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Results for “PIK” · papers 2 · wiki 24
Academic Papers · 2arXiv q-fin live 0 · desk corpus 2
arXiv · arXiv · 2025

Predicting Price Movements in High-Frequency Financial Data with Spiking Neural Networks

Modern high-frequency trading (HFT) environments are characterized by sudden price spikes that present both risk and opportunity, but conventional financial models often fail to capture the required fine temporal structure. Spiking Neural Networks (SNNs) offer a biologically inspired framework well-suited to these challenges due to their natural ability to process discrete events and preserve millisecond-scale timing

Brian Ezinwoke, Oliver Rhodes
arXiv · arXiv · 2022

Decomposing LIBOR in Transition: Evidence from the Futures Markets

Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads between each of the benchmark rates and allows for the decomposition of spreads. Modelling the LIBOR-OIS spread as credit and funding-liquidity roll-over risk, we find that the spike in

David Skovmand, Jacob Bjerre Skov
Wiki Entities · 24
Microstructure

Market Depth

Market Depth — Volume available near best prices — collapses precede volatility spikes.

Microstructure

Securities Lending Fee

Securities Lending Fee — Cost to borrow stock for shorting — spikes signal specialness and squeeze risk.

Commodities

Natural Gas Storage

Natural Gas Storage — Inventory levels driving seasonal price spikes and energy inflation.

Systems

VaR Spike Delever

VaR Spike Delever (Systems).

Quant

Correlation Breakdown

Correlation Breakdown — Diversification failing as correlations spike in crises.

Credit

Payment in Kind Toggle

Payment in Kind Toggle — Option to pay interest in kind stressing cash interest coverage.

Credit

PIK Toggle Risk 1M

PIK Toggle Risk 1M (Credit).

Credit

PIK Toggle Risk 3M

PIK Toggle Risk 3M (Credit).

Credit

PIK Toggle Risk 6M

PIK Toggle Risk 6M (Credit).

Credit

PIK Toggle Risk 1Y

PIK Toggle Risk 1Y (Credit).

Credit

PIK Toggle Risk 2Y

PIK Toggle Risk 2Y (Credit).

Credit

PIK Toggle Risk 5Y

PIK Toggle Risk 5Y (Credit).

Credit

PIK Toggle Risk 7Y

PIK Toggle Risk 7Y (Credit).

Credit

PIK Toggle Risk 10Y

PIK Toggle Risk 10Y (Credit).

Credit

PIK Toggle Risk US IG

PIK Toggle Risk US IG (Credit).

Credit

PIK Toggle Risk US HY

PIK Toggle Risk US HY (Credit).

Credit

PIK Toggle Risk EU IG

PIK Toggle Risk EU IG (Credit).

Credit

PIK Toggle Risk EU HY

PIK Toggle Risk EU HY (Credit).

Credit

PIK Toggle Risk EM hard

PIK Toggle Risk EM hard (Credit).

Credit

PIK Toggle Risk financials

PIK Toggle Risk financials (Credit).

Credit

PIK Toggle Risk energy

PIK Toggle Risk energy (Credit).

Credit

PIK Toggle Risk autos

PIK Toggle Risk autos (Credit).

Credit

PIK Toggle Risk telecom

PIK Toggle Risk telecom (Credit).

Credit

PIK Toggle Risk real estate

PIK Toggle Risk real estate (Credit).

Option Blackboard · 1
Encyclopedia · 23
Quant · Foundations

Correlation Breakdown

Correlation Breakdown — Diversification failing as correlations spike in crises.

Microstructure · Foundations

Market Depth

Market Depth — Volume available near best prices — collapses precede volatility spikes.

Commodities · Foundations

Natural Gas Storage

Natural Gas Storage — Inventory levels driving seasonal price spikes and energy inflation.

Credit · Foundations

PIK Toggle Risk 10Y

PIK Toggle Risk 10Y (Credit).

Credit · Foundations

PIK Toggle Risk 1M

PIK Toggle Risk 1M (Credit).

Credit · Foundations

PIK Toggle Risk 1Y

PIK Toggle Risk 1Y (Credit).

Credit · Foundations

PIK Toggle Risk 2Y

PIK Toggle Risk 2Y (Credit).

Credit · Foundations

PIK Toggle Risk 3M

PIK Toggle Risk 3M (Credit).

Credit · Foundations

PIK Toggle Risk 5Y

PIK Toggle Risk 5Y (Credit).

Credit · Foundations

PIK Toggle Risk 6M

PIK Toggle Risk 6M (Credit).

Credit · Foundations

PIK Toggle Risk 7Y

PIK Toggle Risk 7Y (Credit).

Credit · Foundations

PIK Toggle Risk autos

PIK Toggle Risk autos (Credit).

Credit · Foundations

PIK Toggle Risk EM hard

PIK Toggle Risk EM hard (Credit).

Credit · Foundations

PIK Toggle Risk energy

PIK Toggle Risk energy (Credit).

Credit · Foundations

PIK Toggle Risk EU HY

PIK Toggle Risk EU HY (Credit).

Credit · Foundations

PIK Toggle Risk EU IG

PIK Toggle Risk EU IG (Credit).

Credit · Foundations

PIK Toggle Risk financials

PIK Toggle Risk financials (Credit).

Credit · Foundations

PIK Toggle Risk real estate

PIK Toggle Risk real estate (Credit).

Credit · Foundations

PIK Toggle Risk telecom

PIK Toggle Risk telecom (Credit).

Credit · Foundations

PIK Toggle Risk US HY

PIK Toggle Risk US HY (Credit).

Credit · Foundations

PIK Toggle Risk US IG

PIK Toggle Risk US IG (Credit).

Microstructure · Foundations

Securities Lending Fee

Securities Lending Fee — Cost to borrow stock for shorting — spikes signal specialness and squeeze risk.

Systems · Foundations

VaR Spike Delever

VaR Spike Delever (Systems).

Cards · 1
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