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Automated Market Makers (AMMs) are essential in Decentralized Finance (DeFi) as they match liquidity supply with demand. They function through liquidity providers (LPs) who deposit assets into liquidity pools. However, the asset trading prices in these pools often trail behind those in more dynamic, centralized exchanges, leading to potential arbitrage losses for LPs. This issue is tackled by adapting market maker bo…
We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA-discounting, in terms of credit and liquidity effects. We also review t…
Abstract We introduce an affine term structure model with observed macroeconomic factors for credit spread curves under the unconventional monetary policy regime in Japan. Empirical results based on the model selection using Japanese data demonstrate that the credit spread curves are dominated by the monetary policy and suggest that global economic forces, such as the U.S. Treasury yield and Baa-Aaa credit spread, pl…
Persistent shifts in term-structure dynamics undermine the stability of single-regime models in long samples. We develop an arbitrage-free regime-switching generalized CIR (RS-GCIR) model that jointly prices the Chinese government bond (CGB) curve and corporate bond curves. To capture the systematic transmission from interest-rate conditions to credit spreads, we structure the model into two blocks and price corporat…
ABSTRACT We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances (excess buying or selling pressure) account for up to 26% of the day‐to‐day variation in yields on days without major macroeconomic announcements. The effect of orderflow on yields is permanent and strongest when liquidity i…
We give a detailed account of correlations between credit sector/quality and treasury curve factors, using the robust framework of the Barclays POINT Global Risk Model. Consistent with earlier studies, we find a strong negative correlation between sector spreads and rate shifts. However, we also observe that the correlations between spreads and Treasury twists reversed recently, which is likely attributable to the Fe…
We provide a general HJM framework for forward contracts written on abstract market indices with arbitrary fixing and payment adjustments, and featuring collateralization in any currency denominations. In view of this, we first provide a thorough study of cross-currency markets in the presence of collateral and incompleteness. Then we give a general treatment of collateral dislocations by describing the instantaneous…
Deep reinforcement learning (DRL) has been envisioned to have a competitive edge in quantitative finance. However, there is a steep development curve for quantitative traders to obtain an agent that automatically positions to win in the market, namely \textit{to decide where to trade, at what price} and \textit{what quantity}, due to the error-prone programming and arduous debugging. In this paper, we present the fir…
This paper compares mathematical models for automated market makers including logarithmic market scoring rule (LMSR), liquidity sensitive LMSR (LS-LMSR), constant product/mean/sum, and others. It is shown that though LMSR may not be a good model for Decentralized Finance (DeFi) applications, LS-LMSR has several advantages over constant product/mean based automated market makers. However, LS-LMSR requires complicated …
We develop a fundamentally different stochastic dynamic programming model of trading costs. Built on a strong theoretical foundation, our model provides insights to market participants by splitting the overall move of the security price during the duration of an order into the Market Impact (price move caused by their actions) and Market Timing (price move caused by everyone else) components. We derive formulations o…
In this paper, we investigate a portfolio investment problem under volatility uncertainty and short-sale constraints market via sublinear expectation which is used to model volatility uncertainty. We assume the stocks admit volatility uncertainty. Thus the related portfolio has upper variance (maximum risk) and lower variance (minimum risk). By introducing a risk factor $w$ to conduct coupled modeling of the maximum …
Machine learning techniques are playing more and more important roles in finance market investment. However, finance quantitative modeling with conventional supervised learning approaches has a number of limitations. The development of deep reinforcement learning techniques is partially addressing these issues. Unfortunately, the steep learning curve and the difficulty in quick modeling and agile development are impe…
The financial industry has undergone a significant transition from the London Interbank Offered Rates (LIBORs) to Risk Free Rates (RFRs) such as, e.g., the Secured Overnight Financing Rate (SOFR) in the U.S. and the Cash Rate (AONIA) in Australia, as primary benchmark rates for borrowing costs. The paper examines the pricing and hedging method for financial products in a cross-currency framework with the special emph…
This paper introduces a novel stochastic model for credit spreads. The stochastic approach leverages the diffusion of default intensities via a CIR++ model and is formulated within a risk-neutral probability space. Our research primarily addresses two gaps in the literature. The first is the lack of credit spread models founded on a stochastic basis that enables continuous modeling, as many existing models rely on fa…
This paper compares different methods for forecasting the term structure of U.S. and European zero-coupon government bonds using both traditional econometric and Machine Learning (ML) approaches. We compare classical models (e.g., Dynamic Nelson-Siegel (DNS) and Principal Component Analysis (PCA)) with different Neural Network (NN) architectures, including those inspired by the classical models, on the U.S. Treasury …
This paper develops a three-currency Heath-Jarrow-Morton framework in which corporate credit is treated as a separate economy, connected to the nominal and real economies through synthetic inflation and credit exchange rates. The framework produces a testable identity. Under joint no-arbitrage, the credit spread of an issuer expressed over the inflation-rateindexed risk-free curve equals the same issuer's credit spre…
In the LIBOR era, banks routinely tied revolving credit facilities to credit-sensitive benchmarks. This study assesses the Across-the-Curve Credit Spread Index (AXI) -- a transparent, transaction-based measure of wholesale bank funding costs -- as a complement to SOFR, summarizing its behavior, construction, and loan-pricing implications. AXI aggregates observable unsecured funding transactions across short- and long…
Collateralization with daily margining has become a new standard in the post-crisis market. Although there appeared vast literature on a so-called multi-curve framework, a complete picture of a multi-currency setup with cross-currency basis can be rarely found since our initial attempts. This work gives its extension regarding a general framework of interest rates in a fully collateralized market. It gives a new form…
The 3M10Y Treasury curve compares 10-year Treasury yields with 3-month Treasury bill yields and is closely watched as a recession and policy-cycle indicator.
