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 study examines markets with multiple numéraires and finds equivalent martingale measures.
Spatial ABM predicts housing market trends in Sydney.
We test the price momentum effect in the Korean stock markets under the momentum universe shrinkage to subuniverses of the KOSPI 200. Performance of the momentum strategy is not homogeneous with respect to change of the momentum universe. It is found that some submarkets generate the higher momentum returns than other …
The paper extends collective arbitrage concepts to multi-agent markets with cooperation.