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The financial industry has undergone a significant transition from the London Interbank Offered Rates (LIBORs) to Risk Free Rates (RFRs) such as, e.g., the Secured Overnight Financing Rate (SOFR) in the U.S. and the Cash Rate (AONIA) in Australia, as primary benchmark rates for borrowing costs. The paper examines the pricing and hedging method for financial products in a cross-currency framework with the special emph…
This paper examines a comprehensive set of liquidity measures for the U.S. Treasury market. The measures are analyzed relative to one another, across securities, and over time. I find highly significant price impact coefficients, such that a simple model that explains price changes with net order flow produces an R² statistic above 30 percent for the two-year note. The price impact coefficients are highly correlated …
This paper studies a type of periodic utility maximization problem for portfolio management in incomplete stochastic factor models with convex trading constraints. The portfolio performance is periodically evaluated on the relative ratio of two adjacent wealth levels over an infinite horizon, featuring the dynamic adjustments in portfolio decision according to past achievements. Under power utility, we transform the …
In the field of quantitative finance, volatility models, such as ARCH, GARCH, FIGARCH, SV, EWMA, play the key role in risk and portfolio management. Meanwhile, factor investing is more and more famous since mid of 20 century. CAPM, Fama French three factor model, Fama French five-factor model, MSCI Barra factor model are mentioned and developed during this period. In this paper, we will show why we need adjust group …
This paper characterizes all continuous price processes that are consistent with current option prices. This extends Derman and Kani (1994) , Dupire (1994 , 1997 ), and Rubinstein (1994) , who only consider processes with deterministic volatility. Our characterization implies a volatility forecast that does not require a specific model, only current option prices. We show how arbitrary volatility processes can be adj…
Factor models are essential tools for understanding asset returns. Statistical factor models such as principal component analysis (PCA) and autoencoders have been widely used to reduce the high-dimensional panels of returns into a lower-dimensional latent space. Although effective at retaining much of the original variance, these models often lack inherent economic interpretation and rely solely on historical data, f…
In quantitative trading, stock prediction plays an important role in developing an effective trading strategy to achieve a substantial return. Prediction outcomes also are the prerequisites for active portfolio construction and optimization. However, the stock prediction is a challenging task because of the diversified factors involved such as uncertainty and instability. Most of the previous research focuses on anal…
Automated Market Makers based on concentrated liquidity, such as Uniswap v3, significantly improve capital efficiency but expose Liquidity Providers (LPs) to adverse selection costs, formalized as Loss-Versus-Rebalancing (LVR). While theoretical literature quantifies these costs, the interplay between realistic blockchain microstructure and endogenous pricing mechanisms remains under-explored. This paper develops a g…
Persistent shifts in term-structure dynamics undermine the stability of single-regime models in long samples. We develop an arbitrage-free regime-switching generalized CIR (RS-GCIR) model that jointly prices the Chinese government bond (CGB) curve and corporate bond curves. To capture the systematic transmission from interest-rate conditions to credit spreads, we structure the model into two blocks and price corporat…
This paper introduces a novel stochastic model for credit spreads. The stochastic approach leverages the diffusion of default intensities via a CIR++ model and is formulated within a risk-neutral probability space. Our research primarily addresses two gaps in the literature. The first is the lack of credit spread models founded on a stochastic basis that enables continuous modeling, as many existing models rely on fa…
In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates. We do not require classical absence of arbitrage and rely instead on a minimal market viability assumption, which enables us to work in the context of the benchmark approach. In a Markovian setting, we extend the control theoretic approach of Gombani & Runggaldier (2013) and…
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…
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 liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers the asset-liability management of the liquidity gap risk (or asset-liability…
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 liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers asset-liability liquidity risk management (or asset-liability matching). The…
ABSTRACT We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances (excess buying or selling pressure) account for up to 26% of the day‐to‐day variation in yields on days without major macroeconomic announcements. The effect of orderflow on yields is permanent and strongest when liquidity i…
Abstract This paper examines the price differences between very liquid on-the-run U.S. Treasury securities and less liquid off-the-run securities over the on/off cycle. Comparing pairs of securities in time-series regressions allows us to disregard any fixed cross-sectional differences between securities. Also, since the liquidity of Treasury notes varies predictably over time, we can distinguish between current and …
Abstract In this paper, we identify jumps in U.S. Treasury-bond (T-bond) prices and investigate what causes such unexpected large price changes. In particular, we examine the relative importance of macroeconomic news announcements versus variation in market liquidity in explaining the observed jumps in the U.S. Treasury market. We show that while jumps occur mostly at prescheduled macroeconomic announcement times, an…
Abstract Following the “flash crash” on May 6, 2010, warning signals for impending market stress have been in high demand, yet only the VPIN metric of Easley, López de Prado, and O’Hara (ELO) has claimed success. In addition, ELO find the metric useful in predicting short-term volatility. VPIN involves decomposing volume into active buys and sells. We utilize quotes and trade data to construct an accurate trade class…
China credit impulse measures the change in new credit growth relative to GDP and is widely used as a leading indicator for Chinese demand and global cyclical momentum.
