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Executing even moderately large derivatives orders can be expensive and risky; it's hard to balance the uncertainty of working an order over time versus paying a liquidity premium for immediate execution. Here, we introduce the Time Is Money model, which calculates the Equilibrium Trading Horizon over which to execute an order within the adversarial forces of variance risk and liquidity premium. We construct a hypoth…
Decentralized Finance (DeFi) money markets have seen explosive growth in recent years, with billions of dollars borrowed in various cryptocurrency assets. Key to the safety of money markets is the implementation of interest rates that determine the cost of borrowing, and govern counterparty exposure and return. In traditional markets, interest rates are set by risk managers, portfolio managers, the Federal Reserve, a…
This paper presents a detailed analysis of how liquid money market instruments -- sterling bills of exchange -- were produced during the first globalisation. We rely on a unique data set that reports systematic information on all 23,493 bills re-discounted by the Bank of England in the year 1906. Using descriptive statistics and network analysis, we reconstruct the complete network of linkages between agents involved…
The alignment of Multi-Agent Systems (MAS) for autonomous software engineering is constrained by evaluator epistemic uncertainty. Current paradigms, such as Reinforcement Learning from Human Feedback (RLHF) and AI Feedback (RLAIF), frequently induce model sycophancy, while execution-based environments suffer from adversarial "Test Evasion" by unconstrained agents. In this paper, we introduce an objective alignment pa…
We propose a minimal model of the secured interbank network able to shed light on recent money markets puzzles. We find that excess liquidity emerges due to the interactions between the reserves and liquidity ratio constraints; the appearance of evergreen repurchase agreements and collateral re-use emerges as a simple answer to banks' counterparty risk and liquidity ratio regulation. In line with prevailing theories,…
The money market and the capital market of the Indian financial markets have a symbiotic relationship in the development of the Indian economy. The nature and the characteristics of the markets differ to a large extent as the money market ensures liquidity in the system through the monetary policy by the regulators; capital markets propel and act as the engine driver for the economy in the long term. Therefore, the f…
This paper investigates and compares currency substitution between the currencies of Central and Eastern European (CEE) countries and the euro. In addition, we develop a model with microeconomic foundations, which identifies difference between currency substitution and money demand sensitivity to exchange rate variations. More precisely, we posit that currency substitution relates to money demand sensitivity to the i…
In this paper, we reveal the attenuation mechanism of anchor of the commodity money from the perspective of logistics warehousing costs, and propose a novel Decayed Commodity Money (DCM) for the store of value across time and space. Considering the logistics cost of commodity warehousing by the third financial institution such as London Metal Exchange, we can award the difference between the original and the residual…
We construct the Settlement Modernisation Index, a panel dataset of 809 reform events across 24 advanced economies between 1993 and 2024, decomposed into three economic channels and three adoption phases. We document an S-curve in inside money elasticity with two interior turning points at SMI = 0.27 and 0.93, separating a liberation phase, a post-global-financial-crisis compliance valley, and a mature-infrastructure…
Money-back guarantees (MBGs) are features of pooled retirement income products that address bequest concerns by ensuring the initial premium is returned through lifetime payments or, upon early death, as a death benefit to the estate. This paper studies optimal retirement decumulation in an individual tontine account with an MBG overlay under international diversification and systematic longevity risk. The retiree ch…
This paper investigates asymptotically optimal importance sampling (IS) schemes for pricing European call options under the Heston stochastic volatility model. We focus on two distinct rare-event regimes where standard Monte Carlo methods suffer from significant variance deterioration: the limit as maturity approaches zero and the limit as the strike price tends to infinity. Leveraging the large deviation principle (…
A currency with stable purchasing power can always provide a psychological haven for people around the world. However, since the collapse of the Bretton Woods system, issuing more cheap currencies has become a common trend in the international community, and the legalization and over issuance of stablecoins will strengthen this trend. In this context, our study focused on a parallel monetary system based on a redeema…
Using the secured transactions recorded within the Money Markets Statistical Reporting database of the European Central Bank, we test several stylized facts regarding interbank market of the 47 largest banks in the eurozone. We observe that the surge in the volume of traded evergreen repurchase agreements followed the introduction of the LCR regulation and we measure a rate of collateral re-use consistent with the li…
Anti-Money Laundering (AML) is a crucial task in ensuring the integrity of financial systems. One keychallenge in AML is identifying high-risk groups based on their behavior. Unsupervised learning, particularly clustering, is a promising solution for this task. However, the use of hundreds of features todescribe behavior results in a highdimensional dataset that negatively impacts clustering performance.In this paper…
According to the Accounting View of Money (AVM), the money issued by commercial banks in the form of demand deposits features a hybrid nature, since deposits can be shown to consist of a share of deposits bearing the characteristics of debt (debt-deposits) and a share of deposits bearing the characteristics of equity (equity-deposits), in a mix that depends on factors that relate to the issuing banks and the environm…
Criminals have become increasingly experienced in using cryptocurrencies, such as Bitcoin, for money laundering. The use of cryptocurrencies can hide criminal identities and transfer hundreds of millions of dollars of dirty funds through their criminal digital wallets. However, this is considered a paradox because cryptocurrencies are goldmines for open-source intelligence, giving law enforcement agencies more power …
We analyse the money-financed fiscal stimulus implemented in Venice during the famine and plague of 1629--31, which was equivalent to a 'net-worth helicopter money' strategy -- a monetary expansion generating losses to the issuer. We argue that the strategy aimed at reconciling the need to subsidize inhabitants suffering from containment policies with the desire to prevent an increase in long-term government debt, bu…
In this paper, we reveal the depreciation mechanism of representative money (banknotes) from the perspective of logistics warehousing costs. Although it has long been the dream of economists to stabilize the buying power of the monetary units, the goal we have honest money always broken since the central bank depreciate the currency without limit. From the point of view of modern logistics, the key functions of money…
A stablecoin is a token that targets a peg, usually $1 — a money-market claim or an algorithmic hope, depending on the reserves.