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.
The term structure of interest rates across maturities, used to read growth, liquidity, and stress expectations.
Yield Curve Control — Official caps on benchmark yields and the distortions they create in RV and cross-market hedging.
Phillips Curve — The relationship between labor market tightness and inflation dynamics, heavily debated in post-pandemic regimes.
Beveridge Curve — Vacancy-unemployment relationship signaling matching efficiency and structural labor shifts.
Key Rate Duration — Bucketed rate sensitivity across curve points for relative-value and hedge construction.
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.
Z Spread — Static spread over the government curve capturing credit and liquidity premium.
VIX Futures Term Structure — Curve shape driving roll yield for vol ETNs and systematic short-vol carry.
Crude Oil Contango — Upward-sloping futures curve implying storage economics and weak spot demand.
Commodity Carry — Return from rolling futures along the curve — core systematic commodity strategy.
VIX Futures Curve (Derivatives).
Eurodollar Futures Legacy — Legacy CME short-rate futures still relevant for curve history.
Expectations Hypothesis — Theory that long rates equal expected short rates path.
Yield Curve Inversion — Short rates above long rates — classic recession signal.
Yield Curve Cap (Macro Policy).
Crude Oil Backwardation (Commodities).
Commodity Roll Yield — P&L from rolling futures along a contango or backwardation curve.
Commodity Inventory Financing — Repo-like financing of physical stocks linking curve to rates.
Sovereign CDS Curve (Emerging Markets).
Phillips Curve Debate — Trade-off between unemployment and inflation under debate.
Five Year Five Year Forward — Long-run inflation expectation extracted from the curve.
Par Curve Construction (Rates).
Zero Coupon Curve (Rates).
Multi Curve Framework — Separate projection and discount curves after the crisis.
Z Spread Measure — Constant spread over the spot curve equating price to cash flows.
Treasury Curve 1M — Rates and credit cash-market concept for fixed-income desks.
Treasury Curve 3M — Rates and credit cash-market concept for fixed-income desks.
Treasury Curve 6M — Rates and credit cash-market concept for fixed-income desks.
Treasury Curve 1Y — Rates and credit cash-market concept for fixed-income desks.
Treasury Curve 2Y — Rates and credit cash-market concept for fixed-income desks.
Treasury Curve 5Y — Rates and credit cash-market concept for fixed-income desks.
Treasury Curve 7Y — Rates and credit cash-market concept for fixed-income desks.
Treasury Curve 10Y — Rates and credit cash-market concept for fixed-income desks.
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.
The 3M10Y Treasury curve compares 10-year Treasury yields with 3-month Treasury bill yields and is closely watched as a recession and policy-cycle indicator.
Ag Weather Risk aluminum — Commodity curve, inventory, or geopolitics-linked supply concept.
Ag Weather Risk Brent — Commodity curve, inventory, or geopolitics-linked supply concept.
Ag Weather Risk copper — Commodity curve, inventory, or geopolitics-linked supply concept.
Ag Weather Risk corn — Commodity curve, inventory, or geopolitics-linked supply concept.
Ag Weather Risk gold — Commodity curve, inventory, or geopolitics-linked supply concept.
Ag Weather Risk HH — Commodity curve, inventory, or geopolitics-linked supply concept.
Ag Weather Risk iron ore — Commodity curve, inventory, or geopolitics-linked supply concept.
Ag Weather Risk JKM — Commodity curve, inventory, or geopolitics-linked supply concept.
Ag Weather Risk nickel — Commodity curve, inventory, or geopolitics-linked supply concept.
Ag Weather Risk RBOB — Commodity curve, inventory, or geopolitics-linked supply concept.
Ag Weather Risk silver — Commodity curve, inventory, or geopolitics-linked supply concept.
Ag Weather Risk soy — Commodity curve, inventory, or geopolitics-linked supply concept.
Ag Weather Risk TTF — Commodity curve, inventory, or geopolitics-linked supply concept.
Ag Weather Risk ULSD — Commodity curve, inventory, or geopolitics-linked supply concept.
Ag Weather Risk wheat — Commodity curve, inventory, or geopolitics-linked supply concept.
Ag Weather Risk WTI — Commodity curve, inventory, or geopolitics-linked supply concept.
Ag Weather Risk zinc — Commodity curve, inventory, or geopolitics-linked supply concept.
Beveridge Curve — Vacancy-unemployment relationship signaling matching efficiency and structural labor shifts.
Capacity Curve 1-day (Quant).
Capacity Curve 1-month (Quant).
Capacity Curve 1-week (Quant).
Capacity Curve 12-month (Quant).