arXiv · arXiv q-fin · 2026
We test whether large language models (LLMs) add value in commodity portfolio construction when the information set and implementation rules are held fixed across strategies. A Hawkish Agent (inflation-tightening prior), a Dovish Agent (growth-easing prior), a Debate Agent, and a deterministic z-score Rule Agent each receive identical FRED macro z-scores and route their tilt signals through the same portfolio engine.…
Yiqing Wang, Dehao Dai, Ding Ma, Kerui Geng
arXiv · arXiv q-fin · 2026
We study seven major crypto-perpetual liquidation cascades (2022-2025), and in the largest of them we can watch the mechanism directly. From the on-chain fill log of a fully transparent venue we measure the branching ratio of that event -- the October 2025 crash, the largest on record -- in flight, with both of its factors observed and no free constants. It ran deeply subcritical: the structural ratio and the amplifi…
Ramon Marc Garcia Seuma
arXiv · arXiv q-fin · 2024
We study a new "laminated" queueing model for orders on batched trading venues such as decentralised exchanges. The model aims to capture and generalise transaction queueing infrastructure that has arisen to organise MEV activity on public blockchains such as Ethereum, providing convenient channels for sophisticated agents to extract value by acting on end-user order flow by performing arbitrage and related HFT activ…
Andrew W. Macpherson
arXiv · arXiv q-fin · 2017
Market Microstructure is the investigation of the process and protocols that govern the exchange of assets with the objective of reducing frictions that can impede the transfer. In financial markets, where there is an abundance of recorded information, this translates to the study of the dynamic relationships between observed variables, such as price, volume and spread, and hidden constituents, such as transaction co…
Ravi Kashyap
arXiv · arXiv q-fin · 2026
Classical portfolio optimization treats expected returns, covariances, and allocations as deterministic. Modern practice replaces at least one by a distribution: a posterior over parameters, a law of future returns, a stochastic allocation policy, or a distributional-robustness set. We call distributional portfolio optimization (DPO) the unified framework in which weights, returns, and parameters are all modeled as p…
Miquel Noguer i Alonso
arXiv · arXiv q-fin · 2026
This paper examines the impact of reducing Ethereum slot time on decentralized exchange activity, with a focus on CEX-DEX arbitrage behavior. We develop a trading model where the agent's DEX transaction is not guaranteed to land, and the agent explicitly accounts for this execution risk when deciding whether to pursue arbitrage opportunities. We compare agent behavior under Ethereum's default 12-second slot time envi…
Aleksei Adadurov, Sergey Barseghyan, Anton Chtepine, Antero Eloranta, Andrei Sebyakin
arXiv · arXiv q-fin · 2025
In this paper, we review modern approaches to building interpretable models of property markets using machine learning on the base of mass valuation of property in the Primorye region, Russia. There are numerous potential difficulties one could encounter in the effort to build a good model. Their main source is the huge difference between noisy real market data and ideal data usually used in tutorials on machine lear…
Alexey S. Tanashkin, Irina G. Tanashkina, Alexander S. Maksimchuik
arXiv · arXiv q-fin · 2022
The rapid rise of cryptocurrency prices led to concerns (e.g. the Financial Stability Board) that this wealth accumulation could detrimentally spill over into other parts of the economy, but evidence is limited. We exploit the tendency for metaverses to issue their own cryptocurrencies along with non-fungible tokens (NFTs) representing virtual real estate ownership (LAND) to provide evidence of the wealth effect. Cry…
Kanis Saengchote
arXiv · arXiv q-fin · 2022
The Sandbox metaverse LAND non-fungible token (NFT) prices increased by than 300 times (in USD) between December 2019 and January 2022, but when measured in its native utility token (SAND), the increase is only 3 times. Depending on how prices are denominated, investment returns and effective transaction prices vary. We analyze more than 71,000 transactions and find that users are willing to pay 3-4% more when transa…