EMBI sovereign spread measures the yield premium on emerging-market sovereign debt over U.S. Treasuries and serves as a key gauge of EM credit risk and external financing stress.
Comparing DXY with an EM FX basket helps assess whether dollar strength is becoming a broader external-financing stress event for emerging markets.
Money market fund assets track the amount of cash parked in short-term low-risk vehicles, providing insight into liquidity preference, deposit substitution, and defensive positioning.
Discount Window borrowing measures bank use of Federal Reserve emergency liquidity and serves as a signal of funding pressure and banking-sector strain.
Deposit outflow rate measures the pace at which deposits leave the banking system or individual banks, helping assess funding stability and confidence.
Regional Bank ETF performance helps track stress in smaller and mid-sized banks, especially around deposit stability, asset quality, and local credit conditions.
Bank CDS Index tracks the cost of insuring major bank credit risk and serves as a real-time indicator of banking-system stress and confidence.
BTP-Bund spread measures the yield difference between Italian and German government bonds and is a key indicator of euro-area sovereign stress and fragmentation risk.
The ECB balance sheet reflects the scale of European Central Bank asset holdings and helps track euro-area liquidity, policy transmission, and duration absorption.
The Loan Officer Survey tracks bank lending standards and loan demand, providing insight into whether credit supply is tightening or easing in the real economy.
Investment Grade OAS measures the spread of high-quality corporate bonds over Treasuries after adjusting for embedded options, helping track broad corporate credit conditions.
High Yield OAS measures the spread of high-yield corporate bonds over risk-free Treasuries after adjusting for embedded options, serving as a key gauge of speculative credit stress.
Skew measures the relative richness of downside versus upside implied volatility, helping track hedging demand and asymmetry in market risk pricing.
Indirect bidder allotment tracks the share of Treasury auctions awarded to indirect bidders, often used as a proxy for foreign and institutional demand.
Treasury auction tail measures how much the auction clears above or below the expected market yield, providing a sensitive signal of auction quality and investor demand.
Treasury auction bid-to-cover ratio measures the amount of demand relative to supply at an auction and is used to assess investor appetite for government debt.
Primary dealer holdings track how much inventory dealers are carrying, offering insight into balance-sheet absorption, market-making capacity, and Treasury market strain.
QT pace refers to the speed at which the Federal Reserve allows assets to roll off its balance sheet, affecting reserves, duration supply, and market liquidity.
The Fed balance sheet reflects the scale of Federal Reserve asset holdings and is a major driver of reserves, liquidity conditions, and policy transmission.
Treasury General Account tracks the U.S. Treasury’s cash balance at the Federal Reserve and influences system liquidity by absorbing or releasing reserves.
LIBOR-OIS spread tracks the gap between unsecured bank funding rates and overnight indexed swap rates, historically serving as a benchmark for banking-system stress.
