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For quantitative trading risk management purposes, we present a novel idea: the realized local volatility surface. Concisely, it stands for the conditional expected volatility when sudden market behaviors of the underlying occur. One is able to explore risk management usages by following the orthotical Delta-Gamma dynamic hedging framework. The realized local volatility surface is, mathematically, a generalized Wiene…
We explore the abilities of two machine learning approaches for no-arbitrage interpolation of European vanilla option prices, which jointly yield the corresponding local volatility surface: a finite dimensional Gaussian process (GP) regression approach under no-arbitrage constraints based on prices, and a neural net (NN) approach with penalization of arbitrages based on implied volatilities. We demonstrate the perfor…
In this work we study the averaging principle for non-autonomous slow-fast systems of stochastic differential equations. In particular in the first part we prove the averaging principle assuming the sublinearity, the Lipschitzianity and the Holder's continuity in time of the coefficients, an ergodic hypothesis and an $\mathcal{L}^2$-bound of the fast component. In this setting we prove the weak convergence of the slo…
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…
We derive representations of local risk-minimization of call and put options for Barndorff-Nielsen and Shephard models: jump type stochastic volatility models whose squared volatility process is given by a non-Gaussian rnstein-Uhlenbeck process. The general form of Barndorff-Nielsen and Shephard models includes two parameters: volatility risk premium $β$ and leverage effect $ρ$. Arai and Suzuki (2015, arxiv:1503.0858…
We build an optimal portfolio liquidation model for OTC markets, aiming at minimizing the trading costs via the choice of the liquidation time. We work in the Locally Linear Order Book framework of \cite{toth2011anomalous} to obtain the market impact as a function of the traded volume. We find that the optimal terminal time for a linear execution of a small order is proportional to the square root of the ratio betwee…
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe portfolio manager market timing behavior, in a canonical multifactor asset pricing model. First, we present a spectral test for market timing based on behavioral transformation of the hedge factors design matrix. Second, we find that the t…
This paper studies how market informedness affects market makers' profitability in a computational market environment with heterogeneous learning agents. We develop an agent-based market model in which market makers differ in their information sets and inventory-risk aversion, prices form endogenously, fundamental values evolve exogenously, and market-taker order flow follows a state-dependent self-exciting process. …
This chapter presents a history of international trade finance - the oldest domain of international finance - from its emergence in the Middle Ages up to today. We describe how the structure and governance of the global trade finance market changed over time and how trade credit instruments evolved. Trade finance products initially consisted of idiosyncratic assets issued by local merchants and bankers. The financing…
A new approach to obtaining market--directional information, based on a non-stationary solution to the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. In our previous work[2], we established that it is the share execution flow ($I=dV/dt$) and not the share trading volume ($V$) that is the driving force of the market, and that asset prices a…
High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now accounts for nearly one-half of all trades. Although evidence suggests that HFT contributes to the efficiency of markets, there are concerns it also adds to market instability, especially during times of stress. Currently, it is unclear how or…
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (2008). The required high-dimensional volatility matrix can be estimated by using high frequency financial data. This enables us to better adapt to the local volatilities and local correlations among vast number of assets a…
We propose a non-linear observation-driven version of the Hasbrouck (1991) model for dynamically estimating trades' market impact and information content. We find that market impact displays an intraday pattern superimposed with large fluctuations. Some of them are exogenous, and, as an example, we investigate market impact dynamics around FOMC announcements. Contrary to Hasbrouck (1991), we find that the information…
We audit whether candle-based machine-learning models can turn predictions of cryptocurrency extrema or short-horizon outcomes into positive Binance Spot paper policies after assumed costs. Numerical results come from scripted fixed-seed model runs and deterministic simulators; human-supervised AI agents supported the July 20 evidence-integrity revision through literature retrieval, separately tasked critique, artifa…
Financial decision systems require fast surrogate models for pricing, calibration, hedging, XVA, stress testing, and portfolio optimization. Standard neural surrogates reproduce prices or risk quantities, but downstream tasks depend as much on derivatives: deltas, vegas, curve and credit-spread sensitivities, exposure and objective gradients. We formulate a derivative-informed operator-learning framework in which the…
We demonstrate that wave amplification enables even weak nonlinearities to reshape linear wave-packet transport in nonreciprocal systems. We study the dynamics of bulk Gaussian wave packets in the Hatano--Nelson model with onsite cubic nonlinearity. We show that the interplay between nonlinearity and amplification generates growing frequency shifts that drive the wave packet through three successive dynamical regimes…
We study the degree of the Plücker embedding $\varpi$ of the Quot scheme of length $l$ quotients of a locally free sheaf on a smooth projective scheme $\mathrm{S}$ of dimension $d\geqslant 1$. This degree is determined by classes in the Chow ring of the symmetric product $\mathrm{S}^{(l)}$, which are given by the pushforward of the powers of $c_{1}(\mathcal{O}^{[l]})$ with respect to the canonical morphism from the Q…
We present a large-scale experimental study of quantum-computing-based molecular simulation carried out on IQM's Sirius 24-qubit superconducting processor, utilizing up to 16 operational qubits. The work employs Sample-based Quantum Diagonalization (SQD) together with the Local Unitary Cluster Jastrow (LUCJ) ansatz to estimate ground-state energies for a set of benchmark molecules, including H$_2$, LiH, BeH$_2$, H$_2…
Regional Bank ETF performance helps track stress in smaller and mid-sized banks, especially around deposit stability, asset quality, and local credit conditions.
