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Results for “regime” · papers 7 · wiki 36
Academic Papers · 7arXiv q-fin live 0 · desk corpus 7
Semantic Scholar · Journal of international financial markets, institutions, and money · 2020 · cites 6

No-arbitrage determinants of credit spread curves under the unconventional monetary policy regime in Japan

Abstract We introduce an affine term structure model with observed macroeconomic factors for credit spread curves under the unconventional monetary policy regime in Japan. Empirical results based on the model selection using Japanese data demonstrate that the credit spread curves are dominated by the monetary policy and suggest that global economic forces, such as the U.S. Treasury yield and Baa-Aaa credit spread, pl…

Tatsuyoshi Okimoto, Sumiko Takaoka
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arXiv · arXiv · 2026

Corporate Bond Yield Curve Modeling: A Rating-Based Regime-Switching Generalized CIR Approach

Persistent shifts in term-structure dynamics undermine the stability of single-regime models in long samples. We develop an arbitrage-free regime-switching generalized CIR (RS-GCIR) model that jointly prices the Chinese government bond (CGB) curve and corporate bond curves. To capture the systematic transmission from interest-rate conditions to credit spreads, we structure the model into two blocks and price corporat…

Maochun Xu, Yunqi Liang, Yi Hong
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arXiv · arXiv · 2021

Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk

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 liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers the asset-liability management of the liquidity gap risk (or asset-liability…

Thierry Roncalli, Amina Cherief, Fatma Karray-Meziou, Margaux Regnault
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arXiv · arXiv · 2020

XVA Valuation under Market Illiquidity

Before the 2008 financial crisis, most research in financial mathematics focused on pricing options without considering the effects of counterparties' defaults, illiquidity problems, and the role of the sale and repurchase agreement (Repo) market. Recently, models were proposed to address this by computing a total valuation adjustment (XVA) of derivatives; however without considering a potential crisis in the market.…

Weijie Pang, Stephan Sturm
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arXiv · arXiv · 2026

Detecting unusual trading patterns on cryptocurrency exchanges by means of complexity measures

Artificial transaction generation remains an important source of potential market manipulation on cryptocurrency exchanges, as it may distort reported liquidity and reduce market transparency. This study proposes a diagnostic framework for detecting unusual trading patterns based on complexity and statistical-structure measures derived from high-frequency trade-level data. The analysis considers log-returns, trading …

Jakub Zwydak, Marcin Wątorek, Jarosław Kwapień, Stanisław Drożdż
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arXiv · arXiv · 2026

Crossovers from nonlinear wave-packet acceleration to wave-mixing and self-trapping in the Hatano-Nelson model

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…

Bertin Many Manda, Vassos Achilleos
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arXiv · arXiv · 2026

Hybrid Hidden Markov Model for Modeling Equity Excess Growth Rate Dynamics: A Discrete-State Approach with Jump-Diffusion

Generating synthetic financial time series that preserve the statistical properties of real market data is essential for stress testing, risk model validation, and scenario design. Existing approaches struggle to simultaneously reproduce heavy-tailed distributions, negligible linear autocorrelation, and persistent volatility clustering. We developed a hybrid hidden Markov framework that discretized excess growth rate…

Abdulrahman Alswaidan, Jeffrey D. Varner
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Wiki Entities · 36
Derivatives

VIX Term Structure

VIX term structure tracks the shape of volatility futures across maturities and helps identify whether the market is pricing stable conditions or near-term stress.

Quant

Volatility Regime

Volatility Regime (Quant).

Economy

Phillips Curve

Phillips Curve — The relationship between labor market tightness and inflation dynamics, heavily debated in post-pandemic regimes.

Fixed Income

Duration Risk

Duration Risk — Interest-rate sensitivity of bond portfolios, amplified in low-yield high-duration regimes.

Fixed Income

CLO Issuance

CLO Issuance — Structured credit supply that absorbs leveraged loans and shapes spread regimes.

Derivatives

Volatility Carry Trade

Volatility Carry Trade — Selling implied vol or rolling VIX futures in contango — crowded but regime-sensitive.

Quant

Low Volatility Anomaly

Low Volatility Anomaly — Empirical outperformance of low-beta stocks, crowded in risk-off regimes.

Quant

Regime Switching Model

Regime Switching Model — Statistical frameworks where parameters shift between discrete market states.

Equity

Sector Rotation Signals

Sector Rotation Signals — Cyclical versus defensive leadership indicating growth and rates regime.

Derivatives

Term Structure of Volatility

Term Structure of Volatility — How IV varies across expiries — front vs back month regimes.

Rates

Ample Reserves Regime

Ample Reserves Regime (Rates).

Systems

Short Sale Disclosure Regime

Short Sale Disclosure Regime (Systems).

Banking

Unrealized Losses Banks

Unrealized Losses Banks — Mark losses on securities books in rising-rate regimes.

Equity

Tick Size Regime

Tick Size Regime (Equity).

FX

FX Regime Peg

FX Regime Peg (FX).

Macro Policy

Export Control Regime

Export Control Regime (Macro Policy).

Crypto

Crypto Realized Vol Regime

Crypto Realized Vol Regime — Shifts in realized volatility that redefine sizing and carry.

Economy

Monetary Dominance Regime

Monetary Dominance Regime — Regime where the central bank anchors inflation over fiscal needs.

