Papers, wiki, Option Blackboard, encyclopedia, and cards.
The ‘credit channel’ theory of monetary policy transmission holds that informational frictions in credit markets worsen during tight-money periods. The resulting increase in the external finance premium--the difference in cost between internal and external funds--enhances the effects of monetary policy on the real economy. The authors document the responses of GDP and its components to monetary policy shocks and desc…
In modern society, the trading methods and strategies used in financial market have gradually changed from traditional on-site trading to electronic remote trading, and even online automatic trading performed by a pre-programmed computer programs because the continuous development of network and computer computing technology. The quantitative trading, which the main purpose is to automatically formulate people's inve…
Cross-market portfolio optimization has become increasingly complex with the globalization of financial markets and the growth of high-frequency, multi-dimensional datasets. Traditional artificial neural networks, while effective in certain portfolio management tasks, often incur substantial computational overhead and lack the temporal processing capabilities required for large-scale, multi-market data. This study in…
We aim to construct a general framework for portfolio management in continuous time, encompassing both stocks and bonds. In these lecture notes we give an overview of the state of the art of optimal bond portfolios and we re-visit main results and mathematical constructions introduced in our previous publications (Ann. Appl. Probab. \textbf{15}, 1260--1305 (2005) and Fin. Stoch. {\bf9}, 429--452 (2005)). A solution o…
With the recent advancements in machine learning (ML), artificial neural networks (ANN) are starting to play an increasingly important role in quantitative finance. Dynamic portfolio optimization is among many problems that have significantly benefited from a wider adoption of deep learning (DL). While most existing research has primarily focused on how DL can alleviate the curse of dimensionality when solving the Ha…
In the setting of stochastic Volterra equations, and in particular rough volatility models, we show that conditional expectations are the unique classical solutions to path-dependent PDEs. The latter arise from the functional Itô formula developed by [Viens, F., & Zhang, J. (2019). A martingale approach for fractional Brownian motions and related path dependent PDEs. Ann. Appl. Probab.]. We then leverage these tools …
Recently artificial neural networks (ANNs) have seen success in volatility prediction, but the literature is divided on where an ANN should be used rather than the common GARCH model. The purpose of this study is to compare the volatility prediction performance of ANN and GARCH models when applied to stocks with low, medium, and high volatility profiles. This approach intends to identify which model should be used fo…
This paper studies deep learning methodologies for portfolio optimization in the US equities market. We present a novel residual switching network that can automatically sense changes in market regimes and switch between momentum and reversal predictors accordingly. The residual switching network architecture combines two separate residual networks (ResNets), namely a switching module that learns stock market conditi…
In this paper, a neural network-based stock price prediction and trading system using technical analysis indicators is presented. The model developed first converts the financial time series data into a series of buy-sell-hold trigger signals using the most commonly preferred technical analysis indicators. Then, a Multilayer Perceptron (MLP) artificial neural network (ANN) model is trained in the learning stage on th…
In this paper we apply a new approach of the string theory to the real financial market. It is direct extension and application of the work [1] into prediction of prices. The models are constructed with an idea of prediction models based on the string invariants (PMBSI). The performance of PMBSI is compared to support vector machines (SVM) and artificial neural networks (ANN) on an artificial and a financial time ser…
An order-book market whose liquidity provision is anchored to a fundamental value carries a restoring force: the price mean-reverts to value and the book refills after a shock. We show this restoring force is a robust intrinsic stabiliser and identify it causally-dialling the anchor down removes the mean-reversion, and a leverage-driven fire-sale then self-sustains. Separately, we ask whether a stressed market transm…
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers the modeling of the liability liquidity risk (or funding liquidity), the second dimension is dedicated to the modeling of the asset liquidity risk (or market liquidity), whereas the third dimension considers the management of the asset-liability liquidi…
We propose a non-linear observation-driven version of the Hasbrouck (1991) model for dynamically estimating trades' market impact and information content. We find that market impact displays an intraday pattern superimposed with large fluctuations. Some of them are exogenous, and, as an example, we investigate market impact dynamics around FOMC announcements. Contrary to Hasbrouck (1991), we find that the information…
We revisit the problem of pricing options with historical volatility estimators. We do this in the context of a generalized GARCH model with multiple time scales and asymmetry. It is argued that the reason for the observed volatility risk premium is tail risk aversion. We parametrize such risk aversion in terms of three coefficients: convexity, skew and kurtosis risk premium. We propose that option prices under the r…
