Papers, wiki, Option Blackboard, encyclopedia, and cards.
This study introduces an interpretable machine learning (ML) framework to extract macroeconomic alpha from global news sentiment. We process the Global Database of Events, Language, and Tone (GDELT) Project's worldwide news feed using FinBERT -- a Bidirectional Encoder Representations from Transformers (BERT) based model pretrained on finance-specific language -- to construct daily sentiment indices incorporating mea…
We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval Δ and describe the dependences of market-based volatilities of price and return on the volatilities and correlations of market trade values and volumes. We describe the market-based origin of the lower boundaries of the accurac…
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.…
The over-the-counter (OTC) government bond markets are characterised by their bilateral trading structures, which pose unique challenges to understanding and ensuring market stability and liquidity. In this paper, we develop a bespoke ABM that simulates market-maker interactions within a stylised government bond market. The model focuses on the dynamics of liquidity and stability in the secondary trading of governmen…
We have designed an innovative portfolio rebalancing mechanism termed the Cascading Waterfall Round Robin Mechanism. This algorithmic approach recommends an ideal size and number of trades for each asset during the periodic rebalancing process, factoring in the gas fee and slippage. The essence of the model we have created gives indications regarding whether trades should be made on individual assets depending on the…
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…
Algorithmic trading relies on machine learning models to make trading decisions. Despite strong in-sample performance, these models often degrade when confronted with evolving real-world market regimes, which can shift dramatically due to macroeconomic changes-e.g., monetary policy updates or unanticipated fluctuations in participant behavior. We identify two challenges that perpetuate this mismatch: (1) insufficient…
Recent works have increasingly applied Large Language Models (LLMs) as agents in financial stock market simulations to test if micro-level behaviors aggregate into macro-level phenomena. However, a crucial question arises: Do LLM agents' behaviors align with real market participants? This alignment is key to the validity of simulation results. To explore this, we select a financial stock market scenario to test behav…
3GPP Release 19 has initiated the standardization of integrated sensing and communications (ISAC), including a channel model for monostatic sensing, evaluation scenarios, and performance assessment methodologies. These common assumptions provide an important basis for ISAC evaluation, but reproducible end-to-end studies still require a transparent sensing implementation. This paper evaluates 5G New Radio (NR) base st…
The stock market is a crucial component of the financial market, playing a vital role in wealth accumulation for investors, financing costs for listed companies, and the stable development of the national macroeconomy. Significant fluctuations in the stock market can damage the interests of stock investors and cause an imbalance in the industrial structure, which can interfere with the macro level development of the …
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers the modeling of the liability liquidity risk (or funding liquidity), the second dimension is dedicated to the modeling of the asset liquidity risk (or market liquidity), whereas the third dimension considers the management of the asset-liability liquidi…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate funding liquidity risk and contagion are available but they require not only banks' bilateral exposures data but also balance sheet data with sufficient granularity, which are hardly a…
This paper compares different methods for forecasting the term structure of U.S. and European zero-coupon government bonds using both traditional econometric and Machine Learning (ML) approaches. We compare classical models (e.g., Dynamic Nelson-Siegel (DNS) and Principal Component Analysis (PCA)) with different Neural Network (NN) architectures, including those inspired by the classical models, on the U.S. Treasury …
In the LIBOR era, banks routinely tied revolving credit facilities to credit-sensitive benchmarks. This study assesses the Across-the-Curve Credit Spread Index (AXI) -- a transparent, transaction-based measure of wholesale bank funding costs -- as a complement to SOFR, summarizing its behavior, construction, and loan-pricing implications. AXI aggregates observable unsecured funding transactions across short- and long…
In this paper, we develop an open-economy macroeconomic model of a Proof-of-Stake network to analyze nominal token-price dynamics and the systemic effects of speculative capital. We first consider a network populated solely by active utility users, who finance network activity through a steady exogenous inflow of fiat currency. We prove the existence of a unique, globally asymptotically stable steady-state equilibriu…
Protein rotational kinetics are essential for understanding macromolecular behavior in crowded environments, yet measuring these dynamics at solid-liquid interfaces remains a significant challenge due to low signal strengths. Here, we experimentally demonstrate a label-based optical technique for measuring rotational diffusion kinetics using an all-dielectric multilayer stack that sustains both transverse electric an…
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…
Recent multimodal large language models have achieved strong performance in unified text and image understanding and generation, yet extending such native capability to 3D remains challenging due to limited data. Compared to abundant 2D imagery, high-quality 3D assets are scarce, making 3D synthesis under-constrained. Existing methods often rely on indirect pipelines that edit in 2D and lift results into 3D via optim…
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.
