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I introduce a survey of economic expectations formed by querying a large language model (LLM)'s expectations of various financial and macroeconomic variables based on a sample of news articles from the Wall Street Journal between 1984 and 2021. I find the resulting expectations closely match existing surveys including the Survey of Professional Forecasters (SPF), the American Association of Individual Investors, and …
Monthly disaggregated US data from 1978 to 2016 reveals that exposure to news on inflation and monetary policy helps to explain inflation expectations. This remains true when controlling for household personal characteristics, perceptions of government policy effectiveness, future interest rates and unemployment expectations, and sentiment. We find an asymmetric impact of news on inflation and monetary policy after 1…
Among other macroeconomic indicators, the monthly release of U.S. unemployment rate figures in the Employment Situation report by the U.S. Bureau of Labour Statistics gets a lot of media attention and strongly affects the stock markets. I investigate whether a profitable investment strategy can be constructed by predicting the likely changes in U.S. unemployment before the official news release using Google query vol…
We study the informational efficiency of a market with a single traded asset. The price initially differs from the fundamental value, about which the agents have noisy private information (which is, on average, correct). A fraction of traders revise their price expectations in each period. The price at which the asset is traded is public information. The agents' expectations have an adaptive component and a social-in…
As the FX markets continue to evolve, many institutions have started offering passive access to their internal liquidity pools. Market makers act as principal and have the opportunity to fill those orders as part of their risk management, or they may choose to adjust pricing to their external OTC franchise to facilitate the matching flow. It is, a priori, unclear how the strategies managing internal liquidity should …
Risk-neutral default probabilities can be implied from credit default swap (CDS) market quotes. In practice, mid CDS quotes are used as inputs, as their risk-neutral counterparts are not observable. We show how to imply risk-neutral default probabilities from bid and ask quotes directly by means of formulating the CDS calibration problem to bid and ask market quotes within the conic finance framework. Assuming the ri…
This paper acts as a collection of various trading strategies and useful pieces of market information that might help to implement such strategies. This list is meant to be comprehensive (though by no means exhaustive) and hence we only provide pointers and give further sources to explore each strategy further. To set the stage for this exploration, we consider the factors that determine good and bad trades, the noti…
Regarding the intraday sequence of high frequency returns of the S&P index as daily realizations of a given stochastic process, we first demonstrate that the scaling properties of the aggregated return distribution can be employed to define a martingale stochastic model which consistently replicates conditioned expectations of the S&P 500 high frequency data in the morning of each trading day. Then, a more general fo…
Let $Ω$ be a Polish space with Borel $σ$-field $\mathcal{F}$ and countably generated sub $σ$-field $\mathcal{G}\subset\mathcal{F}$. Denote by $\mathcal{L}(\mathcal{F})$ the set of all bounded $\mathcal{F}$-upper semianalytic functions from $Ω$ to the reals and by $\mathcal{L}(\mathcal{G})$ the subset of $\mathcal{G}$-upper semianalytic functions. Let $\mathcal{E}(\cdot|\mathcal{G})\colon\mathcal{L}(\mathcal{F})\to\ma…
We study cash-flow forecasting for derivatives used in liquidity management and clarify its relation to risk-neutral valuation and replication. While it is well known that expectations under different measures (e.g., $\mathbb{P}$ vs. $\mathbb{Q}$) can yield different undiscounted cash-flows, further inconsistencies arise when payment times are stochastic. We show that using discounting sensitivities (funding-curve he…
Constant product markets with concentrated liquidity (CL) are the most popular type of automated market makers. In this paper, we characterise the continuous-time wealth dynamics of strategic LPs who dynamically adjust their range of liquidity provision in CL pools. Their wealth results from fee income, the value of their holdings in the pool, and rebalancing costs. Next, we derive a self-financing and closed-form op…
The standard approach for compensating liquidity providers on many decentralized exchanges (DEX) for serving as counter-party to swaps is through charging a small percentage of fees. The expected payoff from the cash flow of this mode of market making has yet to be mathematically formulated in terms of volatility in the existing literature. We provide here a preliminary derivation of the payoff formula, by making the…
Recent advances in large language models, tool-using agents, and financial machine learning are shifting financial automation from isolated prediction tasks to integrated decision systems that can perceive information, reason over objectives, and generate or execute actions. This paper develops an integrative framework for analysing agentic finance: financial market environments in which autonomous or semi-autonomous…