A CTA is a manager — often CFTC/NFA registered — that runs client money in futures and options on futures, long and short, across rates, FX, equities, and commodities.
How much money a program can run before it is the market — position limits, ADV caps, and the point where adding AUM only buys slippage.
Client money in a futures account the CTA trades by POA — transparency, better liquidation, and operational work versus a commingled fund.
Fade stretched moves in futures over short horizons — the anti-trend sleeve that makes money in ranges and loses when a crisis trend persists.
A program that risks money across the four big futures groups — equity indices, bonds/STIR, FX, and commodities — rather than a single pit.
Delta is the first derivative of option value to the underlying — the hedge ratio and a moneyness label.
Moneyness is where spot sits versus strike — in, at, or out of the money — the first map of option value and of Greek shape.
The strike is the contract price at which an option can be exercised — the hinge of moneyness and of the payoff kink.
Gresham’s law is that bad money drives out good when both are legal tender at a fixed rate: the overvalued coin circulates, the undervalued one is hoarded or exported.
A liquidity trap is a state where the policy rate is at or near the effective lower bound and extra money is hoarded rather than spent, so conventional rate cuts stop working.
Money supply is the measured stock of money — M0/MB, M1, M2 — a quantity that depends on what you count as money.
The quantity theory is MV = PY: money times velocity equals nominal income. In the strong form, a one-off money increase raises prices one-for-one if V and Y are stable.
Seigniorage is the real resources a sovereign (or a private issuer of money-like claims) obtains by issuing money whose production cost is below face value.
Diluted shares are the share count as if in-the-money options, convertibles, and other claims were exercised — the honest denominator for EPS and value.
ROIC is after-tax operating profit over invested capital — the unlevered return on the money actually in the business.
Lehman weekend (13–15 September 2008) was the disorderly failure of a primary dealer — the moment a housing/credit crunch became a global run on counterparties and money funds.
John Law’s Mississippi Company and Banque Royale fused monetary expansion, colonial equity, and French public finance until 1720 — a state-run bubble that ended in a paper-money collapse.
FRA-OIS spread measures the difference between interbank funding expectations and overnight indexed swap rates, often used as a gauge of banking and short-term funding stress.
Money market fund assets track the amount of cash parked in short-term low-risk vehicles, providing insight into liquidity preference, deposit substitution, and defensive positioning.
Reverse Repo Facility usage shows how much cash is being parked at the Federal Reserve overnight and helps track reserve distribution, collateral demand, and system liquidity conditions.
SOFR is the Secured Overnight Financing Rate, a key benchmark for U.S. dollar funding based on overnight Treasury repo transactions.
A CTA is a manager — often CFTC/NFA registered — that runs client money in futures and options on futures, long and short, across rates, FX, equities, and commodities.
How much money a program can run before it is the market — position limits, ADV caps, and the point where adding AUM only buys slippage.
Client money in a futures account the CTA trades by POA — transparency, better liquidation, and operational work versus a commingled fund.
Fade stretched moves in futures over short horizons — the anti-trend sleeve that makes money in ranges and loses when a crisis trend persists.
Delta is the first derivative of option value to the underlying — the hedge ratio and a moneyness label.
Diluted shares are the share count as if in-the-money options, convertibles, and other claims were exercised — the honest denominator for EPS and value.
A program that risks money across the four big futures groups — equity indices, bonds/STIR, FX, and commodities — rather than a single pit.
Gresham’s law is that bad money drives out good when both are legal tender at a fixed rate: the overvalued coin circulates, the undervalued one is hoarded or exported.
Lehman weekend (13–15 September 2008) was the disorderly failure of a primary dealer — the moment a housing/credit crunch became a global run on counterparties and money funds.
A liquidity trap is a state where the policy rate is at or near the effective lower bound and extra money is hoarded rather than spent, so conventional rate cuts stop working.
John Law’s Mississippi Company and Banque Royale fused monetary expansion, colonial equity, and French public finance until 1720 — a state-run bubble that ended in a paper-money collapse.
Money market fund assets track the amount of cash parked in short-term low-risk vehicles, providing insight into liquidity preference, deposit substitution, and defensive positioning.
Money supply is the measured stock of money — M0/MB, M1, M2 — a quantity that depends on what you count as money.
Moneyness is where spot sits versus strike — in, at, or out of the money — the first map of option value and of Greek shape.
The quantity theory is MV = PY: money times velocity equals nominal income. In the strong form, a one-off money increase raises prices one-for-one if V and Y are stable.
ROIC is after-tax operating profit over invested capital — the unlevered return on the money actually in the business.
Seigniorage is the real resources a sovereign (or a private issuer of money-like claims) obtains by issuing money whose production cost is below face value.
A stablecoin is a token that targets a peg, usually $1 — a money-market claim or an algorithmic hope, depending on the reserves.
The strike is the contract price at which an option can be exercised — the hinge of moneyness and of the payoff kink.