Papers, wiki, Option Blackboard, encyclopedia, and cards.
In this work, we introduce PEARL (Private Equity Accessibility Reimagined with Liquidity), an AI-powered framework designed to replicate and decode private equity funds using liquid, cost-effective assets. Relying on previous research methods such as Erik Stafford's single stock selection (Stafford) and Thomson Reuters - Refinitiv's sector approach (TR), our approach incorporates an additional asymmetry to capture th…
In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates. We do not require classical absence of arbitrage and rely instead on a minimal market viability assumption, which enables us to work in the context of the benchmark approach. In a Markovian setting, we extend the control theoretic approach of Gombani & Runggaldier (2013) and…
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…
Neural networks for stock price prediction(NNSPP) have been popular for decades. However, most of its study results remain in the research paper and cannot truly play a role in the securities market. One of the main reasons leading to this situation is that the prediction error(PE) based evaluation results have statistical flaws. Its prediction results cannot represent the most critical financial direction attributes…
On a daily investment decision in a security market, the price earnings (PE) ratio is one of the most widely applied methods being used as a firm valuation tool by investment experts. Unfortunately, recent academic developments in financial econometrics and machine learning rarely look at this tool. In practice, fundamental PE ratios are often estimated only by subjective expert opinions. The purpose of this research…
Cash collateral is perfect in that it provides simultaneous counterparty credit risk protection and derivatives funding. Securities are imperfect collateral, because of collateral segregation or differences in CSA haircuts and repo haircuts. Moreover, the collateral rate term structure is not observable in the repo market, for derivatives netting sets are perpetual while repo tenors are typically in months. This arti…
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…
The Metaverse faces complex resource allocation challenges due to diverse Virtual Environments (VEs), Digital Twins (DTs), dynamic user demands, and strict immersion needs. This paper introduces CIVIC (Cooperative Immersion Via Intelligent Credit-sharing), a novel framework optimizing resource sharing among multiple Metaverse Service Providers (MSPs) to enhance user immersion. Unlike existing methods, CIVIC integrate…
Hundreds of papers and factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make sense to use the usual criteria for establishing significance. Which hurdle should be used for current research? Our paper introduces a new multiple testing framework and provides historical cutoffs from the first empirical tests in 1967 to today. A new factor needs to clear a mu…
Abstract A number of panel unit root tests that allow for cross‐section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically eliminate the cross‐dependence of the series before standard panel unit root tests are applied to the transformed series. In this paper we propose a simple alternative where the standard augmented Dickey–Fuller (ADF) regressions are augmen…
We develop a signature-based framework for optimal execution in statistical arbitrage strategies with path-dependent predictive signals. Both the alpha process and the trading speed are modelled as linear functionals of the truncated signature of a time-augmented market path, placing signal generation and execution on the same truncated signature basis. This allows the trading rule to react to the realised history of…
This paper proposes an Extended State-Dependent Hawkes Process (ExsdHawkes) to model the intricate dynamics of Limit Order Books (LOBs). Our theoretical contribution lies in relaxing traditional constraints by allowing for state disappearances -- a phenomenon frequently observed in high-frequency trading. We mathematically prove, using Karush--Kuhn--Tucker (KKT) conditions, that the maximum likelihood estimation rema…
We study a speculative trading problem within the exploratory reinforcement learning (RL) framework of Wang et al. [2020]. The problem is formulated as a sequential optimal stopping problem over entry and exit times under general utility function and price process. We first consider a relaxed version of the problem in which the stopping times are modeled by the jump times of Cox processes driven by bounded, non-rando…
We present a large scale benchmark of modern deep learning architectures for a financial time series prediction and position sizing task, with a primary focus on Sharpe ratio optimization. Evaluating linear models, recurrent networks, transformer based architectures, state space models, and recent sequence representation approaches, we assess out of sample performance on a daily futures dataset spanning commodities, …
We propose a new model for the forecasting of both the implied volatility surfaces and the underlying asset price. In the spirit of Guyon and Lekeufack (2023) who are interested in the dependence of volatility indices (e.g. the VIX) on the paths of the associated equity indices (e.g. the S\&P 500), we first study how vanilla options implied volatility can be predicted using the past trajectory of the underlying asset…
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder size, i.e., the impact per share of large metaorders is smaller than that of small metaorders. We formulate a stylized model of an algorithmic execution service and derive a…
We analyse time series of CDS spreads for a set of major US and European institutions on a pe- riod overlapping the recent financial crisis. We extend the existing methodology of ε-drawdowns to the one of joint ε-drawups, in order to estimate the conditional probabilities of abrupt co-movements among spreads. We correct for randomness and for finite size effects and we find significant prob- ability of joint drawups …
In response to growing demand for resilient and transparent financial instruments, we introduce a novel framework for replicating private equity (PE) performance using liquid, AI-enhanced strategies. Despite historically delivering robust returns, private equity's inherent illiquidity and lack of transparency raise significant concerns regarding investor trust and systemic stability, particularly in periods of height…
Regional Bank ETF performance helps track stress in smaller and mid-sized banks, especially around deposit stability, asset quality, and local credit conditions.
KBW Bank Index tracks the equity performance of major U.S. banks and provides insight into banking-sector health, credit transmission, and market confidence.
The ECB balance sheet reflects the scale of European Central Bank asset holdings and helps track euro-area liquidity, policy transmission, and duration absorption.
