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 · 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 · 2026
Fundamental-value anchoring of resting liquidity is a causal stabiliser of an order-book market: while the anchor holds, even a heavily leveraged book stays quiet. We take that anchor strength as a continuous control and characterise the endogenous liquidity crises that appear once it is nearly removed. In a single continuous-double-auction market driven by anchored noise traders, chartist herders, a population of fu…
Jan Novotny
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 · 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 · 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 · 2026
Leveraged event positions combine a repayable loan with an outcome claim that may become non-tradable before oracle payout is final. This paper specifies Axient, a physically backed margin layer for binary event markets that separates leverage maturity from claim maturity and makes the hard-flat decision under explicit execution uncertainty. The model distinguishes quoted book proceeds, matched proceeds, settled proc…
Maksym Nechepurenko
arXiv · arXiv · 2025
This study explores the potential impact of introducing a Central Bank Digital Currency (CBDC) on financial stability in an emerging dual-currency economy (Romania), where the domestic currency (RON) coexists with the euro. It develops an integrated analytical framework combining econometrics, machine learning, and behavioural modelling. CBDC adoption probabilities are estimated using XGBoost and logistic regression …
Catalin Dumitrescu
arXiv · arXiv · 2024
We introduce a simple model of depositor runs to capture run risks at financial institutions based on their balance sheet composition. Specifically, we consider a reduced potential to raise capital from liquidity buffers under stress, during a stylized run driven by depositor scrutiny and further fueled by fire sales in response to withdrawals. The setup is inspired by the Silicon Valley Bank meltdown in March 2023 a…
Zachary Feinstein, Grzegorz Halaj, Andreas Sojmark
arXiv · arXiv · 2024
Stablecoins have turned out to be the "killer" use case of the growing digital asset space. However, risk management frameworks, including regulatory ones, have been largely absent. In this paper, we address the critical question of measuring and managing risk in stablecoin protocols, which operate on public blockchain infrastructure. The on-chain environment makes it possible to monitor risk and automate its managem…
Marcel Bluhm, Adrian Cachinero Vasiljević, Sébastien Derivaux, Søren Terp Hørlück Jessen
arXiv · arXiv · 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 · 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 · 2013
Funding is a cost to trading desks that they see as an input. Current FVA-related literature reflects this by also taking funding costs as an input, usually constant, and always risk-neutral. However, this funding curve is the output from a Treasury point of view. Treasury must consider Regulatory-required liquidity buffers, and both risk-neutral (Q) and physical measures (P). We describe the Treasury funding problem…
Chris Kenyon, Andrew Green