arXiv · arXiv · 2025
Modern economic systems face unprecedented socioeconomic challenges, making systemic resilience and effective liquidity flow management essential. Traditional models such as CAPM, VaR, and GARCH often fail to reflect real market fluctuations and extreme events. This study develops and validates an innovative mathematical model based on the Navier-Stokes equations, aimed at the quantitative assessment, forecasting, an…
Davit Gondauri
arXiv · arXiv · 2020
We discuss the pros of adopting government-issued digital currencies as well as a supranational digital iCurrency. One such pro is to get rid of paper money (and coinage), a ubiquitous medium for spreading germs, as highlighted by the recent coronavirus outbreak. We set forth three policy recommendations for adapting mobile devices as new digital wallets, regulatory oversight of sovereign digital currencies and user …
Zura Kakushadze, Jim Kyung-Soo Liew
arXiv · arXiv · 2026
Blandhol (2025) estimates that wealth-tax-induced emigration from Norway reduces long-run GDP by 1.3%. Dansk Industri scaled this figure to argue that a Danish wealth tax would cost billions - a claim central to the 2026 Danish election campaign. We develop a social contagion model in which the emigration rate depends on a visibility-weighted fraction of prior emigrants, producing tipping-point dynamics. Embedding th…
Anders G Frøseth
arXiv · arXiv · 2025
Using data from a live trading experiment on the Binance Bitcoin perpetual, we examine the effects of (i) basic order book mechanics and (ii) the persistence of price changes from immediate to short timescales, revealing the interplay between returns, queue sizes, and orders' queue positions. We document a fundamental trade-off: a negative correlation between maker fill likelihood and post-fill returns. This dictates…
Jakob Albers, Mihai Cucuringu, Sam Howison, Alexander Y. Shestopaloff
arXiv · arXiv · 2025
Concentrated Liquidity Market Makers (CLMMs) represent a fundamental innovation in market microstructure, transforming liquidity provision from passive portfolio allocation to active risk management. This evolution creates significant challenges for performance evaluation and strategy optimization, particularly due to the absence of comprehensive historical liquidity data. We address these challenges through a novel …
Andrey Urusov, Rostislav Berezovskiy, Anatoly Krestenko, Andrei Kornilov, Yury Yanovich
arXiv · arXiv · 2015
For the last two decades, most financial markets have undergone an evolution toward electronification. The market for corporate bonds is one of the last major financial markets to follow this unavoidable path. Traditionally quote-driven i.e., dealer-driven) rather than order-driven, the market for corporate bonds is still mainly dominated by voice trading, but a lot of electronic platforms have emerged. These electro…
Jean-David Fermanian, Olivier Guéant, Jiang Pu
arXiv · arXiv · 2025
Digital Asset Treasury (DAT) companies, public firms that hold large crypto reserves as a core strategy, deliver levered exposure to digital assets but face acute downside risk when equity premia over net asset value multiples (mNAV) compress in bear markets. This paper develops a survival framework that couples conservative treasury policy with an operating line that monetizes holdings independent of mark-to-market …
Hongzhe Wen
arXiv · arXiv · 2024
This paper explores the effectiveness of high-frequency options trading strategies enhanced by advanced portfolio optimization techniques, investigating their ability to consistently generate positive returns compared to traditional long or short positions on options. Utilizing SPY options data recorded in five-minute intervals over a one-month period, we calculate key metrics such as Option Greeks and implied volati…
Sid Bhatia
arXiv · arXiv · 2024
The primary challenge of market making in spot precious metals is navigating the liquidity that is mainly provided by futures contracts. The Exchange for Physical (EFP) spread, which is the price difference between futures and spot, plays a pivotal role and exhibits multiple modes of relaxation corresponding to the diverse trading horizons of market participants. In this paper, we model the EFP spread using a nested …
Alexander Barzykin, Philippe Bergault, Olivier Guéant
arXiv · arXiv · 2026
Kalshi's multivariate-event architecture produces market objects on demand from exact selected legs. Across a registered seven-day interval, 190 independently validated temporal shards yield 7,611,594 unique REST MVE market tickers after excluding 5,777 boundary-overlap observations; the population was created at an average rate of 1.087 million objects per day, with strong hourly burstiness. The hierarchy is sharply…
Maksym Nechepurenko
arXiv · arXiv q-fin · 2014
We follow the main stocks belonging to the New York Stock Exchange and to Nasdaq from 2003 to 2012, through years of normality and of crisis, and study the dynamics of networks built on two measures expressing relations between those stocks: correlation, which is symmetric and measures how similar two stocks behave, and Transfer Entropy, which is non-symmetric and measures the influence of the time series of one stoc…
Leonidas Sandoval Junior