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.
Time series forecasting is widely used in a multitude of domains. In this paper, we present four models to predict the stock price using the SPX index as input time series data. The martingale and ordinary linear models require the strongest assumption in stationarity which we use as baseline models. The generalized li…
Model analyzes RFQ markets using stochastic control to optimize dealer performance and inventory.
problem Optimizing market making in aggregator-routed RFQ markets with varying dealer performance scores.
method Two-tier stochastic control model that separates RFQ-level price competition from macro routing.
result Optimal controls can be expressed through derivatives of reduced Hamiltonians, leading to interpretable mappings from optimal win probabilities to optimal offsets.
The purpose of this paper is to showcase trading strategies that give solutions to three difficult and intriguing problems in business finance, economics and statistics. The paper discusses trading strategies for both commodities and stocks but the main focus is on stock market trading at the New York Stock Exchange. P…
The Lucas critique has exposed the problem of the trade-off between changes in monetary policy and structural breaks in economic time series. The search for and characterisation of such breaks has been a major econometric task ever since. We have developed an integral technique similar to CUSUM using an empirical model…
The success of lottery ticket initializations (Frankle and Carbin, 2019) suggests that small, sparsified networks can be trained so long as the network is initialized appropriately. Unfortunately, finding these "winning ticket" initializations is computationally expensive. One potential solution is to reuse the same wi…
We find a remarkable agreement between the statistics of a randomly divided interval and the observed statistical patterns and distributions found in horse racing betting markets. We compare the distribution of implied winning odds, the average true winning probabilities, the implied odds conditional on a win, and the …
We continue the study of statistical/computational tradeoffs in learning robust classifiers, following the recent work of Bubeck, Lee, Price and Razenshteyn who showed examples of classification tasks where (a) an efficient robust classifier exists, in the small-perturbation regime; (b) a non-robust classifier can be l…
We consider strategies of investments into options and diffusion market model. It is shown that there exists a correct proportion between "put" and "call" in the portfolio such that the average gain is almost always positive for a generic Black and Scholes model. This gain is zero if and only if the market price of ris…
In-game win probability models, which provide a sports team's likelihood of winning at each point in a game based on historical observations, are becoming increasingly popular. In baseball, basketball and American football, they have become important tools to enhance fan experience, to evaluate in-game decision-making,…
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take decision since responding to market uncertainty needs a constant update of these…
This paper discusses the gambling contest introduced in Seel & Strack (Gambling in contests, Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 375, Mar 2012.) and considers the impact of adding a penalty associated with failure to follow a winning strategy. The Seel & Strack model c…
The paper examines how builders in Ethereum auctions can defect and replicate winning MEV opportunities, affecting searchers' bidding strategies.
problem Commitment problem in Ethereum auctions where builders can defect and replicate winning MEV opportunities.
method Modeling and analysis of searchers' bidding strategies and the resulting equilibrium, using libMEV dataset.
result The equilibrium is piecewise, with the cost of imperfect commitment depending on replicability and competition. There is sharp heterogeneity across MEV types.
This paper is part of an ongoing investigation of "pragmatic information", defined in Weinberger (2002) as "the amount of information actually used in making a decision". Because a study of information rates led to the Noiseless and Noisy Coding Theorems, two of the most important results of Shannon's theory, we begin …
By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the investors' global behavior are found to be closely related to the phase region they fa…
Different models to study the wealth distribution in an artificial society have considered a transactional dynamics as the driving force. Those models include a risk aversion factor, but also a finite probability of favoring the poorer agent in a transaction. Here we study the case where the partners in the transaction…
This paper studies the correlations of the average winnings of agents and the volatilities of systems based on mix-game model which is an extension of minority game (MG). In mix-game, there are two groups of agents; group1 plays the majority game, but the group2 plays the minority game. The results show that the correl…
During times of extreme market turmoil, it is acknowledged that there is a tendency towards "flight to safety". A strong (weak) safe haven is defined as an asset that has a significant positive (negative) return in periods where another asset is in distress, while hedge has to be negatively correlated (uncorrelated) on…
The Tangent Works team participated in GEFCom 2017 to test its automatic model building strategy for time series known as Tangent Information Modeller (TIM). Model building using TIM combined with historical temperature shuffling resulted in winning the competition. This strategy involved one remaining degree of freedo…