Market expectations about AI's economic impact may influence interest rates. Previous work has shown that US bond yields decline around the release of a sample of mostly proprietary AI models (Andrews and Farboodi 2025). I extend this analysis to include also open weight AI models that can be freely used and modified. I find long-term bond yields shift in opposite directions following the introduction of open versus …
We consider state of the art applications of artificial intelligence (AI) in modelling human financial expectations and explore the potential of quantum logic to drive future advancements in this field. This analysis highlights the application of machine learning techniques, including reinforcement learning and deep neural networks, in financial statement analysis, algorithmic trading, portfolio management, and robo-…
I explore the relationship between investor emotions expressed on social media and asset prices. The field has seen a proliferation of models aimed at extracting firm-level sentiment from social media data, though the behavior of these models often remains uncertain. Against this backdrop, my study employs EmTract, an open-source emotion model, to test whether the emotional responses identified on social media platfo…
This paper conducts an extensive analysis of Bitcoin return series, with a primary focus on three volatility metrics: historical volatility (calculated as the sample standard deviation), forecasted volatility (derived from GARCH-type models), and implied volatility (computed from the emerging Bitcoin options market). These measures of volatility serve as indicators of market expectations for conditional volatility an…
Active portfolio management tries to incorporate any source of meaningful information into the asset selection process. In this contribution we consider qualitative views specified as total orders of the expected asset returns and discuss two different approaches for incorporating this input in a mean-variance portfolio optimization model. In the robust optimization approach we first compute a posterior expectation o…
Copper price is widely used as a proxy for industrial activity, manufacturing demand, and global growth expectations.
Priced in means the event or path is already in the forwards, the curve, or the multiple — so the announcement is not new information unless it surprises that path.
Hysteresis is path dependence: a temporary shock permanently scars the level of output, employment, or inflation expectations instead of washing out.
Consumer Confidence Index — Household expectations that influence spending, labor supply, and political pressure on policy.
Inflation Expectations Survey — Household and market-based expectations that can de-anchor if policy credibility erodes.
US 10-Year Breakeven Inflation reflects the inflation rate implied by the gap between nominal Treasuries and TIPS, serving as a market-based gauge of long-term inflation expectations.
Primary Dealer Survey — Desk-level policy expectations that front-run official communications.
FRA-OIS spread measures the difference between interbank funding expectations and overnight indexed swap rates, often used as a gauge of banking and short-term funding stress.
Forward Guidance — How central bank language shapes term premium and front-end rate expectations before actual policy moves.
The term structure of interest rates across maturities, used to read growth, liquidity, and stress expectations.
The law of iterated expectations says E[E[X | finer info]] = E[X | coarser info] — you cannot improve an expectation by forgetting information, and towers of forecasts must nest.
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 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.
Consumer Confidence Index — Household expectations that influence spending, labor supply, and political pressure on policy.
Copper price is widely used as a proxy for industrial activity, manufacturing demand, and global growth expectations.
Forward Guidance — How central bank language shapes term premium and front-end rate expectations before actual policy moves.
FRA-OIS spread measures the difference between interbank funding expectations and overnight indexed swap rates, often used as a gauge of banking and short-term funding stress.
Hysteresis is path dependence: a temporary shock permanently scars the level of output, employment, or inflation expectations instead of washing out.
Inflation Expectations Survey — Household and market-based expectations that can de-anchor if policy credibility erodes.
The law of iterated expectations says E[E[X | finer info]] = E[X | coarser info] — you cannot improve an expectation by forgetting information, and towers of forecasts must nest.
Primary Dealer Survey — Desk-level policy expectations that front-run official communications.
US 10-Year Breakeven Inflation reflects the inflation rate implied by the gap between nominal Treasuries and TIPS, serving as a market-based gauge of long-term inflation expectations.
The term structure of interest rates across maturities, used to read growth, liquidity, and stress expectations.