FX

Dollar Smile Theory

Dollar Smile Theory — USD strength in both risk-off and US exceptionalism regimes.

Systems

Regime Detector US

Regime Detector US — Operating constraint and control-surface concept for Quant OS desks.

Systems

Regime Detector Euro Area

Regime Detector Euro Area — Operating constraint and control-surface concept for Quant OS desks.

Economy

GDP Nowcast US

GDP Nowcast US — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

GDP Nowcast Euro Area

GDP Nowcast Euro Area — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

GDP Nowcast UK

GDP Nowcast UK — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

GDP Nowcast Japan

GDP Nowcast Japan — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

GDP Nowcast China

GDP Nowcast China — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

GDP Nowcast EM Asia

GDP Nowcast EM Asia — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

GDP Nowcast LatAm

GDP Nowcast LatAm — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

GDP Nowcast CEEMEA

GDP Nowcast CEEMEA — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

GDP Nowcast Canada

GDP Nowcast Canada — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

GDP Nowcast Australia

GDP Nowcast Australia — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

GDP Nowcast Nordics

GDP Nowcast Nordics — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

GDP Nowcast ASEAN

GDP Nowcast ASEAN — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

GDP Nowcast India

GDP Nowcast India — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

GDP Nowcast Korea

GDP Nowcast Korea — Macroeconomic indicator or cycle concept used in regime diagnosis.

Economy

GDP Nowcast Brazil

GDP Nowcast Brazil — Macroeconomic indicator or cycle concept used in regime diagnosis.

Option Blackboard · 2
code

Gamma Regime Scanner

Code-linked scanner pattern that maps front-vol stress, ATM IV, and dealer gamma context into Blackboard + Options Lab actions.

greeks

Greeks Dynamics Sandbox

Educational IV × Greeks × surface sandbox already mounted on the Blackboard — synthetic regimes for pedagogy beside the live scanner.

Encyclopedia · 24
Microstructure · Foundations

Adverse Selection carry Regime

Adverse Selection carry Regime (Microstructure).

Microstructure · Foundations

Adverse Selection disinflation Regime

Adverse Selection disinflation Regime (Microstructure).

Microstructure · Foundations

Adverse Selection easing Regime

Adverse Selection easing Regime (Microstructure).

Microstructure · Foundations

Adverse Selection liquidity-crisis Regime

Adverse Selection liquidity-crisis Regime (Microstructure).

Microstructure · Foundations

Adverse Selection recession Regime

Adverse Selection recession Regime (Microstructure).

Microstructure · Foundations

Adverse Selection reflation Regime

Adverse Selection reflation Regime (Microstructure).

Microstructure · Foundations

Adverse Selection risk-off Regime

Adverse Selection risk-off Regime (Microstructure).

Microstructure · Foundations

Adverse Selection risk-on Regime

Adverse Selection risk-on Regime (Microstructure).

Microstructure · Foundations

Adverse Selection stagflation Regime

Adverse Selection stagflation Regime (Microstructure).

Microstructure · Foundations

Adverse Selection tightening Regime

Adverse Selection tightening Regime (Microstructure).

AI Systems · Foundations

Agent Loop Budget carry Regime

Agent Loop Budget carry Regime (AI Systems).

AI Systems · Foundations

Agent Loop Budget disinflation Regime

Agent Loop Budget disinflation Regime (AI Systems).

AI Systems · Foundations

Agent Loop Budget easing Regime

Agent Loop Budget easing Regime (AI Systems).

AI Systems · Foundations

Agent Loop Budget liquidity-crisis Regime

Agent Loop Budget liquidity-crisis Regime (AI Systems).

AI Systems · Foundations

Agent Loop Budget recession Regime

Agent Loop Budget recession Regime (AI Systems).

AI Systems · Foundations

Agent Loop Budget reflation Regime

Agent Loop Budget reflation Regime (AI Systems).

AI Systems · Foundations

Agent Loop Budget risk-off Regime

Agent Loop Budget risk-off Regime (AI Systems).

AI Systems · Foundations

Agent Loop Budget risk-on Regime

Agent Loop Budget risk-on Regime (AI Systems).

AI Systems · Foundations

Agent Loop Budget stagflation Regime

Agent Loop Budget stagflation Regime (AI Systems).

AI Systems · Foundations

Agent Loop Budget tightening Regime

Agent Loop Budget tightening Regime (AI Systems).

Rates · Foundations

Ample Reserves Regime

Ample Reserves Regime (Rates).

Microstructure · Foundations

Arrival Price Slippage carry Regime

Arrival Price Slippage carry Regime (Microstructure).

Microstructure · Foundations

Arrival Price Slippage disinflation Regime

Arrival Price Slippage disinflation Regime (Microstructure).

Microstructure · Foundations

Arrival Price Slippage easing Regime

Arrival Price Slippage easing Regime (Microstructure).

Cards · 4
StrategyCard

USD Funding Stress as Equity Vol Trigger

A funding-stress monitor can warn before equity volatility reprices.

SignalCard

Corporate Yield Spreads and Bond Liquidity

A liquidity premium monitor can separate default risk from liquidity-driven spread widening.

ExecutionCard

Shock Regime Execution

A card for handling fast markets, wide spreads, liquidity air pockets, and broken execution assumptions.

MethodCard

Paper to Strategy Transfer

A reusable card for converting research papers into buildable strategy or monitoring objects.

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