Scaling generative inverse and forward rendering to real-world scenarios is bottlenecked by the limited realism and temporal coherence of existing synthetic datasets. To bridge this persistent domain gap, we introduce a large-scale, dynamic dataset curated from visually complex AAA games. Using a novel dual-screen stitched capture method, we extracted 4M continuous frames (720p/30 FPS) of synchronized RGB and five G-…
Retractions serve as an indicator of failures in research integrity, yet most analyses focus on absolute counts rather than risk per paper. We use one of the largest open bibliographic databases to develop incidence metrics normalized by population: retractions per publication and per active author annually. Applying an epidemiological framework that models counts with exposure, we find evidence of exponential growth…
As TLS 1.3 encryption limits traditional Deep Packet Inspection (DPI), the security community has pivoted to Euclidean Transformer-based classifiers (e.g., ET-BERT) for encrypted traffic analysis. However, these models remain vulnerable to byte-level adversarial morphing -- recent pre-padding attacks reduced ET-BERT accuracy to 25.68%, while VLESS Reality bypasses certificate-based detection entirely. We introduce AE…
We describe a bottom-up framework, based on the identification of appropriate order parameters and determination of phase diagrams, for understanding progressively refined agent-based models and simulations of financial markets. We illustrate this framework by starting with a deterministic toy model, whereby $N$ independent traders buy and sell $M$ stocks through an order book that acts as a clearing house. The price…
Vanna Charm Flow — Second-order greek hedging flows that amplify or dampen spot moves around expiries.
Vanna Exposure (Derivatives).
Dealer Vanna Flows (Derivatives).
Resolution Planning (Banking).
Impossible Trinity — Cannot have fixed FX, open capital, and independent policy.
Announcement Effect (Economy).
Crypto ETF Flow Impact — Spot ETF creations/redemptions as a structural demand channel.
Embedding Similarity Search — Vector nearest-neighbor retrieval for semantic search.
Forward Guidance Channel US — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Euro Area — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel UK — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Japan — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel China — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel EM Asia — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel LatAm — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel CEEMEA — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Canada — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Australia — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Nordics — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel ASEAN — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel India — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Korea — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Brazil — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Mexico — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel South Africa — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Turkey — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Poland — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Indonesia — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel risk-on — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel risk-off — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel tightening — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel easing — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel stagflation — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel reflation — Policy reaction, fiscal-monetary, or macroprudential concept.
Vanna Map 1M (Derivatives).
Vanna Map 3M (Derivatives).
Code-linked scanner pattern that maps front-vol stress, ATM IV, and dealer gamma context into Blackboard + Options Lab actions.
Vol-structure note for classifying rich vs cheap ATM IV and surface dispersion before choosing credit or debit templates.
Scanner code fragment for put/call ratio and open-interest activity on the ATM chain window.
Strategy bridge from Blackboard scanner cards into Options Lab templates without implying live broker execution.
Educational IV × Greeks × surface sandbox already mounted on the Blackboard — synthetic regimes for pedagogy beside the live scanner.
Announcement Effect (Economy).
Crypto ETF Flow Impact — Spot ETF creations/redemptions as a structural demand channel.
Dealer Vanna Flows (Derivatives).
Forward Guidance Channel ASEAN — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Australia — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Brazil — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Canada — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel CEEMEA — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel China — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel easing — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel EM Asia — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Euro Area — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel India — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Indonesia — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Japan — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Korea — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel LatAm — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Mexico — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Nordics — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel Poland — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel reflation — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel risk-off — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel risk-on — Policy reaction, fiscal-monetary, or macroprudential concept.
Forward Guidance Channel South Africa — Policy reaction, fiscal-monetary, or macroprudential concept.