arXiv · arXiv q-fin · 2022
Synthetic assets are decentralized finance (DeFi) analogues of derivatives in the traditional finance (TradFi) world - financial arrangements which derive value from and are directly pegged to fluctuations in the value of an underlying asset (ex: futures and options). Synthetic assets occupy a unique niche, serving to facilitate currency exchange, giving traders a means to speculate on the value of crypto assets with…
Abrar Rahman, Victor Shi, Matthew Ding, Elliot Choi
arXiv · arXiv q-fin · 2026
We present the first application of MAP-Elites, a quality-diversity algorithm, to trade execution. Rather than searching for a single optimal policy, MAP-Elites generates a diverse portfolio of regime-specialist strategies indexed by liquidity and volatility conditions. Individual specialists achieve 8-10% performance improvements within their behavioural niches, while other cells show degradation, suggesting opportu…
Robert de Witt, Mikko S. Pakkanen
arXiv · arXiv q-fin · 2024
Accurate industry classification is critical for many areas of portfolio management, yet the traditional single-industry framework of the Global Industry Classification Standard (GICS) struggles to comprehensively represent risk for highly diversified multi-sector conglomerates like Amazon. Previously, we introduced the Multi-Industry Simplex (MIS), a probabilistic extension of GICS that utilizes topic modeling, a na…
Maksim Papenkov
arXiv · arXiv q-fin · 2026
We introduce the Polymarket-v1 Database: the complete on-chain trade archive of Polymarket's first-generation CTF Exchange on Polygon, spanning 2022-11-21 to 2026-04-28 and covering the full contract lifecycle from first settlement to natural termination. The dataset comprises 1.20 billion trade records across 1.30 million markets with $61 billion in nominal volume. Its defining feature is 100% ground-truth aggressor…
Boka Qin, Rui Yang
arXiv · arXiv q-fin · 2026
Global Business Services (GBS) have emerged as a "living laboratory" for the Twin Transition of Green and Digital Transformation, as multinational corporations (MNCs) face increasing pressure to harmonize digital efficiency with environmental stewardship. Aiming to derive a socio-technical framework, this paper synthesizes Technology Roadmapping (TRM) with the International Telecommunication Union (ITU) ICT-centric i…
Han-Teng Liao, Karen Ang
arXiv · arXiv q-fin · 2023
The financial industry poses great challenges with risk modeling and profit generation. These entities are intricately tied to the sophisticated prediction of stock movements. A stock forecaster must untangle the randomness and ever-changing behaviors of the stock market. Stock movements are influenced by a myriad of factors, including company history, performance, and economic-industry connections. However, there ar…
Luke Sanborn, Matthew Sahagun
arXiv · arXiv q-fin · 2021
In recent years, cryptocurrencies have gone from an obscure niche to a prominent place, with investment in these assets becoming increasingly popular. However, cryptocurrencies carry a high risk due to their high volatility. In this paper, criteria based on historical cryptocurrency data are defined in order to characterize returns and risks in different ways, in short time windows (7 and 15 days); then, the importan…
Natalia A. Van Heerden, Juan B. Cabral, Nadia Luczywo
arXiv · arXiv q-fin · 2020
We study the fundamental differences that separate: Litecoin; Bitcoin Gold; Bitcoin Cash; Ethereum; and Zcash from Bitcoin, and draw analysis to how these features are appreciated by the market, to ultimately make an inference as to how future successful cryptocurrencies may behave. We use Google Trend data, as well as price, volume and market capitalization data sourced from coinmarketcap.com to support this analysi…
Andrew Spurr, Marcel Ausloos
arXiv · arXiv q-fin · 2018
By exploiting a bipartite network representation of the relationships between mutual funds and portfolio holdings, we propose an indicator that we derive from the analysis of the network, labelled the Average Commonality Coefficient (ACC), which measures how frequently the assets in the fund portfolio are present in the portfolios of the other funds of the market. This indicator reflects the investment behavior of fu…
Andrea Flori, Fabrizio Lillo, Fabio Pammolli, Alessandro Spelta
arXiv · arXiv q-fin · 2015
Loyal buyer-seller relationships can arise by design, e.g. when a seller tailors a product to a specific market niche to accomplish the best possible returns, and buyers respond to the dedicated efforts the seller makes to meet their needs. We ask whether it is possible, instead, for loyalty to arise spontaneously, and in particular as a consequence of repeated interaction and co-adaptation among the agents in a mark…
Aleksandra Aloric, Peter Sollich, Peter McBurney, Tobias Galla
arXiv · arXiv q-fin · 2014
We consider a network of interacting agents and we model the process of choice on the adoption of a given innovative product by means of statistical-mechanics tools. The modelization allows us to focus on the effects of direct interactions among agents in establishing the success or failure of the product itself. Mimicking real systems, the whole population is divided into two sub-communities called, respectively, In…
Paolo Sgrignoli, Elena Agliari, Raffaella Burioni, Augusto Schianchi
arXiv · arXiv q-fin · 2014
Company mergers and acquisitions are often perceived to act as catalysts for corporate growth in free markets systems: it is conventional wisdom that those activities lead to better and more efficient markets. However, the broad adoption of this perception into corporate strategy is prone to result in a less diverse and more unstable environment, dominated by either very large or very small niche entities. We show he…
Eduardo Viegas, Stuart P. Cockburn, Henrik Jeldtoft Jensen, Geoffrey B. West
arXiv · arXiv q-fin · 2011
Shaped by structural forces of change, banking in emerging markets has recently experienced a decline in its traditional activities, leading banks to diversify into new business strategies. This paper examines whether the observed shift into non-interest based activities improves financial performance. Using a sample of 714 banks across 14 East-Asian and Latin-American countries over the post 1997-crisis changing str…
Saoussen Ben Gamra, Dominique Plihon
arXiv · arXiv q-fin · 2007
We present a simple one-parameter model for spatially localised evolving agents competing for spatially localised resources. The model considers selling agents able to evolve their pricing strategy in competition for a fixed market. Despite its simplicity, the model displays extraordinarily rich behavior. In addition to ``cheap'' sellers pricing to cover their costs, ``expensive'' sellers spontaneously appear to expl…
L. Mitchell, G. J. Ackland
arXiv · arXiv q-fin · 2007
There are clear benefits associated with a particular consumer choice for many current markets. For example, as we consider here, some products might carry environmental or `green' benefits. Some consumers might value these benefits while others do not. However, as evidenced by myriad failed attempts of environmental products to maintain even a niche market, such benefits do not necessarily outweigh the extra purchas…
Gérard Weisbuch, Vincent Buskens, Luat Vuong