Local Volatility Model — Strike-dependent diffusion used to fit vanilla surfaces consistently.
Original Sin EM Debt — Inability to borrow long-term in local currency, raising external vulnerability.
Local Volatility — Deterministic spot-time vol field calibrated to the vanilla surface.
Local Currency EM Debt (Emerging Markets).
EM Local Currency Debt — Local-currency sovereign and corporate bonds with FX risk.
GBI EM Index (Emerging Markets).
Local Rates Carry Brazil (Emerging Markets).
Local Rates Carry Mexico (Emerging Markets).
Local Rates Carry Chile (Emerging Markets).
Local Rates Carry Colombia (Emerging Markets).
Local Rates Carry Peru (Emerging Markets).
Local Rates Carry South Africa (Emerging Markets).
Local Rates Carry Turkey (Emerging Markets).
Local Rates Carry Poland (Emerging Markets).
Local Rates Carry Hungary (Emerging Markets).
Local Rates Carry Czech (Emerging Markets).
Local Rates Carry India (Emerging Markets).
Local Rates Carry Indonesia (Emerging Markets).
Local Rates Carry Thailand (Emerging Markets).
Local Rates Carry Malaysia (Emerging Markets).
Local Rates Carry Philippines (Emerging Markets).
Local Rates Carry Korea (Emerging Markets).
Local Rates Carry Taiwan (Emerging Markets).
Local Rates Carry China (Emerging Markets).
Local Rates Carry Egypt (Emerging Markets).
Local Rates Carry Nigeria (Emerging Markets).
Local FX Intervention Brazil (Emerging Markets).
Local FX Intervention Mexico (Emerging Markets).
Local FX Intervention Chile (Emerging Markets).
Local FX Intervention Colombia (Emerging Markets).
Local FX Intervention Peru (Emerging Markets).
Local FX Intervention South Africa (Emerging Markets).
Local FX Intervention Turkey (Emerging Markets).
Local FX Intervention Poland (Emerging Markets).
Local FX Intervention Hungary (Emerging Markets).
EM Local Currency Debt — Local-currency sovereign and corporate bonds with FX risk.
Local Currency EM Debt (Emerging Markets).
Local FX Intervention Brazil (Emerging Markets).
Local FX Intervention Chile (Emerging Markets).
Local FX Intervention China (Emerging Markets).
Local FX Intervention Colombia (Emerging Markets).
Local FX Intervention Czech (Emerging Markets).
Local FX Intervention Egypt (Emerging Markets).
Local FX Intervention Hungary (Emerging Markets).
Local FX Intervention India (Emerging Markets).
Local FX Intervention Indonesia (Emerging Markets).
Local FX Intervention Korea (Emerging Markets).
Local FX Intervention Malaysia (Emerging Markets).
Local FX Intervention Mexico (Emerging Markets).
Local FX Intervention Nigeria (Emerging Markets).
Local FX Intervention Peru (Emerging Markets).
Local FX Intervention Philippines (Emerging Markets).
Local FX Intervention Poland (Emerging Markets).
Local FX Intervention South Africa (Emerging Markets).
Local FX Intervention Taiwan (Emerging Markets).
Local FX Intervention Thailand (Emerging Markets).
Local FX Intervention Turkey (Emerging Markets).
Local Rates Carry Brazil (Emerging Markets).
Local Rates Carry Chile (Emerging Markets).