TED Spread measures the difference between interbank lending rates and short-term U.S. government bill yields, historically used as a gauge of credit and funding stress.
Swap spread measures the difference between interest rate swap rates and Treasury yields of similar maturity, helping track balance-sheet conditions, collateral dynamics, and structural stress in rates markets.
SOFR is the Secured Overnight Financing Rate, a key benchmark for U.S. dollar funding based on overnight Treasury repo transactions.
S&P 500 Earnings Yield measures expected earnings relative to price and is useful for assessing valuation and comparing equities with bond yields.
A Financial Conditions Index aggregates variables such as rates, credit spreads, equities, and the dollar to measure how supportive or restrictive the market environment is for growth and risk assets.
Equity Risk Premium measures the excess return investors expect from equities over risk-free assets and is a core framework for evaluating relative equity valuation.
Copper price is widely used as a proxy for industrial activity, manufacturing demand, and global growth expectations.
Gold price reflects demand for a non-yielding reserve asset and is often used as a signal for real yields, macro uncertainty, and confidence in fiat systems.
DXY Index measures the U.S. dollar against a basket of major currencies and serves as a broad gauge of dollar strength and global financial conditions.
USD/JPY cross-currency basis measures the extra cost of obtaining dollars through FX swap markets and is a key indicator of offshore dollar funding stress.
Reverse Repo Facility usage shows how much cash is being parked at the Federal Reserve overnight and helps track reserve distribution, collateral demand, and system liquidity conditions.
Repo rates reflect the cost of short-term secured borrowing against collateral and are central to understanding liquidity, Treasury market functioning, and funding stress.
US 10-Year Real Yield measures the inflation-adjusted yield on 10-year Treasuries and is a key benchmark for discount rates, financial conditions, and macro asset pricing.
US 10-Year Breakeven Inflation reflects the inflation rate implied by the gap between nominal Treasuries and TIPS, serving as a market-based gauge of long-term inflation expectations.
The 2s10s Treasury curve measures the spread between 10-year and 2-year Treasury yields and is a key indicator of growth expectations, policy path, and term structure dynamics.
The 3M10Y Treasury curve compares 10-year Treasury yields with 3-month Treasury bill yields and is closely watched as a recession and policy-cycle indicator.
ABS Tranche EM Asia (Fixed Income).
Active Share Measure (Quant).
Adverse Selection easing Regime (Microstructure).
Adverse Selection Treasury — Execution quality, book dynamics, or venue microstructure concept.
AFS AOCI ASEAN (Banking).
AFS AOCI EM Asia (Banking).
Agency MBS Basis — Spread between MBS and hedging Treasury futures, a core RV monitor.
Agency MBS EM Asia (Fixed Income).
Agent Loop Budget easing Regime (AI Systems).
Agricultural Weather Risk — Crop yields and prices driven by growing-season weather.
Alpha Decay — Speed at which a signal loses predictive power as capital competes for it.
Alpha Decay easing — Quantitative signal, risk, or portfolio-construction building block.
Alt Season Beta BNB (Crypto).
Alt Season Beta BTC (Crypto).
Alt Season Beta CEX (Crypto).
Alt Season Beta DeFi (Crypto).
Alt Season Beta DEX (Crypto).
Alt Season Beta ETH (Crypto).
Alt Season Beta options (Crypto).
Alt Season Beta perp (Crypto).
Alt Season Beta SOL (Crypto).
Alt Season Beta spot (Crypto).
A funding-stress monitor can warn before equity volatility reprices.
A liquidity premium monitor can separate default risk from liquidity-driven spread widening.
A card for handling fast markets, wide spreads, liquidity air pockets, and broken execution assumptions.
Tracks policy reversal probability, market repricing windows, and timing mismatch between rhetoric and positioning.
A reusable card for converting research papers into buildable strategy or monitoring objects.
A card for tracking cross-currency basis, repo dislocations, and balance-sheet stress as early warning signals.
A serial decision card combining direction filter and time-window filter before execution.