arXiv · arXiv q-fin · 2016
We will look at the entire cycle of the investment process relating to all aspects of, formulating an investment hypothesis, constructing a portfolio based on that, executing the trades to implement it, on-going risk management, periodically measuring the performance of the portfolio, and rebalancing the portfolio either due to an increase in the risk parameters or due to a deviation from the intended asset allocatio…
Ravi Kashyap
arXiv · arXiv q-fin · 2026
Current post-trade clearing systems rely almost exclusively on cash or cash-like collateral, leaving vast reserves of short-term liquidity embedded in trade credit outside formal settlement infrastructures. A key barrier to integrating this liquidity is the near-universal dependence of clearing services on novation, which imposes institutional overhead that restricts accessibility and limits the range of obligations …
Tomaž Fleischman, Ethan Buchman
arXiv · arXiv q-fin · 2026
We study a minimal agent-based market in which a single evolutionary-optimized institutional agent interacts with 20{,}000 herding retail traders. The agent spontaneously discovers a multi-cycle predatory strategy, producing 8--11 complete cycles over 2000 trading days with total portfolio return of $+51\%$ (best of 20 seeds; mean $+37.7\%$). Mean-field reduction maps the system onto a nonlinear oscillator that under…
Yang Zhou, Jianwen Chen, Ruipeng Wei
arXiv · arXiv q-fin · 2024
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize their consumption level, death benefit, and terminal wealth. Meanwhile, the individual faces a convex-set trading constraint, with the non-tradeable asset constraint, no short-selling constraint, and no b…
Wenyuan Li, Pengyu Wei
arXiv · arXiv q-fin · 2026
Three traits of decentralized finance are studied. First, the market impact function is derived for optimal-growth liquidity providers. For a standard random walk, the classic square-root impact is recovered. An extension is then derived to fit general fractional Ornstein-Uhlenbeck processes. These findings break with the linearized liquidity models used in most decentralized exchanges. Second, a Constant Product Mar…
B. K. Meister
OpenAlex · American Economic Review · 2012 · cites 2242
Using micro-level data, we construct a credit spread index with considerable predictive power for future economic activity. We decompose the credit spread into a component that captures firm-specific information on expected defaults and a residual component–– the excess bond premium. Shocks to the excess bond premium that are orthogonal to the current state of the economy lead to declines in economic activity and ass…
Simon Gilchrist, Egon Zakrajšek
arXiv · arXiv q-fin · 2026
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…
Raphael Coelho
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 · 2010
If the probability of default parameters (PDs) fed as input into a credit portfolio model are estimated as through-the-cycle (TTC) PDs stressed market conditions have little impact on the results of the capital calculations conducted with the model. At first glance, this is totally different if the PDs are estimated as point-in-time (PIT) PDs. However, it can be argued that the reflection of stressed market condition…
Norbert Jobst, Dirk Tasche
arXiv · arXiv q-fin · 2020
We develop a novel five-component decomposition of optimal dynamic portfolio choice, which reveals the simultaneous impacts from market incompleteness and wealth-dependent utilities. Under the HARA utility and a nonrandom interest rate, we can explicitly solve for the optimal policy as a combination of a bond holding scheme and the corresponding simpler CRRA strategy. Under a stochastic volatility model estimated on …
Chenxu Li, Olivier Scaillet, Yiwen Shen
arXiv · arXiv q-fin · 2018
This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders - large orders that are split into smaller pieces before being sent to the market. We first address the case of aggressive limit orders and then, that of passive limit orders. In both cases, we provide empirical evidence of a power law behaviour for the…
Emilio Said, Ahmed Bel Hadj Ayed, Alexandre Husson, Frédéric Abergel
arXiv · arXiv q-fin · 2015
This paper proposes a simple technical approach for the analytical derivation of Point-in-Time PD (probability of default) forecasts, with minimal data requirements. The inputs required are the current and future Through-the-Cycle PDs of the obligors, their last known default rates, and a measurement of the systematic dependence of the obligors. Technically, the forecasts are made from within a classical asset-based …
Volodymyr Perederiy
arXiv · arXiv · 2026
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…
Maochun Xu, Yunqi Liang, Yi Hong
arXiv · arXiv · 2026
Financial markets such as bond, derivatives, and repo markets form networks of interdependent obligations. Existing multilateral netting methods typically trade off the extent of netting against preservation of counterparty exposure: central clearing reallocates exposure to a central counterparty, while trade compression may alter bilateral counterparty relationships. TradeMech is a mechanism for markets in which one…
Daniel Aronoff, Robert M. Townsend, Madars Virza
arXiv · arXiv · 2026
We audit whether candle-based machine-learning models can turn predictions of cryptocurrency extrema or short-horizon outcomes into positive Binance Spot paper policies after assumed costs. Numerical results come from scripted fixed-seed model runs and deterministic simulators; human-supervised AI agents supported the July 20 evidence-integrity revision through literature retrieval, separately tasked critique, artifa…
Ayoub Jadouli
arXiv · arXiv · 2026
Recent multimodal large language models have achieved strong performance in unified text and image understanding and generation, yet extending such native capability to 3D remains challenging due to limited data. Compared to abundant 2D imagery, high-quality 3D assets are scarce, making 3D synthesis under-constrained. Existing methods often rely on indirect pipelines that edit in 2D and lift results into 3D via optim…
Chongjie Ye, Cheng Cao, Chuanyu Pan, Yiming Hao, Yihao Zhi
arXiv · arXiv · 2026
The Martian brain terrain (MBT), characterized by its unique brain-like morphology, is a potential geological archive for finding hints of paleoclimatic conditions during its formation period. The morphological similarity of MBT to self-organized patterned ground on Earth suggests a shared formation mechanism. However, the lack of quantitative descriptions and robust physical modeling of self-organized stone transpor…
Shenyi Zhang, Lei Zhang, Yutian Ke, Jinhai Zhang