Search

Search

Papers, wiki, Option Blackboard, encyclopedia, and cards.

Results for “EU” · papers 1 · wiki 28
Academic Papers · 1arXiv q-fin live 0 · desk corpus 1
arXiv · arXiv · 2024

Investigating the price determinants of the European Emission Trading System: a non-parametric approach

The European carbon market plays a pivotal role in the European Union's ambitious target of achieving carbon neutrality by 2050. Understanding the intricacies of factors influencing European Union Emission Trading System (EU ETS) market prices is paramount for effective policy making and strategy implementation. We propose the use of the Information Imbalance, a recently introduced non-parametric measure quantifying …

Cristiano Salvagnin, Aldo Glielmo, Maria Elena De Giuli, Antonietta Mira
Open in CodexSource →PDF
Wiki Entities · 28
AI Systems

Beam Search

Beam search is a heuristic decoder that keeps the k best partial sequences at each step instead of greedily taking only the top token — the classic seq2seq inference method.

AI Systems

Convolutional Neural Network

A CNN shares a local kernel across spatial (or temporal) positions, building translation-equivariant features. It is the inductive bias that cracked modern computer vision.

AI Systems

Graph Neural Network

A GNN updates each node from its neighbors. Message passing lets the model use relational structure — markets, molecules, citation graphs — instead of forcing a grid.

AI Systems

Neural Network

A neural network is a layered function approximator: units compute a weighted sum, apply a nonlinearity, and pass the result forward so the whole stack can learn a mapping from inputs to outputs.

AI Systems

Perceptron

The perceptron is the original trainable linear classifier: a weighted sum plus a threshold. It is the atom of neural nets, and it cannot learn XOR without a hidden layer.

AI Systems

Recurrent Neural Network

An RNN applies the same transition to a sequence, threading a hidden state through time: h_t = f(h_{t−1}, x_t). Plain RNNs struggle to learn long dependencies.

AI Systems

Word Embedding

A word embedding is a dense vector for a token such that geometry (distance, direction) reflects distributional meaning. It is the input layer of almost every neural NLP model.

Credit

Probability of Default

PD is the probability a name defaults over a horizon — real-world for books, risk-neutral for CDS.

CTA

CTA Relative Value / Spread Trading

Market-neutral futures spreads — calendar, inter-commodity, or intra-curve — a CTA that tries not to own outright direction.

CTA

Intra-Curve Fixed-Income CTA

Steepeners, flatteners, and butterflies on the bond/STIR strip — duration-neutral-ish curve trades as a CTA RV sleeve.

CTA

STIR CTA

Short-term interest-rate futures — SOFR, SONIA, Euribor strips — a specialist language of meeting-to-meeting path trades and pack/bundle spreads.

Derivatives

Black-Scholes Model

Black-Scholes is the European option formula under lognormal spot, constant vol, and continuous hedging — a quoting convention more than a belief about the world.

Derivatives

Put-Call Parity

Put-call parity is the no-arbitrage link C − P = F − K (discounted) — a European call and put with the same K and T are one instrument plus cash.

Economics

Taylor Rule

The Taylor rule is a simple policy reaction: set the policy rate to a neutral real rate plus inflation, then add weights on the inflation gap and the output gap.

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.

Emerging Markets

Europe Periphery Spreads

Europe Periphery Spreads — BTP-Bund and similar spreads as euro-area fragmentation gauges.

Financial Crises

Cyprus Crisis 2013

Cyprus 2013 combined a Greek-PSI hole in bank assets with a huge banking system versus GDP and ended in bail-in, capital controls, and a depositor haircut above insurance — a euro-area first.

Financial Crises

European Sovereign Debt Crisis 2010

The euro-area sovereign crisis (2010–12) was a doom loop of weak banks and weak sovereigns inside a currency union without a joint fiscal or a trusted LOLR — until OMT and ‘whatever it takes.’

Financial Crises

Swiss Franc Shock 2015

On 15 January 2015 the SNB abandoned the 1.20 EUR/CHF floor in minutes — a peg break that wiped FX brokers and carry books that had treated the floor as a free option.

Liquidity

ECB Balance Sheet

The ECB balance sheet reflects the scale of European Central Bank asset holdings and helps track euro-area liquidity, policy transmission, and duration absorption.

Liquidity

TED Spread

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.

Macro Policy

Neutral Rate Estimate

Neutral Rate Estimate — Estimates of the equilibrium real policy rate that separates restrictive from accommodative stance.

Mathematics

Risk-Neutral Measure

A risk-neutral (equivalent martingale) measure is a probability reweighting that makes discounted asset prices martingales — prices are then discounted expected payoffs under that measure, not under the real-world P.

Microstructure

Limit Order Book

A limit order book is the visible (and sometimes hidden) queue of bids and offers at discrete prices that constitutes the tradable supply and demand of a continuous electronic market.

Quant

Statistical Arbitrage

Statistical Arbitrage — Short-horizon RV on co-moving securities using factor neutralization.

Rates

Eurodollar Futures Legacy

Eurodollar Futures Legacy — Legacy CME short-rate futures still relevant for curve history.

