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We study how trading fees and continuous-time arbitrage affect the profitability of liquidity providers (LPs) in Geometric Mean Market Makers (G3Ms). We use stochastic reflected diffusion processes to analyze the dynamics of a G3M model under the arbitrage-driven market. Our research focuses on calculating LP wealth and extends the findings of Tassy and White related to the constant product market maker (Uniswap v2) …
We consider the problem of maximizing the asymptotic growth rate of an investor under drift uncertainty in the setting of stochastic portfolio theory (SPT). As in the work of Kardaras and Robertson we take as inputs (i) a Markovian volatility matrix $c(x)$ and (ii) an invariant density $p(x)$ for the market weights, but we additionally impose long-only constraints on the investor. Our principal contribution is provin…
The paper predicts an Efficient Market Property for the equity market, where stocks, when denominated in units of the growth optimal portfolio (GP), have zero instantaneous expected returns. Well-diversified equity portfolios are shown to approximate the GP, which explains the well-observed good performance of equally weighted portfolios. The proposed hierarchically weighted index (HWI) is shown to be an even better …
We propose a novel approach and an empirical procedure to test direct contagion of growth rate in a trade credit network of firms. Our hypotheses are that the use of trade credit contributes to contagion (from many customers to a single supplier - "many to one" contagion) and amplification (through their interaction with the macrocopic variables, such as interest rate) of growth rate. In this paper we test the contag…
This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depend on an external process of economic factors. There are transaction costs with a structure that covers, in particular, the case of fixed plus proportional costs. We prove that there exists a self-financing trading strategy maximizing the average growth rate of the portfolio …
Generating synthetic financial time series that preserve the statistical properties of real market data is essential for stress testing, risk model validation, and scenario design. Existing approaches struggle to simultaneously reproduce heavy-tailed distributions, negligible linear autocorrelation, and persistent volatility clustering. We developed a hybrid hidden Markov framework that discretized excess growth rate…
Drifts of asset returns are notoriously difficult to model accurately and, yet, trading strategies obtained from portfolio optimization are very sensitive to them. To mitigate this well-known phenomenon we study robust growth-optimization in a high-dimensional incomplete market under drift uncertainty of the asset price process $X$, under an additional ergodicity assumption, which constrains but does not fully specif…
Everlasting options, a relatively new class of perpetual financial derivatives, have emerged to tackle the challenges of rolling contracts and liquidity fragmentation in decentralized finance markets. This paper offers an in-depth analysis of markets for everlasting options, modeled using a dynamic proactive market maker. We examine the behavior of funding fees and transaction costs across varying liquidity condition…
The composition of natural liquidity has been changing over time. An analysis of intraday volumes for the S&P500 constituent stocks illustrates that (i) volume surprises, i.e., deviations from their respective forecasts, are correlated across stocks, and (ii) this correlation increases during the last few hours of the trading session. These observations could be attributed, in part, to the prevalence of portfolio tra…
We extend a linear version of the liquidity risk model of Cetin et al. (2004) to allow for price impacts. We show that the impact of a market order on prices depends on the size of the transaction and the level of liquidity. We obtain a simple characterization of self-financing trading strategies and a sufficient condition for no arbitrage. We consider a stochastic volatility model in which the volatility is partly c…
Over the past half-century, the empirical finance community has produced vast literature on the advantages of the equally weighted S\&P 500 portfolio as well as the often overlooked disadvantages of the market capitalization weighted Standard and Poor's (S\&P 500) portfolio (see \cite{Bloom}, \cite{Uppal}, \cite{Jacobs}, \cite{Treynor}). However, portfolio allocation based on Tukey's transformational ladde have, rath…
Cross-market portfolio optimization has become increasingly complex with the globalization of financial markets and the growth of high-frequency, multi-dimensional datasets. Traditional artificial neural networks, while effective in certain portfolio management tasks, often incur substantial computational overhead and lack the temporal processing capabilities required for large-scale, multi-market data. This study in…
Changes in the capital structure before and after the global financial crisis for SMEs are studied, emphasizing their financing problems, distinguishing between internal financing and external financing determinants. The empirical research bears upon 158 small and medium-sized firms listed on Shenzhen and Shanghai Stock Exchanges in China over the period of 2004-2014. A regression analysis, along the lines of the Tra…
The Non-Fungible-Token (NFT) market has experienced explosive growth in recent years. According to DappRadar, the total transaction volume on OpenSea, the largest NFT marketplace, reached 34.7 billion dollars in February 2023. However, the NFT market is mostly unregulated and there are significant concerns about money laundering, fraud and wash trading. The lack of industry-wide regulations, and the fact that amateur…
We explore the interplay between sovereign debt default/renegotiation and environmental factors (e.g., pollution from land use, natural resource exploitation). Pollution contributes to the likelihood of natural disasters and influences economic growth rates. The country can default on its debt at any time while also deciding whether to invest in pollution abatement. The framework provides insights into the credit spr…
We study Anderson localization in a one-dimensional disordered system with long-range correlated hopping decaying as $1/r^{a}$ with complex hopping amplitudes that break time-reversal symmetry in a tunable fashion by varying their argument. We find analytically a corelation-induced algebraic localization that is robust to a finite strength of the time-reversal-symmetry-breaking parameter, beyond which all states delo…
Retractions serve as an indicator of failures in research integrity, yet most analyses focus on absolute counts rather than risk per paper. We use one of the largest open bibliographic databases to develop incidence metrics normalized by population: retractions per publication and per active author annually. Applying an epidemiological framework that models counts with exposure, we find evidence of exponential growth…
Abstract A number of panel unit root tests that allow for cross‐section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically eliminate the cross‐dependence of the series before standard panel unit root tests are applied to the transformed series. In this paper we propose a simple alternative where the standard augmented Dickey–Fuller (ADF) regressions are augmen…
China credit impulse measures the change in new credit growth relative to GDP and is widely used as a leading indicator for Chinese demand and global cyclical momentum.
