Treasury Market Liquidity and Early Lessons from the Pandemic Shock
Remarks at Brookings-Chicago Booth Task Force on Financial Stability (TFFS) meeting, panel on market liquidity (delivered via videoconference).
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Results for “EM” · papers 18 · wiki 36
Academic Papers · 18arXiv q-fin live 8 · desk corpus 56
High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems
Acknowledgments. Chapter 1 Introduction. Chapter 2 Evolution of High-Frequency Trading. Financial Markets And Technological Innovation. Evolution Of Trading Methodology. Chapter 3 Overview of the Business of High-Frequency Trading. Comparison With Traditional Approaches to Trading. Market Participants. Operating Model. Economics. Capitalizing a High-Frequency Trading Business. Conclusion. Chapter 4 Financial Markets …
FRM Financial Risk Meter for Emerging Markets
The fast-growing Emerging Market (EM) economies and their improved transparency and liquidity have attracted international investors. However, the external price shocks can result in a higher level of volatility as well as domestic policy instability. Therefore, an efficient risk measure and hedging strategies are needed to help investors protect their investments against this risk. In this paper, a daily systemic ri…
Global, regional, and national burden of stroke and its risk factors, 1990–2019: a systematic analysis for the Global Burden of Disease Study 2019
BACKGROUND: Regularly updated data on stroke and its pathological types, including data on their incidence, prevalence, mortality, disability, risk factors, and epidemiological trends, are important for evidence-based stroke care planning and resource allocation. The Global Burden of Diseases, Injuries, and Risk Factors Study (GBD) aims to provide a standardised and comprehensive measurement of these metrics at globa…
Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk
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…
Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk
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…
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk
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…
Systemic liquidity contagion in the European interbank market
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate funding liquidity risk and contagion are available but they require not only banks' bilateral exposures data but also balance sheet data with sufficient granularity, which are hardly a…
Adaptive Quantitative Trading: An Imitative Deep Reinforcement Learning Approach
In recent years, considerable efforts have been devoted to developing AI techniques for finance research and applications. For instance, AI techniques (e.g., machine learning) can help traders in quantitative trading (QT) by automating two tasks: market condition recognition and trading strategies execution. However, existing methods in QT face challenges such as representing noisy high-frequent financial data and fi…
Reinforcement Learning for Quantitative Trading
Quantitative trading (QT) , which refers to the usage of mathematical models and data-driven techniques in analyzing the financial market, has been a popular topic in both academia and financial industry since 1970s. In the last decade, reinforcement learning (RL) has garnered significant interest in many domains such as robotics and video games, owing to its outstanding ability on solving complex sequential decision…
Beyond Prompting: An Autonomous Framework for Systematic Factor Investing via Agentic AI
This paper develops an autonomous framework for systematic factor investing via agentic AI. Rather than relying on sequential manual prompts, our approach operationalizes the model as a self-directed engine that endogenously formulates interpretable trading signals. To mitigate data snooping biases, this closed-loop system imposes strict empirical discipline through out-of-sample validation and economic rationale req…
Realized GARCH, CBOE VIX, and the Volatility Risk Premium
We show that the Realized GARCH model yields close-form expression for both the Volatility Index (VIX) and the volatility risk premium (VRP). The Realized GARCH model is driven by two shocks, a return shock and a volatility shock, and these are natural state variables in the stochastic discount factor (SDF). The volatility shock endows the exponentially affine SDF with a compensation for volatility risk. This leads t…
Censored EM algorithm for Weibull mixtures: application to arrival times of market orders
In a previous analysis the problem of "zero-inflated" time data (caused by high frequency trading in the electronic order book) was handled by left-truncating the inter-arrival times. We demonstrated, using rigorous statistical methods, that the Weibull distribution describes the corresponding stochastic dynamics for all inter-arrival time differences except in the region near zero. However, since the truncated Weibu…
Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium
We derive representations of local risk-minimization of call and put options for Barndorff-Nielsen and Shephard models: jump type stochastic volatility models whose squared volatility process is given by a non-Gaussian rnstein-Uhlenbeck process. The general form of Barndorff-Nielsen and Shephard models includes two parameters: volatility risk premium $β$ and leverage effect $ρ$. Arai and Suzuki (2015, arxiv:1503.0858…
DEALER INVENTORY MANAGEMENT SYSTEMS
This paper presents a model for analyzing inventory control policies for dealers that support the sales and service of manufactured goods. The environment faced by dealers is characterized by multiple stochastic demand classes (prioritized into emergency and regular), a principal source for boui emergency and regular requirements, multiple secondary sources for expedite requirements, and constraints on the lead time …
Data-Driven Duration Management -- Term Structure Forecasting Using Machine Learning
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 …
An empirical analysis of the CDX index and its tranches
The desire of market participants to go long or short a portfolio of corporate credits led to the introduction of various types of indices of credit default swaps. In this article, we empirically investigate the relationships between the spreads of the North America CDX index and its tranches and their theoretical determinants. We find (1) support for a number of results predicted by the structural models used in cre…
TradeMech: A Method to Multilaterally Net Trades Without Altering Counterparty Exposure
Financial markets such as bond, derivatives, and repo markets form networks of interdependent obligations. Existing multilateral netting methods typically trade off the extent of netting against preservation of counterparty exposure: central clearing reallocates exposure to a central counterparty, while trade compression may alter bilateral counterparty relationships. TradeMech is a mechanism for markets in which one…
Wiki Entities · 36
Economy
China Credit Impulse
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.
