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Over the last decade, the foreign exchange derivatives market has witnessed a collapse of covered interest parity (CIP). Not only does this collapse give rise to large deviations from CIP, it has unlocked a stream of exploitable arbitrage opportunities across currencies. In this paper, we introduce two new factors – inflation differential and relative economic performance – as potential drivers of deviations from CIP…
We propose a structural framework for the geometry of financial order books in which liquidity, supply, and demand are treated as emergent observables rather than primitive economic variables. The market is modeled as an inflationary relational system without assumed metric, temporal, or price coordinates. Observable quantities arise only through projection, implemented here via spectral embeddings of the graph Lapla…
Modern economic systems face unprecedented socioeconomic challenges, making systemic resilience and effective liquidity flow management essential. Traditional models such as CAPM, VaR, and GARCH often fail to reflect real market fluctuations and extreme events. This study develops and validates an innovative mathematical model based on the Navier-Stokes equations, aimed at the quantitative assessment, forecasting, an…
This paper investigates the application of Deep Reinforcement Learning (DRL) for Environment, Social, and Governance (ESG) financial portfolio management, with a specific focus on the potential benefits of ESG score-based market regulation. We leveraged an Advantage Actor-Critic (A2C) agent and conducted our experiments using environments encoded within the OpenAI Gym, adapted from the FinRL platform. The study inclu…
One of the most challenging aspects in the analysis and modelling of financial markets, including Credit Default Swap (CDS) markets, is the presence of an emergent, intermediate level of structure standing in between the microscopic dynamics of individual financial entities and the macroscopic dynamics of the market as a whole. This elusive, mesoscopic level of organisation is often sought for via factor models that …
Although the CML (Capital Market Line), the Intertemporal-CAPM, the CAPM/SML (Security Market Line) and the Intertemporal Arbitrage Pricing Theory (IAPT) are widely used in portfolio management, valuation and capital markets financing; these theories are inaccurate and can adversely affect risk management and portfolio management processes. This article introduces several empirically testable financial theories that …
We study insolvency cascades in an interbank system when banks are allowed to insure their loans with credit default swaps (CDS) sold by other banks. We show that, by properly shifting financial exposures from one institution to another, a CDS market can be designed to rewire the network of interbank exposures in a way that makes it more resilient to insolvency cascades. A regulator can use information about the topo…
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…
The label event-linked perpetual often conflates mathematically different contracts. We replace a flat product list with a four-axis taxonomy: underlying geometry, temporal structure, settlement structure, and venue-oracle composition. The taxonomy covers a single binary probability, conditional ratios, event spreads, baskets, path functionals, liquidity indices, rolling sequences, and flow-only swaps. We derive a co…
We reformulate the neutral wealth tax framework of Froeseth (2026; arXiv:2603.05264) in the language of stochastic dynamics and statistical physics. Individual wealth under geometric Brownian motion satisfies a Langevin equation with multiplicative noise; the probability density of wealth across a population then evolves according to a Fokker-Planck equation. A proportional wealth tax at market value enters as a unif…
We analyse the effect of a proportional wealth tax on asset returns, portfolio choice, and asset pricing. The tax is levied annually on the market value of all holdings at a uniform rate. We show that such a tax is economically equivalent to the government acquiring a proportional stake in the investor's portfolio each period -- a form of risk sharing in which expected wealth and risk are reduced by the same factor, …
We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the central bank, the bond market liquidity, inflation and growth expectations play an important role. The model can explain the effects of non-standard monetary policies (like quantitative …
We propose DeePM (Deep Portfolio Manager), a structured deep-learning macro portfolio manager trained end-to-end to maximize a robust, risk-adjusted utility. DeePM addresses three fundamental challenges in financial learning: (1) it resolves the asynchronous "ragged filtration" problem via a Directed Delay (Causal Sieve) mechanism that prioritizes causal impulse-response learning over information freshness; (2) it co…
This book, which is in Spanish, provides detailed descriptions, including over 550 mathematical formulas, for over 150 trading strategies across a host of asset classes (and trading styles). This includes stocks, options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles, structured assets, volatility (as an asset class), real estate, distressed assets, cash, cryptocurrencies, miscella…
For more than four decades, the 60/40 stock/bond portfolio has served as a benchmark for delivering reasonable returns without excessive risk. More recently, a 50/30/20 stock/bond/alternative portfolio has been suggested. We use gold as the alternative and as an inflation hedge. In this paper we ask: how much improvement over these benchmark fixed-weight portfolios can be obtained using widely available public data a…
Form 8-K filings are the primary channel through which U.S. public companies disclose material events, but the SEC item codes attached to them are coarse: a single item spans routine administrative changes and chief executive departures, and many of the most market-moving disclosures fall into a catch-all item. Large language models make fine-grained labelling feasible at corpus scale, but only if the labels can be t…
We characterise minimum-distortion wealth taxation under two contrasting normative criteria within a Fokker-Planck framework on log-wealth: the JKO free-energy gap, an information-theoretic measure aligned with the Mirrleesian decision-distortion tradition, and the squared 2-Wasserstein distance from the no-tax distribution at horizon $T$, a transport-geometric measure aligned with the Saez-Zucman distributional-comp…
Blandhol (2025) estimates that wealth-tax-induced emigration from Norway reduces long-run GDP by 1.3%. Dansk Industri scaled this figure to argue that a Danish wealth tax would cost billions - a claim central to the 2026 Danish election campaign. We develop a social contagion model in which the emigration rate depends on a visibility-weighted fraction of prior emigrants, producing tipping-point dynamics. Embedding th…