Voraprapa Nakavachara, Kanis Saengchote
arXiv · arXiv q-fin · 2022
We develop a macro-finance model in which leverage creates a positive feedback loop between capital investment and land prices. When leverage is below a threshold, land prices equal the present value of rents. Relaxing leverage lowers the productivity of the marginal investor and the interest rate until the fundamental value diverges. The economy then undergoes a phase transition to unbalanced growth. Demand for a st…
Tomohiro Hirano, Ryo Jinnai, Alexis Akira Toda
arXiv · arXiv q-fin · 2021
Figgie is a card game that approximates open-outcry commodities trading. We design strategies for Figgie and study their performance and the resulting market behavior. To do this, we develop a flexible agent-based discrete-event market simulation in which agents operating under our strategies can play Figgie. Our simulation builds upon previous work by simulating latencies between agents and the market in a novel and…
Steven DiSilvio, Yu, Luo, Anthony Ozerov
arXiv · arXiv q-fin · 2020
Since 1986, Government of Botswana has been running an Agricultural Credit Guarantee Scheme for dry-land arable farming. The scheme purports to assist dry-land crop farmers who have taken loans with participating banks or lending institutions to help them meet their debt obligations in case of crop failure due to drought, floods, frost or hailstorm. Nonetheless, to date, the scheme has focused solely on drought. The …
Reason Lesego Machete
arXiv · arXiv q-fin · 2007
The size distribution of land plots is a result of land allocation processes in the past. In the absence of regulation this is a Markov process leading an equilibrium described by a probabilistic equation used commonly in the insurance and financial mathematics. We support this claim by analyzing the distribution of two plot types, garden and build-up areas, in the Czech Land Registry pointing out the coincidence wit…
Pavel Exner, Petr Šeba
arXiv · arXiv q-fin · 2007
Employing data on the assessed value of land in 1974--2007 Japan, we exhibit a quasistatically varying log-normal distribution in the middle scale region. In the derivation, a Non-Gibrat's law under the detailed quasi-balance is adopted together with two approximations. The resultant distribution is power-law with the varying exponent in the large scale region and the quasistatic log-normal distribution with the vary…
Atushi Ishikawa
arXiv · arXiv q-fin · 2006
We investigate the dynamical behavior in the large scale region of non-equilibrium systems, by employing data on the assessed value of land in 1983 -- 2006 Japan. In the system we find the detailed quasi-balance, which has the symmetry: x_1 -> a {x_2}^θ (x_1 and x_2 are two successive land prices). By using the detailed quasi-balance and Gibrat's law, we derive Pareto's law with varying Pareto index annually. The par…
Atushi Ishikawa
arXiv · arXiv q-fin · 2003
In this paper we present an analysis of power law statistics on land markets. There have been no other studies that have analyzed power law statistics on land markets up to now. We analyzed a database of the assessed value of land, which is officially monitored and made available to the public by the Ministry of Land, Infrastructure, and Transport Government of Japan. This is the largest database of Japan's land pric…
Taisei Kaizoji
arXiv · arXiv q-fin · 2003
In this paper we investigate quantitatively statistical properties of ensemble of {\it land prices} in Japan in the period from 1981 to 2002, corresponding to the period of bubbles and crashes. We find that the tail of the distributions of ensembles of the land prices in the high price range is well described by a power law distribution, $ P(S>x) \sim x^{-α} $, and furthermore that as the power-law exponents $ α$ app…
Taisei Kaizoji, Michiyo Kaizoji
arXiv · arXiv q-fin · 2003
Previous analyses of a large ensemble of stock markets have demonstrated that a log-periodic power law (LPPL) behavior of the prices constitutes a qualifying signature of speculative bubbles that often land with a crash. We detect such a LPPL signature in the foreign capital inflow during the bubble on the US markets culminating in March 2000. We detect a weak synchronization and lag with the NASDAQ 100 LPPL pattern.…
D. Sornette, W. -X. Zhou