arXiv · arXiv · 2022
This paper examines the effect of the political network of Chinese municipal leaders on the pricing of municipal corporate bonds. Using municipal leaders' working experience to measure the political network, we find that this network reduces the bond issuance yield spreads by improving the credit ratings of the issuer, the local government financing vehicle. The relationship between political networks and issuance yi…
Jaehyuk Choi, Lei Lu, Heungju Park, Sungbin Sohn
arXiv · arXiv · 2019
This paper analyses the Chinese Sovereign bond yield to find out the principal factors affecting the term structure of interest rate changes. We apply Principal Component Analysis (PCA) on our data consisting of the Chinese Sovereign bond from January 2002 till May 2018 with the different yield to maturity. Then we will discuss the multi-factor immunization model (method on hedging market risk) on a bond portfolio.
Lim Tze Yee, Tony She, Kezia Irene
arXiv · arXiv · 2025
Multi-strategy hedge funds face a fundamental organizational choice: should analysts generating trading strategies communicate, and if so, how? We investigate this using 5-agent LLM-based trading systems across 450 experiments spanning 21 months, comparing five organizational structures from isolated baseline to collaborative and competitive conversation. We show that communication improves performance, but optimal c…
Jerick Shi, Burton Hollifield
arXiv · arXiv · 2008
We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us to track the effects of the community evolution on the functional roles of individual nodes without having to track entire communities. As an example, we consider a foreign exchang…
Daniel J. Fenn, Mason A. Porter, Mark McDonald, Stacy Williams, Neil F. Johnson
arXiv · arXiv · 2026
Credit decisioning is a high-stakes task in which model outputs must be accurate and explainable to support compliant decisions. Although modern credit risk models such as eXtreme Gradient Boosting (XGBoost) and Graph Neural Networks (GNNs) improve predictive performance, their explanations are often too technical for stakeholders creating communication gaps that can shape approvals, denials, and fairness judgments. …
Sahab Zandi, Noah Kostesku, Christophe Mues, María Óskarsdóttir, Cristián Bravo
arXiv · arXiv · 2025
Community bail funds (CBFs) assist individuals who have been arrested and cannot afford bail, preventing unnecessary pretrial incarceration along with its harmful or sometimes fatal consequences. By posting bail, CBFs allow defendants to stay at home and maintain their livelihoods until trial. This paper introduces new stochastic models that combine queueing theory with classic insurance risk models to capture the dy…
Yidan Zhang, Jamol Pender
arXiv · arXiv · 2025
We propose \textit{OpenAlpha}, a community-led strategy validation framework for decentralised capital management on a host blockchain network, which integrates game-theoretic validation, adversarial auditing, and market-based belief aggregation. This work formulates treasury deployment as a capital optimisation problem under verification costs and strategic misreporting, and operationalises it through a decision wat…
Arman Abgaryan, Utkarsh Sharma
arXiv · arXiv · 2025
Central banks around the world play a crucial role in maintaining economic stability. Deciphering policy implications in their communications is essential, especially as misinterpretations can disproportionately impact vulnerable populations. To address this, we introduce the World Central Banks (WCB) dataset, the most comprehensive monetary policy corpus to date, comprising over 380k sentences from 25 central banks …
Agam Shah, Siddhant Sukhani, Huzaifa Pardawala, Saketh Budideti, Riya Bhadani
arXiv · arXiv · 2024
One type of bond with the most implicit government guarantee is municipal investment bonds. In recent years, there have been an increasing number of downgrades in the credit ratings of municipal bonds, which has led some people to question whether the implicit government guarantee may affect the objectivity of the bond ratings? This paper uses text mining methods to mine relevant policy documents related to municipal…
Yan Zhang, Yixiang Tian, Lin Chen
arXiv · arXiv · 2024
The trading ecosystem of the Municipal (muni) bond is complex and unique. With nearly 2\% of securities from over a million securities outstanding trading daily, determining the value or relative value of a bond among its peers is challenging. Traditionally, relative value calculation has been done using rule-based or heuristics-driven approaches, which may introduce human biases and often fail to account for complex…
Preetha Saha, Jingrao Lyu, Dhruv Desai, Rishab Chauhan, Jerinsh Jeyapaulraj
arXiv · arXiv · 2014
Behavioral finance has become an increasingly important subfield of finance. However the main parts of behavioral finance, prospect theory included, understand financial markets through individual investment behavior. Behavioral finance thereby ignores any interaction between participants. We introduce a socio-financial model that studies the impact of communication on the pricing in financial markets. Considering th…
Jorgen Vitting Andersen, Ioannis Vrontos, Petros Dellaportas, Serge Galam
arXiv · arXiv q-fin · 2020
This paper extends the analysis of Muni Toke and Yoshida (2020) to the case of marked point processes. We consider multiple marked point processes with intensities defined by three multiplicative components, namely a common baseline intensity, a state-dependent component specific to each process, and a state-dependent component specific to each mark within each process. We show that for specific mark distributions, t…
Ioane Muni Toke, Nakahiro Yoshida
arXiv · arXiv q-fin · 2010
It has been suggested that marked point processes might be good candidates for the modelling of financial high-frequency data. A special class of point processes, Hawkes processes, has been the subject of various investigations in the financial community. In this paper, we propose to enhance a basic zero-intelligence order book simulator with arrival times of limit and market orders following mutually (asymmetrically…
Ioane Muni Toke
arXiv · arXiv · 2026
The first 100 days of Donald Trump second presidential term (January 20th - April 30th, 2025) featured policy actions with potential market repercussions, constituting a well-suited case study of a concentrated policy scenario. Here, we provide a first look at this period, rooted in the information theory, by analyzing major stock indices across the Americas, Europe as well as Asia and Oceania. Our approach jointly e…
Ewa A. Drzazga-Szczȩśniak, Rishabh Gupta, Adam Z. Kaczmarek, Jakub T. Gnyp, Marcin W. Jarosik
arXiv · arXiv · 2025
Meme tokens represent a distinctive asset class within the cryptocurrency ecosystem, characterized by high community engagement, significant market volatility, and heightened vulnerability to market manipulation. This paper introduces an innovative approach to assessing liquidity risk in meme token markets using entity-linked address identification techniques. We propose a multi-dimensional method integrating fund fl…
Qiangqiang Liu, Qian Huang, Frank Fan, Haishan Wu, Xueyan Tang
arXiv · arXiv · 2025
Cryptocurrency portfolio management requires the fusion of heterogeneous multi-modal signals, including structured price and on-chain time series, unstructured news text, and technical indicators, under high-volatility and real-time constraints. While deep learning approaches show predictive capability, their opacity limits practical adoption, and single large language model (LLM) agents struggle to process the bread…
Yichen Luo, Yebo Feng, Jiahua Xu, Paolo Tasca, Yang Liu
arXiv · arXiv · 2020
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 …
Ioannis Anagnostou, Tiziano Squartini, Drona Kandhai, Diego Garlaschelli
arXiv · arXiv q-fin · 2024
Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup around the indicative price. This, in turn, results in a reduced price impact and decreased volatility of the indicative price. In this study, we adapt the latent/revealed order book framework to the specifics of equity au…
Mohammed Salek, Damien Challet, Ioane Muni Toke