A Financial Conditions Index aggregates variables such as rates, credit spreads, equities, and the dollar to measure how supportive or restrictive the market environment is for growth and risk assets.
Copper price is widely used as a proxy for industrial activity, manufacturing demand, and global growth expectations.
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.
Output Gap — Estimated distance of GDP from potential output, informing policy reaction functions.
GDP Nowcast — High-frequency aggregation of activity data to estimate current-quarter growth in real time.
Retail Sales Growth — Nominal and real consumption momentum, critical for growth and inflation nowcasts.
Wage Growth — Nominal pay momentum that feeds services inflation persistence and Fed reaction functions.
Fiscal Multiplier — Estimated GDP impact per unit of government spending or tax change.
Steepener Flattener Trade — Curve trades expressing views on growth, inflation, and term premium independently of level.
Terms of Trade Shock — Relative export-import price shifts altering growth and currency paths.
Kelly Criterion — Optimal growth bet sizing framework — fragile with estimation error.
China Property Cycle — Developer stress and land sales impacting global commodities and EM growth.
Sector Rotation Signals — Cyclical versus defensive leadership indicating growth and rates regime.
Interest Growth Differential (Macro Policy).
Copper Dr Copper Signal — Copper as a global industrial and China-cycle barometer.
Potential Growth Rate (Economy).
Earnings Revision growth — Equity factor, event, or flow concept for cash equity desks.
Estimate Dispersion growth — Equity factor, event, or flow concept for cash equity desks.
PEG Screen growth — Equity factor, event, or flow concept for cash equity desks.
Free Cash Flow Yield growth — Equity factor, event, or flow concept for cash equity desks.
Buyback Yield growth — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat growth — Equity factor, event, or flow concept for cash equity desks.
Quality Factor growth — Equity factor, event, or flow concept for cash equity desks.
Value Spread growth — Equity factor, event, or flow concept for cash equity desks.
Momentum Crowding growth — Equity factor, event, or flow concept for cash equity desks.
Loan Growth US (Banking).
Loan Growth Euro Area — Bank balance-sheet, funding, or regulatory capital concept.
Loan Growth UK (Banking).
Loan Growth Japan (Banking).
Loan Growth China (Banking).
Loan Growth EM Asia — Bank balance-sheet, funding, or regulatory capital concept.
Loan Growth LatAm (Banking).
Loan Growth CEEMEA — Bank balance-sheet, funding, or regulatory capital concept.
Loan Growth Canada — Bank balance-sheet, funding, or regulatory capital concept.
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.
ADR Parity growth (Equity).
Analyst Upgrade Cycle growth (Equity).
Borrow Cost growth (Equity).
Buyback Yield growth — Equity factor, event, or flow concept for cash equity desks.
China credit impulse measures the change in new credit growth relative to GDP and is widely used as a leading indicator for Chinese demand and global cyclical momentum.
China Property Cycle — Developer stress and land sales impacting global commodities and EM growth.
Copper price is widely used as a proxy for industrial activity, manufacturing demand, and global growth expectations.
Dividend Aristocrat growth — Equity factor, event, or flow concept for cash equity desks.
Earnings Revision growth — Equity factor, event, or flow concept for cash equity desks.
Earnings Straddle growth (Equity).
Estimate Dispersion growth — Equity factor, event, or flow concept for cash equity desks.
Event Merger growth (Equity).
A Financial Conditions Index aggregates variables such as rates, credit spreads, equities, and the dollar to measure how supportive or restrictive the market environment is for growth and risk assets.
Free Cash Flow Yield growth — Equity factor, event, or flow concept for cash equity desks.
GDP Nowcast — High-frequency aggregation of activity data to estimate current-quarter growth in real time.
Index Rebalance growth (Equity).
Industry Relative growth (Equity).
Interest Growth Differential (Macro Policy).
IPO Lockup growth (Equity).
Kelly Criterion — Optimal growth bet sizing framework — fragile with estimation error.
Loan Growth ASEAN (Banking).
Loan Growth Australia — Bank balance-sheet, funding, or regulatory capital concept.
Loan Growth broker-dealer — Bank balance-sheet, funding, or regulatory capital concept.