Emerging Markets
EMBI Sovereign Spread
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.
FX
Dollar Index vs EM FX Basket
Comparing DXY with an EM FX basket helps assess whether dollar strength is becoming a broader external-financing stress event for emerging markets.
Liquidity
Bank Term Funding Program Usage
BTFP usage tracks how much funding banks obtain through the Bank Term Funding Program, offering insight into balance-sheet stress and demand for official liquidity backstops.
Liquidity
Discount Window Borrowing
Discount Window borrowing measures bank use of Federal Reserve emergency liquidity and serves as a signal of funding pressure and banking-sector strain.
Banking
Deposit Outflow Rate
Deposit outflow rate measures the pace at which deposits leave the banking system or individual banks, helping assess funding stability and confidence.
Banking
Bank CDS Index
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.
Emerging Markets
BTP-Bund Spread
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.
Credit
Loan Officer Survey
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.
Credit
Investment Grade OAS
Investment Grade OAS measures the spread of high-quality corporate bonds over Treasuries after adjusting for embedded options, helping track broad corporate credit conditions.
Credit
High Yield OAS
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.
Derivatives
Skew
Skew measures the relative richness of downside versus upside implied volatility, helping track hedging demand and asymmetry in market risk pricing.
Fixed Income
Indirect Bidder Allotment
Indirect bidder allotment tracks the share of Treasury auctions awarded to indirect bidders, often used as a proxy for foreign and institutional demand.
Fixed Income
Treasury Auction Tail
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.
Fixed Income
Treasury Auction Bid-to-Cover Ratio
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.
Liquidity
Bank Reserve Balances
Bank reserve balances reflect the quantity of reserves held by banks at the Federal Reserve and are central to understanding liquidity distribution and financial system stability.
Liquidity
Treasury General Account
Treasury General Account tracks the U.S. Treasury’s cash balance at the Federal Reserve and influences system liquidity by absorbing or releasing reserves.
Liquidity
LIBOR-OIS Spread
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.
Equity
S&P 500 Earnings Yield
S&P 500 Earnings Yield measures expected earnings relative to price and is useful for assessing valuation and comparing equities with bond yields.
Equity
Equity Risk Premium
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.
Commodities
Copper Price
Copper price is widely used as a proxy for industrial activity, manufacturing demand, and global growth expectations.
Commodities
Baltic Dry Index
Baltic Dry Index tracks shipping rates for dry bulk commodities and offers a real-economy signal on trade flows, freight conditions, and industrial demand.
Commodities
Gold Price
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.
Liquidity
Reverse Repo Facility Usage
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.
Rates
Term Premium
Term premium is the extra compensation investors demand for holding longer-term bonds instead of rolling short-term debt, reflecting duration risk, uncertainty, and market structure.
AI Systems
Retrieval-Augmented Generation
AI pattern combining vector retrieval with model reasoning to reduce hallucination and add memory.
AI Systems
Agent Workflow
Structured orchestration of tools, models, and memory into repeatable decision pipelines.
Macro Policy
Forward Guidance
Forward Guidance — How central bank language shapes term premium and front-end rate expectations before actual policy moves.
Macro Policy
Countercyclical Capital Buffer
Countercyclical Capital Buffer — Bank capital requirements that tighten or ease through the credit cycle.
