arXiv · arXiv q-fin · 2019
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to different distribution spread rates compared to standard models. In financial modelling this has been used to accommodate for random trade duration in the tick-by-tick price process. We …
Antoine Jacquier, Lorenzo Torricelli
arXiv · arXiv · 2023
At the peak of the tech bubble, only 0.57% of market valuation comes from dividends in the next year. Taking the ratio of total market value to the value of one-year dividends, we obtain a valuation-based duration of 175 years. In contrast, at the height of the global financial crisis, more than 2.2% of market value is from dividends in the next year, implying a duration of 46 years. What drives valuation duration? W…
Ye Li, Chen Wang
arXiv · arXiv · 2021
The liquidity risk factor of security market plays an important role in the formulation of trading strategies. A more liquid stock market means that the securities can be bought or sold more easily. As a sound indicator of market liquidity, the transaction duration is the focus of this study. We concentrate on estimating the probability density function p(Δt_(i+1) |G_i) where Δt_(i+1) represents the duration of the (…
Yong Shi, Wei Dai, Wen Long, Bo Li
arXiv · arXiv · 2026
This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit heavy-tailed interarrival times, posing a significant challenge for accurate prediction. The proposed approach incorporates the empirical distributional features of interarrival times while preserving the self-exciting and decay structure. Thi…
Kyungsub Lee
arXiv · arXiv · 2024
This article examines the economic effects of an increase in the duration of home loans on households, focusing on the French real estate market. It highlights trends in the property market, existing loan systems in other countries (such as bullet loans in Sweden and Japanese home loans), the current state of the property market in France, the potential effects of an increase in the amortization period of home loans,…
Hugo Spring-Ragain
arXiv · arXiv · 2019
We consider an auction market in which market makers fill the order book during a given time period while some other investors send market orders. We define the clearing price of the auction as the price maximizing the exchanged volume at the clearing time according to the supply and demand of each market participants. Then we derive in a semi-explicit form the error made between this clearing price and the efficient…
Paul Jusselin, Thibaut Mastrolia, Mathieu Rosenbaum
arXiv · arXiv · 2010
Intertrade duration of equities is an important financial measure characterizing the trading activities, which is defined as the waiting time between successive trades of an equity. Using the ultrahigh-frequency data of a liquid Chinese stock and its associated warrant, we perform a comparative investigation of the statistical properties of their intertrade duration time series. The distributions of the two equities …
Yong-Ping Ruan, Wei-Xing Zhou
arXiv · arXiv q-fin · 2025
To trade tokens in cryptoeconomic systems, automated market makers (AMMs) typically rely on liquidity providers (LPs) that deposit tokens in exchange for rewards. To profit from such rewards, LPs must use effective liquidity provisioning strategies. However, LPs lack guidance for developing such strategies, which often leads them to financial losses. We developed a measurement model based on impermanent loss to analy…
Thanos Drossos, Daniel Kirste, Niclas Kannengießer, Ali Sunyaev
arXiv · arXiv q-fin · 2013
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…
Arthur M. Berd, Elena Ranguelova, Antonio Baldaque da Silva
arXiv · arXiv · 2026
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 …
Tobias Lausser, Joao Eduardo Vuolo, Rudi Zagst
arXiv · arXiv q-fin · 2024
We have designed an innovative portfolio rebalancing mechanism termed the Cascading Waterfall Round Robin Mechanism. This algorithmic approach recommends an ideal size and number of trades for each asset during the periodic rebalancing process, factoring in the gas fee and slippage. The essence of the model we have created gives indications regarding whether trades should be made on individual assets depending on the…
Ravi Kashyap
arXiv · arXiv q-fin · 2016
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…
Ravi Kashyap
arXiv · arXiv q-fin · 2025
We present the unified market-based description of returns and variances of the trades with shares of a particular security, of the trades with shares of all securities in the market, and of the trades with the market portfolio. We consider the investor who doesn't trade the shares of his portfolio he collected at time t0 in the past. The investor observes the time series of the current trades with all securities mad…
Victor Olkhov
arXiv · arXiv q-fin · 2024
Recent deep reinforcement learning (DRL) methods in finance show promising outcomes. However, there is limited research examining the behavior of these DRL algorithms. This paper aims to investigate their tendencies towards holding or trading financial assets as well as purchase diversity. By analyzing their trading behaviors, we provide insights into the decision-making processes of DRL models in finance application…
Alireza Mohammadshafie, Akram Mirzaeinia, Haseebullah Jumakhan, Amir Mirzaeinia
arXiv · arXiv q-fin · 2014
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in trade time. We show that when controlling for pre-scheduled market news events, trade-time returns of the highly liquid near-mo…
Eric M. Aldrich, Indra Heckenbach, Gregory Laughlin
arXiv · arXiv · 2018
We have developed a statistical technique to test the model assumption of binary regime switching extension of the geometric Brownian motion (GBM) model by proposing a new discriminating statistics. Given a time series data, we have identified an admissible class of the regime switching candidate models for the statistical inference. By performing several systematic experiments, we have successfully shown that the sa…
Milan Kumar Das, Anindya Goswami
arXiv · arXiv · 2009
In this three-part series of papers, we argue that the conventional spread measures are not well defined for credit-risky bonds and introduce a set of credit term structures which correct for the biases associated with the strippable cash flow valuation assumption. We demonstrate that the resulting estimates are significantly more robust and remain meaningful even when applied to deeply distressed bonds. We also sugg…
Arthur M. Berd, Roy Mashal, Peili Wang
arXiv · arXiv · 2017
Cash collateral is perfect in that it provides simultaneous counterparty credit risk protection and derivatives funding. Securities are imperfect collateral, because of collateral segregation or differences in CSA haircuts and repo haircuts. Moreover, the collateral rate term structure is not observable in the repo market, for derivatives netting sets are perpetual while repo tenors are typically in months. This arti…
Wujiang Lou