Strategies

Betting Against Beta in Stocks

Long leveraged low-beta stocks and short high-beta stocks so the book is roughly market-neutral — BAB, not raw low-vol.

Strategies

Defensive Asset Allocation

Keller–Keuning DAA: a canary universe that de-risks the risky sleeve when breadth/momentum in the canaries fails.

Option Blackboard · 1
strategy

Defined-Risk Bridge Playbook

Strategy bridge from Blackboard scanner cards into Options Lab templates without implying live broker execution.

Encyclopedia · 24
AI Systems · Foundations

Beam Search

Beam search is a heuristic decoder that keeps the k best partial sequences at each step instead of greedily taking only the top token — the classic seq2seq inference method.

Strategies · Foundations

Betting Against Beta in Stocks

Long leveraged low-beta stocks and short high-beta stocks so the book is roughly market-neutral — BAB, not raw low-vol.

Derivatives · Foundations

Black-Scholes Model

Black-Scholes is the European option formula under lognormal spot, constant vol, and continuous hedging — a quoting convention more than a belief about the world.

Emerging Markets · Foundations

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.

AI Systems · Foundations

Convolutional Neural Network

A CNN shares a local kernel across spatial (or temporal) positions, building translation-equivariant features. It is the inductive bias that cracked modern computer vision.

CTA · Foundations

CTA Relative Value / Spread Trading

Market-neutral futures spreads — calendar, inter-commodity, or intra-curve — a CTA that tries not to own outright direction.

Financial Crises · Foundations

Cyprus Crisis 2013

Cyprus 2013 combined a Greek-PSI hole in bank assets with a huge banking system versus GDP and ended in bail-in, capital controls, and a depositor haircut above insurance — a euro-area first.

Strategies · Foundations

Defensive Asset Allocation

Keller–Keuning DAA: a canary universe that de-risks the risky sleeve when breadth/momentum in the canaries fails.

Liquidity · Foundations

ECB Balance Sheet

The ECB balance sheet reflects the scale of European Central Bank asset holdings and helps track euro-area liquidity, policy transmission, and duration absorption.

Rates · Foundations

Eurodollar Futures Legacy

Eurodollar Futures Legacy — Legacy CME short-rate futures still relevant for curve history.

Emerging Markets · Foundations

Europe Periphery Spreads

Europe Periphery Spreads — BTP-Bund and similar spreads as euro-area fragmentation gauges.

Financial Crises · Foundations

European Sovereign Debt Crisis 2010

The euro-area sovereign crisis (2010–12) was a doom loop of weak banks and weak sovereigns inside a currency union without a joint fiscal or a trusted LOLR — until OMT and ‘whatever it takes.’

AI Systems · Foundations

Graph Neural Network

A GNN updates each node from its neighbors. Message passing lets the model use relational structure — markets, molecules, citation graphs — instead of forcing a grid.

CTA · Foundations

Intra-Curve Fixed-Income CTA

Steepeners, flatteners, and butterflies on the bond/STIR strip — duration-neutral-ish curve trades as a CTA RV sleeve.

Microstructure · Foundations

Limit Order Book

A limit order book is the visible (and sometimes hidden) queue of bids and offers at discrete prices that constitutes the tradable supply and demand of a continuous electronic market.

AI Systems · Foundations

Neural Network

A neural network is a layered function approximator: units compute a weighted sum, apply a nonlinearity, and pass the result forward so the whole stack can learn a mapping from inputs to outputs.

Macro Policy · Foundations

Neutral Rate Estimate

Neutral Rate Estimate — Estimates of the equilibrium real policy rate that separates restrictive from accommodative stance.

AI Systems · Foundations

Perceptron

The perceptron is the original trainable linear classifier: a weighted sum plus a threshold. It is the atom of neural nets, and it cannot learn XOR without a hidden layer.

Credit · Foundations

Probability of Default

PD is the probability a name defaults over a horizon — real-world for books, risk-neutral for CDS.

Derivatives · Foundations

Put-Call Parity

Put-call parity is the no-arbitrage link C − P = F − K (discounted) — a European call and put with the same K and T are one instrument plus cash.

AI Systems · Foundations

Recurrent Neural Network

An RNN applies the same transition to a sequence, threading a hidden state through time: h_t = f(h_{t−1}, x_t). Plain RNNs struggle to learn long dependencies.

Mathematics · Foundations

Risk-Neutral Measure

A risk-neutral (equivalent martingale) measure is a probability reweighting that makes discounted asset prices martingales — prices are then discounted expected payoffs under that measure, not under the real-world P.

Quant · Foundations

Statistical Arbitrage

Statistical Arbitrage — Short-horizon RV on co-moving securities using factor neutralization.

CTA · Foundations

STIR CTA

Short-term interest-rate futures — SOFR, SONIA, Euribor strips — a specialist language of meeting-to-meeting path trades and pack/bundle spreads.

Cards · 1
MethodCard

Paper to Strategy Transfer

A reusable card for converting research papers into buildable strategy or monitoring objects.

← Back to Codex