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arXiv research

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.

169,051 papers · 148 categories

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2 results for “time-dispersing”
Optimal FX Hedge Tenor with Liquidity Riskq-fin.RM

Develops optimal currency hedging strategy for fund managers considering liquidity risk.

problem Choosing optimal foreign exchange (FX) hedge tenors to maximize carry returns within liquidity constraints.
method Time-dispersing total hedge value into future time buckets, maximizing FX carry benefit while adhering to liquidity risk metric (CFaR).
result Hedging strategy operates within liquidity budget, demonstrating practical insights for fund managers.
FX hedgingcurrency riskliquidity riskcarry tradetime-dispersing
2019-03-15abs ↗pdf ↗
Statistical and economic evaluation of forecasts in electricity markets: beyond RMSE and MAEq-fin.CP

This paper evaluates forecast quality in electricity markets beyond traditional accuracy measures.

problem Traditional accuracy measures fail to reflect the economic value of electricity price forecasts.
method Investigates four quality dimensions: accuracy, dispersion, association, and extremum identification.
result Dispersion- and association-based measures better capture forecast economic value.
electricity marketsforecast evaluationbattery energy storageprice dispersionassociation
2025-11-17abs ↗pdf ↗