arXiv · arXiv · 2022
This paper describes multi-portfolio `internal' rebalancing processes used in the finance industry. Instead of trading with the market to `externally' rebalance, these internal processes detail how portfolio managers buy and sell between their portfolios to rebalance. We give an overview of currently used internal rebalancing processes, including one known as the `banker' process and another known as the `linear' pro…
Kelli Francis-Staite
arXiv · arXiv · 2025
We explore the interplay between sovereign debt default/renegotiation and environmental factors (e.g., pollution from land use, natural resource exploitation). Pollution contributes to the likelihood of natural disasters and influences economic growth rates. The country can default on its debt at any time while also deciding whether to invest in pollution abatement. The framework provides insights into the credit spr…
Emilio Barucci, Daniele Marazzina, Aldo Nassigh
arXiv · arXiv · 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 · 2025
Enterprise Resource Planning (ERP) systems serve as the digital backbone of modern financial institutions, yet they continue to rely on static, rule-based workflows that limit adaptability, scalability, and intelligence. As business operations grow more complex and data-rich, conventional ERP platforms struggle to integrate structured and unstructured data in real time and to accommodate dynamic, cross-functional wor…
Hongyang Yang, Likun Lin, Yang She, Xinyu Liao, Jiaoyang Wang
arXiv · arXiv · 2025
This study pioneers the application of the market microstructure framework to an informal financial market. By scraping data from websites and social media about the Cuban informal currency market, we model the dynamics of bid/ask intentions using a Limit Order Book (LOB). This approach enables us to study key characteristics such as liquidity, stability and volume profiles. We continue exploiting the Avellaneda-Stoi…
Alejandro García Figal, Alejandro Lage Castellanos, Roberto Mulet
arXiv · arXiv · 2025
Domain specificity of embedding models is critical for effective performance. However, existing benchmarks, such as FinMTEB, are primarily designed for high-resource languages, leaving low-resource settings, such as Korean, under-explored. Directly translating established English benchmarks often fails to capture the linguistic and cultural nuances present in low-resource domains. In this paper, titled TWICE: What Ad…
Yewon Hwang, Sungbum Jung, Hanwool Lee, Sara Yu
arXiv · arXiv · 2024
There are multiple sources of financial news online which influence market movements and trader's decisions. This highlights the need for accurate sentiment analysis, in addition to having appropriate algorithmic trading techniques, to arrive at better informed trading decisions. Standard lexicon based sentiment approaches have demonstrated their power in aiding financial decisions. However, they are known to suffer …
Thanos Konstantinidis, Giorgos Iacovides, Mingxue Xu, Tony G. Constantinides, Danilo Mandic
arXiv · arXiv · 2023
The financial markets, which involve more than $90 trillion market capitals, attract the attention of innumerable investors around the world. Recently, reinforcement learning in financial markets (FinRL) has emerged as a promising direction to train agents for making profitable investment decisions. However, the evaluation of most FinRL methods only focuses on profit-related measures and ignores many critical axes, w…
Shuo Sun, Molei Qin, Xinrun Wang, Bo An
arXiv · arXiv · 2019
Exchanges acquire excess processing capacity to accommodate trading activity surges associated with zero-sum high-frequency trader (HFT) "duels." The idle capacity's opportunity cost is an externality of low-latency trading. We build a model of decentralized exchanges (DEX) with flexible capacity. On DEX, HFTs acquire speed in real-time from peer-to-peer networks. The price of speed surges during activity bursts, as …
Michael Brolley, Marius Zoican
arXiv · arXiv · 2018
We show that, in a resource allocation problem, the ex ante aggregate utility of players with cumulative-prospect-theoretic preferences can be increased over deterministic allocations by implementing lotteries. We formulate an optimization problem, called the system problem, to find the optimal lottery allocation. The system problem exhibits a two-layer structure comprised of a permutation profile and optimal allocat…
Soham R. Phade, Venkat Anantharam
arXiv · arXiv · 2018
The Libor market model is a mainstay term structure model of interest rates for derivatives pricing, especially for Bermudan swaptions, and other exotic Libor callable derivatives. For numerical implementation the pricing of derivatives with Libor market models is mainly carried out with Monte Carlo simulation. The PDE grid approach is not particularly feasible due to Curse of Dimensionality. The standard Monte Carlo…
Haojie Wang, Han Chen, Agus Sudjianto, Richard Liu, Qi Shen
arXiv · arXiv · 2018
The growth of the modern knowledge-based economy is becoming less and less dependent on tangible assets and more on intangible ones. In this context, the role of human capital in the value creation process has become central. Despite the large amount of scientific work on human capital phenomena, little research has revealed the role of human capital in the process of creating value. The purpose of this article is to…
Youssef Ifleh, Mohamed Lotfi, Mounime Elkabbouri
arXiv · arXiv · 2016
This paper studies the optimal extraction and taxation of nonrenewable natural resources. It is well known that the market values of the main strategic resources such as oil, natural gas, uranium, copper,..., etc, fluctuate randomly following global and seasonal macroeconomic parameters, these values are modeled using Markov switching Lévy processes. We formulate this problem as a differential game. The two players o…
Moustapha Pemy
arXiv · arXiv · 2016
This paper studies the problem of optimally extracting nonrenewable natural resource in light of various financial and economic restrictions and constraints. Taking into account the fact that the market values of the main natural resources i.e. oil, natural gas, copper,...,etc, fluctuate randomly following global and seasonal macroeconomic parameters, these values are modeled using Markov switching Lévy processes. We…
Moustapha Pemy
arXiv · arXiv · 2012
We have studied statistical characteristics of five share price time series. For each stock price, we estimated a best fit quantitative model for the monthly closing price as based on the decomposition into two defining consumer price indices selected from a large set of CPIs. It was found that there are two pairs of similar models (Bank of America/Morgan Stanley and Goldman Sachs/JPMorgan Chase) with a standalone mo…
Ivan Kitov
arXiv · arXiv · 2008
In recent years, the economic policy of privatization, which is defined as the transfer of property or responsibility from public sector to private sector, is one of the global phenomenon that increases use of markets to allocate resources. One important motivation for privatization is to help develop factor and product markets, as well as security markets. Progress in privatization is correlated with improvements in…
M. Vahabi, G. R. Jafari
arXiv · arXiv · 2026
This paper proposes an investment strategy through resource allocation into Kalshi Crypto Event Contracts in order to effectively hedge exposure to spot asset volatility. Using Bitcoin as a proof of concept, we treat corresponding Kalshi markets on the asset's future price as option contracts, and through construction of different portfolio allocations present a framework for which event contracts can be effectively …
Prashanth Bhaskara, Aadit Jerfy
arXiv · arXiv · 2022
The study focuses on the Impact of Employment Benefit Cots on the Profitability of Companies listed in the National Stock Exchange. The study has considered the Amount spent on Employment Benefit Cots as an Independent variable and Profit after tax, Total Assets, Return on Equity, and Return on Asset and Debt equity Ration as the Dependent variable. The present study is to analyses the relationship between Employment…
Anil S, Sudharani R, Suresh N