Commercial paper spreads track the cost of short-term corporate borrowing relative to safer benchmarks and help identify stress in corporate funding markets.
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.
VIX term structure tracks the shape of volatility futures across maturities and helps identify whether the market is pricing stable conditions or near-term stress.
Dealer gamma positioning describes whether option dealers are structurally long or short gamma, shaping how hedging flows amplify or dampen market moves.
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.
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.
QT pace refers to the speed at which the Federal Reserve allows assets to roll off its balance sheet, affecting reserves, duration supply, and market liquidity.
S&P 500 Earnings Yield measures expected earnings relative to price and is useful for assessing valuation and comparing equities with bond yields.
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.
Copper price is widely used as a proxy for industrial activity, manufacturing demand, and global growth expectations.
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.
US 10-Year Breakeven Inflation reflects the inflation rate implied by the gap between nominal Treasuries and TIPS, serving as a market-based gauge of long-term inflation expectations.
The 2s10s Treasury curve measures the spread between 10-year and 2-year Treasury yields and is a key indicator of growth expectations, policy path, and term structure dynamics.
CDX HY Index tracks the cost of insuring a basket of North American high-yield corporate credit and serves as a sensitive gauge of credit risk appetite and stress.
FRA-OIS spread measures the difference between interbank funding expectations and overnight indexed swap rates, often used as a gauge of banking and short-term funding stress.
The term structure of interest rates across maturities, used to read growth, liquidity, and stress expectations.
Structured orchestration of tools, models, and memory into repeatable decision pipelines.
Federal Funds Rate — The effective overnight policy rate anchor that transmits through the entire USD funding stack and global risk appetite.
Forward Guidance — How central bank language shapes term premium and front-end rate expectations before actual policy moves.
Quantitative Tightening Pace — The speed of balance-sheet runoff and its impact on reserves, collateral markets, and term funding.
Consumer Confidence Index — Household expectations that influence spending, labor supply, and political pressure on policy.
Retail Sales Growth — Nominal and real consumption momentum, critical for growth and inflation nowcasts.
Wage Growth — Nominal pay momentum that feeds services inflation persistence and Fed reaction functions.
Inflation Expectations Survey — Household and market-based expectations that can de-anchor if policy credibility erodes.
Fiscal Multiplier — Estimated GDP impact per unit of government spending or tax change.
Unit Labor Costs — Compensation per unit of output — a core driver of services inflation persistence.
Capacity Utilization — How tight industrial capacity is, informing pricing power and capex cycles.
Convexity Risk — Non-linear price response to yield changes, especially relevant in MBS and long bonds.
Steepener Flattener Trade — Curve trades expressing views on growth, inflation, and term premium independently of level.
Carry and Roll Down — Expected return from holding higher-yielding tenor as it rolls down a positively sloped curve.
MBS Prepayment Speed — Refinancing and turnover driven cash-flow uncertainty in agency mortgages.
TBA Roll Specialness — Delivery-option value in TBA markets signaling collateral scarcity or abundance.
CLO Issuance — Structured credit supply that absorbs leveraged loans and shapes spread regimes.
Code-linked scanner pattern that maps front-vol stress, ATM IV, and dealer gamma context into Blackboard + Options Lab actions.
Vol-structure note for classifying rich vs cheap ATM IV and surface dispersion before choosing credit or debit templates.
Scanner code fragment for put/call ratio and open-interest activity on the ATM chain window.
Educational IV × Greeks × surface sandbox already mounted on the Blackboard — synthetic regimes for pedagogy beside the live scanner.
The 2s10s Treasury curve measures the spread between 10-year and 2-year Treasury yields and is a key indicator of growth expectations, policy path, and term structure dynamics.
ADR Parity Europe (Equity).
Ag Weather Risk copper — Commodity curve, inventory, or geopolitics-linked supply concept.
Structured orchestration of tools, models, and memory into repeatable decision pipelines.
AI Capex Supercycle (Economy).
Alpha Decay — Speed at which a signal loses predictive power as capital competes for it.
Alt Season Beta perp (Crypto).
Amihud Illiquidity — Average absolute return per unit volume as an illiquidity proxy.
Analyst Upgrade Cycle Europe (Equity).
Auction Opening Cross (Microstructure).
Backtest Overfitting — False discovery from mining historical patterns that do not persist out-of-sample.
Banking Dollarization Peru (Emerging Markets).
Basis Cash Carry perp (Crypto).
Battery Metal Squeeze copper (Commodities).
Bear Steepener (Rates).
Bid Ask Spread — Immediate cost of trading and compensation for liquidity providers.
Bitcoin Difficulty Adjustment — Periodic retarget of mining difficulty to stabilize block times.
Black Scholes Model — Baseline European option pricing framework and Greek engine.
Borrow Cost Europe (Equity).
Bridge Exploit Risk perp — Digital-asset market structure, leverage, or on-chain concept.
Building Permits ASEAN (Economy).
Building Permits Australia (Economy).
Building Permits Brazil (Economy).
Building Permits Canada (Economy).
A funding-stress monitor can warn before equity volatility reprices.
A liquidity premium monitor can separate default risk from liquidity-driven spread widening.
A reusable card for converting research papers into buildable strategy or monitoring objects.
A card for tracking cross-currency basis, repo dislocations, and balance-sheet stress as early warning signals.