Macro Policy
Emergency Liquidity Facility
Emergency Liquidity Facility — Standing and ad-hoc facilities that reveal where stress is concentrated in the financial system.
Economy
Phillips Curve
Phillips Curve — The relationship between labor market tightness and inflation dynamics, heavily debated in post-pandemic regimes.
Economy
Nonfarm Payrolls
Nonfarm Payrolls — The headline US jobs report that routinely moves rates, FX, and equity index volatility.
Economy
Unemployment Rate
Unemployment Rate — Labor slack measure tied to wage pressure, consumption resilience, and recession rule signals.
Economy
Beveridge Curve
Beveridge Curve — Vacancy-unemployment relationship signaling matching efficiency and structural labor shifts.
Economy
Household Savings Rate
Household Savings Rate — Aggregate saving that supports or constrains future consumption and risk asset demand.
Fixed Income
Steepener Flattener Trade
Steepener Flattener Trade — Curve trades expressing views on growth, inflation, and term premium independently of level.
Option Blackboard · 3
vol-structure
IV Rank & Surface Filter
Vol-structure note for classifying rich vs cheap ATM IV and surface dispersion before choosing credit or debit templates.
code
Put/Call Flow Watch
Scanner code fragment for put/call ratio and open-interest activity on the ATM chain window.
strategy
Defined-Risk Bridge Playbook
Strategy bridge from Blackboard scanner cards into Options Lab templates without implying live broker execution.
Encyclopedia · 24
13D 13G Activist
13D 13G Activist (Systems).
13F Filing
13F Filing (Systems).
2 and 20 Legacy
2 and 20 Legacy (Systems).
40 Act Fund
40 Act Fund (Systems).
ABS Tranche CEEMEA
ABS Tranche CEEMEA (Fixed Income).
ABS Tranche EM Asia
ABS Tranche EM Asia (Fixed Income).
ADR Parity EM
ADR Parity EM (Equity).
ADR Premium Discount
ADR Premium Discount (Equity).
AFS AOCI CEEMEA
AFS AOCI CEEMEA (Banking).
AFS AOCI EM Asia
AFS AOCI EM Asia (Banking).
Agency MBS CEEMEA
Agency MBS CEEMEA (Fixed Income).
Agency MBS EM Asia
Agency MBS EM Asia (Fixed Income).
Agent Loop Budget batch
Agent Loop Budget batch — AI retrieval, agent, evaluation, or production-reliability concept.
Agent Loop Budget canary
Agent Loop Budget canary — AI retrieval, agent, evaluation, or production-reliability concept.
Agent Loop Budget carry Regime
Agent Loop Budget carry Regime (AI Systems).
Agent Loop Budget chat
Agent Loop Budget chat — AI retrieval, agent, evaluation, or production-reliability concept.
Agent Loop Budget disinflation Regime
Agent Loop Budget disinflation Regime (AI Systems).
Agent Loop Budget easing Regime
Agent Loop Budget easing Regime (AI Systems).
Agent Loop Budget founder mode
Agent Loop Budget founder mode — AI retrieval, agent, evaluation, or production-reliability concept.
Agent Loop Budget lab
Agent Loop Budget lab — AI retrieval, agent, evaluation, or production-reliability concept.
Agent Loop Budget liquidity-crisis Regime
Agent Loop Budget liquidity-crisis Regime (AI Systems).
Agent Loop Budget ops
Agent Loop Budget ops — AI retrieval, agent, evaluation, or production-reliability concept.
Agent Loop Budget production
Agent Loop Budget production — AI retrieval, agent, evaluation, or production-reliability concept.
Agent Loop Budget rag
Agent Loop Budget rag — AI retrieval, agent, evaluation, or production-reliability concept.
Cards · 5
StrategyCard
USD Funding Stress as Equity Vol Trigger
A funding-stress monitor can warn before equity volatility reprices.
SignalCard
Corporate Yield Spreads and Bond Liquidity
A liquidity premium monitor can separate default risk from liquidity-driven spread widening.
MethodCard
Paper to Strategy Transfer
A reusable card for converting research papers into buildable strategy or monitoring objects.
RiskCard
Funding Stress Monitor
A card for tracking cross-currency basis, repo dislocations, and balance-sheet stress as early warning signals.
StrategyCard
Dual-Blade Entry Filter
A serial decision card combining direction filter and time-window filter before execution.
Local Modules · 1