arXiv · arXiv q-fin · 2025
We investigate multi-period mean-risk portfolio optimization for long-horizon Defined Contribution plans, focusing on buffered Probability of Exceedance (bPoE), a more intuitive, dollar-based alternative to Conditional Value-at-Risk (CVaR). We formulate both pre-commitment and time-consistent Mean-bPoE and Mean-CVaR portfolio optimization problems under realistic investment constraints (e.g., no leverage, no short se…
Duy-Minh Dang, Chang Chen
arXiv · arXiv q-fin · 2017
We introduce a Markovian single point process model, with random intensity regulated through a buffer mechanism and a self-exciting effect controlling the arrival stream to the buffer. The model applies the principle of the Hawkes process in which point process jumps generate a shot-noise intensity field. Unlike the Hawkes case, the intensity field is fed into a separate buffer, the size of which is the driving inten…
Ingemar Kaj, Mine Caglar
arXiv · arXiv q-fin · 2021
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…
Thierry Roncalli
arXiv · arXiv q-fin · 2014
It had been believed in the conventional practice that the risk of a bank going bankrupt is lessened in a straightforward manner by transferring the risk of loan defaults. But the failure of American International Group in 2008 posed a more complex aspect of financial contagion. This study presents an extension of the asset network systemic risk model (ANWSER) to investigate whether credit default swaps mitigate or i…
Yoshiharu Maeno, Kenji Nishiguchi, Satoshi Morinaga, Hirokazu Matsushima
arXiv · arXiv q-fin · 2026
We study permissionless spot--perpetual basis trading in decentralized finance as a collateral control problem. The strategy holds spot inventory, hedges directional exposure with a short perpetual, and allocates capital between spot inventory and derivative margin under on-chain liquidity and execution frictions. The paper delivers three results. First, it solves a static control problem for the collateral share and…
Anatoly Krestenko, Mikhail Butov, Rostislav Berezovskiy, Danila Bolotin
arXiv · arXiv q-fin · 2025
This study examines how institutional differences and external crises shape volatility dynamics in emerging Asian stock markets. Using daily stock index returns for Indonesia, Malaysia, and the Philippines from 2010 to 2024, we estimate EGARCH(1,1) and TGARCH(1,1) models in a by-window design. The sample is split into the 2013 Taper Tantrum, the 2020-2021 COVID-19 period, the 2022-2023 rate-hike cycle, and tranquil p…
Junlin Yang
arXiv · arXiv q-fin · 2025
Stablecoins represent a critical bridge between cryptocurrency and traditional finance, with Tether (USDT) dominating the sector as the largest stablecoin by market capitalization. By Q1 2025, Tether directly held approximately $98.5 billion in U.S. Treasury bills, representing 1.6% of all outstanding Treasury bills, making it one of the largest non-sovereign buyers in this crucial asset class, on par with nation-sta…
Lennart Ante, Aman Saggu, Ingo Fiedler
arXiv · arXiv q-fin · 2023
Decentralised automated market makers (AMMs) have gained significant attention recently. We propose an adaptive and automated Dynamic Function Market Maker (DFMM) that addresses challenges in this space. Our DFMM protocol includes a data aggregator and an order routing mechanism. It synchronises price-sensitive market information, asserting the principle of one price, and ensuring market efficiency. The data aggregat…
Arman Abgaryan, Utkarsh Sharma
arXiv · arXiv q-fin · 2020
Uncovering the risk transmitting path within economic sectors in China is crucial for understanding the stability of the Chinese economic system, especially under the current situation of the China-US trade conflicts. In this paper, we try to uncover the risk spreading channels by means of volatility spillovers within the Chinese sectors using stock market data. By applying the generalized variance decomposition fram…
Ying-Ying Shen, Zhi-Qiang Jiang, Jun-Chao Ma, Gang-Jin Wang, Wei-Xing Zhou
arXiv · arXiv q-fin · 2025
Energy storage promotes the integration of renewables by operating with charge and discharge policies that balance an intermittent power supply. A key challenge in this emerging sector is how to optimize the operation of storage assets given future price uncertainties and the need to recover the costs of project finance while ensuring an attractive return on equity and hedging against downside risk. This study invest…
Gabriel D. Patrón, Di Zhang, Lavinia M. P. Ghilardi, Evelin Blom, Maldon Goodridge
arXiv · arXiv q-fin · 2023
With the fast development of quantitative portfolio optimization in financial engineering, lots of AI-based algorithmic trading strategies have demonstrated promising results, among which reinforcement learning begins to manifest competitive advantages. However, the environment from real financial markets is complex and hard to be fully simulated, considering the observation of abrupt transitions, unpredictable hidde…
Huifang Huang, Ting Gao, Pengbo Li, Jin Guo, Peng Zhang
arXiv · arXiv q-fin · 2021
To reject the Efficient Market Hypothesis a set of 5 technical indicators and 23 fundamental indicators was identified to establish the possibility of generating excess returns on the stock market. Leveraging these data points and various classification machine learning models, trading data of the 505 equities on the US S&P500 over the past 20 years was analysed to develop a classifier effective for our cause. From a…
Jaideep Singh, Matloob Khushi
arXiv · arXiv q-fin · 2018
Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR), also called the superquantile and quantile, are frequently used to characterize the tails of probability distribution's and are popular measures of risk. Buffered Probability of Exceedance (bPOE) is a recently introduced characterization of the tail which is the inverse of CVaR, much like the CDF is the inverse of the quantile. These quantities can prove very …
Matthew Norton, Valentyn Khokhlov, Stan Uryasev
arXiv · arXiv q-fin · 2013
Credit risk management in Italy is characterized, in the period June 2008 to June 2012, by frequent (frequency=0.5 cycles per year) and intense (peak amplitude: mean=39.2 billion Euros, s.e.=2.83 billion Euros) quarterly contractions and expansions around the mean (915.4 billion Euros, s.e.=3.59 billion Euros) of the nominal total credit used by non-financial corporations. Such frequent and intense fluctuations are f…
Stefano Olgiati, Alessandro Danovi
arXiv · arXiv q-fin · 2012
Proportional transaction costs present difficult theoretical problems in trading algorithm design, on account of their lack of analytical tractability. The author derives a solution of DT-NT-DT form for an arbitrary model in which the the traded asset has diffusive dynamics described by one or more stochastic risk factors. The width of the NT zone is found to be, as expected, proportional to the cube root of the tran…
Richard J. Martin
arXiv · arXiv q-fin · 2011
A mean-reverting financial instrument is optimally traded by buying it when it is sufficiently below the estimated `mean level' and selling it when it is above. In the presence of linear transaction costs, a large amount of value is paid away crossing bid-offers unless one devises a `buffer' through which the price must move before a trade is done. In this paper, Richard Martin and Torsten Schöneborn derive the optim…
Richard Martin, Torsten Schöneborn
arXiv · arXiv · 2026
Scaling generative inverse and forward rendering to real-world scenarios is bottlenecked by the limited realism and temporal coherence of existing synthetic datasets. To bridge this persistent domain gap, we introduce a large-scale, dynamic dataset curated from visually complex AAA games. Using a novel dual-screen stitched capture method, we extracted 4M continuous frames (720p/30 FPS) of synchronized RGB and five G-…
Zheng-Hui Huang, Zhixiang Wang, Jiaming Tan, Ruihan Yu, Yidan Zhang