arXiv · arXiv · 2022
This paper examines the effect of the political network of Chinese municipal leaders on the pricing of municipal corporate bonds. Using municipal leaders' working experience to measure the political network, we find that this network reduces the bond issuance yield spreads by improving the credit ratings of the issuer, the local government financing vehicle. The relationship between political networks and issuance yi…
Jaehyuk Choi, Lei Lu, Heungju Park, Sungbin Sohn
arXiv · arXiv · 2019
This paper analyses the Chinese Sovereign bond yield to find out the principal factors affecting the term structure of interest rate changes. We apply Principal Component Analysis (PCA) on our data consisting of the Chinese Sovereign bond from January 2002 till May 2018 with the different yield to maturity. Then we will discuss the multi-factor immunization model (method on hedging market risk) on a bond portfolio.
Lim Tze Yee, Tony She, Kezia Irene
arXiv · arXiv · 2014
In this paper, we assume that the permanent market impact of metaorders is linear and that the price is a martingale. Those two hypotheses enable us to derive the evolution of the price from the dynamics of the flow of market orders. For example, if the market order flow is assumed to follow a nearly unstable Hawkes process, we retrieve the apparent long memory of the flow together with a power law impact function wh…
Thibault Jaisson
arXiv · arXiv · 2013
The principal portfolios of the standard Capital Asset Pricing Model (CAPM) are analyzed and found to have remarkable hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky securities into an equivalent but uncorrelated set when short sales are allowed. While a determination of principal portfolios in general requires a detailed knowledge of the covariance…
M. Hossein Partovi
arXiv · arXiv · 2012
When executing their orders, investors are proposed different strategies by brokers and investment banks. Most orders are executed using VWAP algorithms. Other basic execution strategies include POV (also called PVol) -- for percentage of volume --, IS -- implementation shortfall -- or Target Close. In this article dedicated to POV strategies, we develop a liquidation model in which a trader is constrained to liquida…
Olivier Guéant
OpenAlex · LA Referencia (Red Federada de Repositorios Institucionales de Publicaciones Científicas) · 2019 · cites 11571
Abstract: SciPy is an open-source scientific computing library for the Python programming language. Since its initial release in 2001, SciPy has become a de facto standard for leveraging scientific algorithms in Python, with over 600 unique code contributors, thousands of dependent packages, over 100,000 dependent repositories and millions of downloads per year. In this work, we provide an overview of the capabilitie…
Pauli Virtanen, Ralf Gommers, Travis E. Oliphant, Matt Haberland, Tyler Reddy
arXiv · arXiv · 2026
This paper introduces a dynamic portfolio optimization framework for large institutional investors using Scientific Physics-Informed Reinforcement Learning (SciPhyRL). Formulated in continuous time over an extended state space that includes explicit cumulative costs, the approach leverages offline historical data to learn optimal, distribution-aware strategies. A core innovation reduces the optimization challenge to …
Igor Halperin, Andrey Itkin
arXiv · arXiv · 2026
A portfolio is \emph{anticipatory} when its optimizer acts on a richer model than the myopic, price-taking estimator used to calibrate it. Enrichment may be informational, via enlarged filtrations; dynamic, via horizon forecasts; or performative, via the deployment law induced by market impact. We give a decision-theoretic definition for all three cases and measure anticipation by the realized control gap between enr…
Miquel Noguer i Alonso
arXiv · arXiv · 2026
We present an approximate dynamic programming framework for designing degradation-aware market participation policies for battery energy storage systems. The approach employs a tailored value function approximation that reduces the state space to state of charge and battery health, while performing dynamic programming along a pseudo-time axis encoded by state of health. This formulation enables an offline/online comp…
Flemming Holtorf, Sungho Shin
arXiv · arXiv · 2025
We consider an economy composed of different risk profile regions wishing to be hedged against a disaster risk using multi-region catastrophe insurance. Such catastrophic events inherently have a systemic component; we consider situations where the insurer faces a non-zero probability of insolvency. To protect the regions against the risk of the insurer's default, we introduce a public-private partnership between the…
Fallou Niakh, Arthur Charpentier, Caroline Hillairet, Philipp Ratz
arXiv · arXiv · 2025
Central banks around the world play a crucial role in maintaining economic stability. Deciphering policy implications in their communications is essential, especially as misinterpretations can disproportionately impact vulnerable populations. To address this, we introduce the World Central Banks (WCB) dataset, the most comprehensive monetary policy corpus to date, comprising over 380k sentences from 25 central banks …
Agam Shah, Siddhant Sukhani, Huzaifa Pardawala, Saketh Budideti, Riya Bhadani
arXiv · arXiv · 2024
In economic analysis, rational decision-makers often take actions to reduce their risk exposure. These actions include purchasing market insurance and implementing prevention measures to modify the shape of the loss distribution. Under the assumption that the insureds' actions are fully observed by the insurer, this paper investigates the interaction between self-protection and insurance demand when insurance premium…
Qiqi Li, Wei Wang, Yiying Zhang
arXiv · arXiv · 2024
One type of bond with the most implicit government guarantee is municipal investment bonds. In recent years, there have been an increasing number of downgrades in the credit ratings of municipal bonds, which has led some people to question whether the implicit government guarantee may affect the objectivity of the bond ratings? This paper uses text mining methods to mine relevant policy documents related to municipal…
Yan Zhang, Yixiang Tian, Lin Chen
arXiv · arXiv · 2024
The trading ecosystem of the Municipal (muni) bond is complex and unique. With nearly 2\% of securities from over a million securities outstanding trading daily, determining the value or relative value of a bond among its peers is challenging. Traditionally, relative value calculation has been done using rule-based or heuristics-driven approaches, which may introduce human biases and often fail to account for complex…
Preetha Saha, Jingrao Lyu, Dhruv Desai, Rishab Chauhan, Jerinsh Jeyapaulraj
arXiv · arXiv · 2024
This paper investigates the potential of blockchain-based fan tokens, a class of crypto asset that grants holders access to voting on club decisions and other perks, as a mechanism for stimulating democratized decision-making and fan engagement in the sports and esports sectors. By utilizing an extensive dataset of 3,576 fan token polls, we reveal that fan tokens engage an average of 4,003 participants per poll, repr…
Lennart Ante, Aman Saggu, Benjamin Schellinger, Friedrich Wazinksi
arXiv · arXiv · 2023
This paper presents a method for predicting stock returns using principal component analysis (PCA) and the hidden Markov model (HMM) and tests the results of trading stocks based on this approach. Principal component analysis is applied to the covariance matrix of stock returns for companies listed in the S&P 500 index, and interpreting principal components as factor returns, we apply the HMM model on them. Then we u…
Eugene W. Park
arXiv · arXiv · 2022
Decentralized finance (DeFi) can broaden access while leaving activity, network position, and infrastructure concentrated. We develop a four-dimensional framework for participation, activity distribution, structural position, and infrastructure dependence, integrating network theory, theorem-consistent agent-based simulation, and longitudinal analysis of 1,956,216 Aave V3 Pool events. We study GHO issuance on Ethereu…
Ziqiao Ao, Lin William Cong, Gergely Horvath, Luyao Zhang
arXiv · arXiv · 2021
Principal agent games are a growing area of research which focuses on the optimal behaviour of a principal and an agent, with the former contracting work from the latter, in return for providing a monetary award. While this field canonically considers a single agent, the situation where multiple agents, or even an infinite amount of agents are contracted by a principal are growing in prominence and pose interesting a…
Dena Firoozi, Arvind V Shrivats, Sebastian Jaimungal