolution for backward stochastic differential equations when the terminal data can take the value + with positive probability. We deal with equations on a general filtered probability space and with generators satisfying a general monotonicity assumption. With this minim…
Study optimal liquidation strategies with infinite horizon and regime switching.
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 …
Paper optimizes liquidity provision in decentralized finance markets.
In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities, and constant relative risk aversion trades with small proportional transaction costs. We derive explicit formulas for the optimal investment policy, its implied welfare, liquidity premium, and trading volu…
Model quantifies market price of trading liquidity risk and market depth.
In this paper we develop a new form of agent-based model for limit order books based on heterogeneous trading agents, whose motivations are liquidity driven. These agents are abstractions of real market participants, expressed in a stochastic model framework. We develop an efficient way to perform statistical calibrati…
This paper deals with a stochastic order-driven market model with waiting costs, for order books with heterogenous traders. Offer and demand of liquidity drives price formation and traders anticipate future evolutions of the order book. The natural framework we use is mean field game theory, a class of stochastic diffe…