Papers, wiki, Option Blackboard, encyclopedia, and cards.
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…
This paper compares different methods for forecasting the term structure of U.S. and European zero-coupon government bonds using both traditional econometric and Machine Learning (ML) approaches. We compare classical models (e.g., Dynamic Nelson-Siegel (DNS) and Principal Component Analysis (PCA)) with different Neural Network (NN) architectures, including those inspired by the classical models, on the U.S. Treasury …
This paper develops a three-currency Heath-Jarrow-Morton framework in which corporate credit is treated as a separate economy, connected to the nominal and real economies through synthetic inflation and credit exchange rates. The framework produces a testable identity. Under joint no-arbitrage, the credit spread of an issuer expressed over the inflation-rateindexed risk-free curve equals the same issuer's credit spre…
Financial decision systems require fast surrogate models for pricing, calibration, hedging, XVA, stress testing, and portfolio optimization. Standard neural surrogates reproduce prices or risk quantities, but downstream tasks depend as much on derivatives: deltas, vegas, curve and credit-spread sensitivities, exposure and objective gradients. We formulate a derivative-informed operator-learning framework in which the…
We demonstrate that wave amplification enables even weak nonlinearities to reshape linear wave-packet transport in nonreciprocal systems. We study the dynamics of bulk Gaussian wave packets in the Hatano--Nelson model with onsite cubic nonlinearity. We show that the interplay between nonlinearity and amplification generates growing frequency shifts that drive the wave packet through three successive dynamical regimes…
How price actually forms through order flow, spreads, inventory, and participant interaction.
Labor Force Participation — Supply-side labor availability affecting wage pressure and potential output estimates.
Put Call Ratio — Relative demand for downside protection versus upside participation.
Covered Interest Parity — No-arbitrage link of forwards to interest rate differentials.
Reciprocal Deposits (Banking).
FX Settlement Herstatt Risk — Intraday principal risk in FX settlement mitigated by CLS.
POV Participation US equities — Execution quality, book dynamics, or venue microstructure concept.
POV Participation EU equities — Execution quality, book dynamics, or venue microstructure concept.
POV Participation futures — Execution quality, book dynamics, or venue microstructure concept.
POV Participation ETF — Execution quality, book dynamics, or venue microstructure concept.
POV Participation options — Execution quality, book dynamics, or venue microstructure concept.
POV Participation FX spot — Execution quality, book dynamics, or venue microstructure concept.
POV Participation Treasury — Execution quality, book dynamics, or venue microstructure concept.
POV Participation IG credit — Execution quality, book dynamics, or venue microstructure concept.
POV Participation HY credit — Execution quality, book dynamics, or venue microstructure concept.
POV Participation crypto — Execution quality, book dynamics, or venue microstructure concept.
Municipal Curve 1M (Fixed Income).
Municipal Curve 3M (Fixed Income).
Municipal Curve 6M (Fixed Income).
Municipal Curve 1Y (Fixed Income).
Municipal Curve 2Y (Fixed Income).
Municipal Curve 5Y (Fixed Income).
Municipal Curve 7Y (Fixed Income).
Municipal Curve 10Y (Fixed Income).
Municipal Curve 20Y (Fixed Income).
Municipal Curve 30Y (Fixed Income).
Municipal Curve front (Fixed Income).
Municipal Curve belly (Fixed Income).
Municipal Curve long-end (Fixed Income).
Municipal Curve ultra-long (Fixed Income).
Municipal Curve US (Fixed Income).
Municipal Curve Euro Area (Fixed Income).
Municipal Curve UK (Fixed Income).
Municipal Curve Japan (Fixed Income).
Municipal Curve China (Fixed Income).
Municipal Curve EM Asia (Fixed Income).
FX Settlement Herstatt Risk — Intraday principal risk in FX settlement mitigated by CLS.
Labor Force Participation — Supply-side labor availability affecting wage pressure and potential output estimates.
Labor Participation ASEAN (Economy).
Labor Participation Australia (Economy).
Labor Participation Brazil (Economy).
Labor Participation Canada (Economy).
Labor Participation CEEMEA (Economy).
Labor Participation China (Economy).
Labor Participation core (Economy).
Labor Participation EM Asia (Economy).
Labor Participation Euro Area (Economy).
Labor Participation headline (Economy).
Labor Participation India (Economy).
Labor Participation Indonesia (Economy).
Labor Participation Japan (Economy).
Labor Participation Korea (Economy).
Labor Participation LatAm (Economy).
Labor Participation Mexico (Economy).
Labor Participation Nordics (Economy).
Labor Participation Poland (Economy).
Labor Participation real-time (Economy).
Labor Participation revision (Economy).
Labor Participation South Africa (Economy).
Labor Participation surprise (Economy).