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Multifractality in time series analysis characterizes the presence of multiple scaling exponents, indicating heterogeneous temporal structures and complex dynamical behaviors beyond simple monofractal models. In the context of digital currency markets, multifractal properties arise due to the interplay of long-range temporal correlations and heavy-tailed distributions of returns, reflecting intricate market microstru…
Earnings release is a key economic event in the financial markets and crucial for predicting stock movements. Earnings data gives a glimpse into how a company is doing financially and can hint at where its stock might go next. However, the irregularity of its release cycle makes it a challenge to incorporate this data in a medium-frequency algorithmic trading model and the usefulness of this data fades fast after it …
Classical recommender systems often assume that historical data are stationary and fail to account for the dynamic nature of user preferences, limiting their ability to provide reliable recommendations in time-sensitive settings. This assumption is particularly problematic in finance, where financial products exhibit continuous changes in valuations, leading to frequent shifts in client interests. These evolving inte…
In a discrete-time financial market, a generalized duality is established for model-free superhedging, given marginal distributions of the underlying asset. Contrary to prior studies, we do not require contingent claims to be upper semicontinuous, allowing for upper semi-analytic ones. The generalized duality stipulates an extended version of risk-neutral pricing. To compute the model-free superhedging price, one nee…
In this paper, we develop an expected utility model for the retirement behavior in the decumulation phase of Australian retirees with sequential family status subject to consumption, housing, investment, bequest and government provided means-tested Age Pension. We account for mortality risk and risky investment assets, and introduce a health proxy to capture the decreasing level of consumption for older retirees. The…
This paper investigates the effects of the "uptick rule" (a short selling regulation formally known as rule 10a-1) by means of a simple stock market model, based on the ARED (adaptive rational equilibrium dynamics) modeling framework, where heterogeneous and adaptive beliefs on the future prices of a risky asset were first shown to be responsible for endogenous price fluctuations. The dynamics of stock prices generat…
In the wake of the ongoing global financial crisis, interdependencies among banks have come into focus in trying to assess systemic risk. To date, such analysis has largely been based on numerical data. By contrast, this study attempts to gain further insight into bank interconnections by tapping into financial discussion. Co-mentions of bank names are turned into a network, which can be visualized and analyzed quant…
This paper develops a unified mathematical theory of implied, local, and learned volatility surfaces. Total variance $w_t(k,τ)=τσ_t^2(k,τ)$ is an infinite-dimensional state constrained by positivity, calendar monotonicity, and the butterfly differential inequality. We establish the topology and tangent geometry of this arbitrage set and prove that a nondegenerate Gaussian shock at an active constraint exits with prob…
An exponentially weighted moving model (EWMM) for a vector time series fits a new data model each time period, based on an exponentially fading loss function on past observed data. The well known and widely used exponentially weighted moving average (EWMA) is a special case that estimates the mean using a square loss function. For quadratic loss functions EWMMs can be fit using a simple recursion that updates the par…
The goal of this investigation was to overcome limitations of a persistency analysis, introduced by Benoit Mandelbrot for fractal Brownian processes: nondifferentiability, Brownian nature of process and a linear memory measure. We have extended a sense of a Hurst factor by consideration of a phase diffusion power law. It was shown that pre-catastrophic stabilization as an indicator of bifurcation leads to a new minim…
Fade stretched moves in futures over short horizons — the anti-trend sleeve that makes money in ranges and loses when a crisis trend persists.
To fade the move is to take the other side of a fast print — sell a spike, buy a dump — on the view that it is flow or a squeeze, not a new equilibrium.
Interest-rate parity links interest differentials to forward FX — covered IRP is an arb; uncovered is a hypothesis the carry trade fades.
Buy closed-end funds at a wide discount to NAV and fade rich premiums — a stubborn retail-structure anomaly.
Fade short-term losers only when fundamentals (F-Score) are healthy — reversal with a quality gate.
Fade multi-year country or regional ETF winners and buy the laggards — a slow reversal, not a weekly bounce.
Fade an already-extended PEAD move — a reversal overlay on the earnings-drift anomaly, not the drift itself.
Fade last week’s winners and buy last week’s losers across liquid futures — reversal in a cost-friendly universe.
Prefer commodity futures with more attractive skewness (or fade lottery-like positive skew) — a moment factor in the curve complex.
Fade or fade-and-hold listed football-club stocks around match outcomes — a sports-sentiment, low-capacity curiosity.
Buy closed-end funds at a wide discount to NAV and fade rich premiums — a stubborn retail-structure anomaly.
Fade stretched moves in futures over short horizons — the anti-trend sleeve that makes money in ranges and loses when a crisis trend persists.
To fade the move is to take the other side of a fast print — sell a spike, buy a dump — on the view that it is flow or a squeeze, not a new equilibrium.
Interest-rate parity links interest differentials to forward FX — covered IRP is an arb; uncovered is a hypothesis the carry trade fades.
Fade short-term losers only when fundamentals (F-Score) are healthy — reversal with a quality gate.
Fade multi-year country or regional ETF winners and buy the laggards — a slow reversal, not a weekly bounce.
Fade an already-extended PEAD move — a reversal overlay on the earnings-drift anomaly, not the drift itself.
Fade last week’s winners and buy last week’s losers across liquid futures — reversal in a cost-friendly universe.
Prefer commodity futures with more attractive skewness (or fade lottery-like positive skew) — a moment factor in the curve complex.
Fade or fade-and-hold listed football-club stocks around match outcomes — a sports-sentiment, low-capacity curiosity.