Gold price reflects demand for a non-yielding reserve asset and is often used as a signal for real yields, macro uncertainty, and confidence in fiat systems.
US 10-Year Real Yield measures the inflation-adjusted yield on 10-year Treasuries and is a key benchmark for discount rates, financial conditions, and macro asset pricing.
The 3M10Y Treasury curve compares 10-year Treasury yields with 3-month Treasury bill yields and is closely watched as a recession and policy-cycle indicator.
The term structure of interest rates across maturities, used to read growth, liquidity, and stress expectations.
Funding stress signal derived from FX swap pricing distortions and balance sheet constraints.
The MOVE Index tracks implied volatility in the U.S. Treasury market and serves as a benchmark for rates uncertainty and macro stress.
Federal Funds Rate — The effective overnight policy rate anchor that transmits through the entire USD funding stack and global risk appetite.
Neutral Rate Estimate — Estimates of the equilibrium real policy rate that separates restrictive from accommodative stance.
Forward Guidance — How central bank language shapes term premium and front-end rate expectations before actual policy moves.
Quantitative Tightening Pace — The speed of balance-sheet runoff and its impact on reserves, collateral markets, and term funding.
Yield Curve Control — Official caps on benchmark yields and the distortions they create in RV and cross-market hedging.
Macroprudential Policy — Countercyclical tools that alter credit creation before traditional monetary policy reacts.
Countercyclical Capital Buffer — Bank capital requirements that tighten or ease through the credit cycle.
Emergency Liquidity Facility — Standing and ad-hoc facilities that reveal where stress is concentrated in the financial system.
Standing Repo Facility — The Fed backstop for repo market dysfunction and dealer balance-sheet pressure.
Foreign Exchange Intervention — Official buying or selling of currency to manage disorderly moves and imported inflation.
Sudden Stop Capital Flows — Abrupt cessation of foreign financing forcing sharp macro adjustment.
Systemic Risk Indicator — Aggregate capital shortfall under stress — connects banking to macro hedges.
Risk Factor Decomposition — Attributing PnL to macro, style, and idiosyncratic exposures.
Fiscal Dominance (Macro Policy).
Monetary Dominance (Macro Policy).
Global Dollar Liquidity (Macro Policy).
Global Macro Discretionary (Systems).
Negative Real Rates (Macro Policy).
Financial Repression (Macro Policy).
Debt Sustainability (Macro Policy).
Primary Deficit (Macro Policy).
Interest Growth Differential (Macro Policy).
Impossible Trinity — Cannot have fixed FX, open capital, and independent policy.
Capital Account Openness (Macro Policy).
Geopolitical Risk Premium (Macro Policy).
Risk On Risk Off (Macro Policy).
Revision Effect Macro (Economy).
Anecdote Bias Macro (Economy).
Anecdote Bias Macro (Economy).
Automatic Stabilizer ASEAN (Macro Policy).
Automatic Stabilizer Australia (Macro Policy).
Automatic Stabilizer Brazil (Macro Policy).
Automatic Stabilizer Canada (Macro Policy).
Automatic Stabilizer CEEMEA (Macro Policy).
Automatic Stabilizer China (Macro Policy).
Automatic Stabilizer easing (Macro Policy).
Automatic Stabilizer EM Asia (Macro Policy).
Automatic Stabilizer Euro Area (Macro Policy).
Automatic Stabilizer India (Macro Policy).
Automatic Stabilizer Indonesia (Macro Policy).
Automatic Stabilizer Japan (Macro Policy).
Automatic Stabilizer Korea (Macro Policy).
Automatic Stabilizer LatAm (Macro Policy).
Automatic Stabilizer Mexico (Macro Policy).
Automatic Stabilizer Nordics (Macro Policy).
Automatic Stabilizer Poland (Macro Policy).
Automatic Stabilizer reflation (Macro Policy).
Automatic Stabilizer risk-off (Macro Policy).
Automatic Stabilizer risk-on (Macro Policy).
Automatic Stabilizer South Africa (Macro Policy).
Automatic Stabilizer stagflation (Macro Policy).
Automatic Stabilizer tightening (Macro Policy).