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Results for “risk regime” · papers 4 · wiki 0
Academic Papers · 4arXiv q-fin live 0 · desk corpus 4
arXiv · arXiv · 2024
We develop a liquidity-sensitive multivariate volatility framework to improve the estimation of time-varying covariance structures under market frictions. We introduce two novel portfolio-level liquidity measures, liquidity jump and liquidity diffusion, which capture magnitude and volatility of liquidity fluctuation, respectively, and construct liquidity-adjusted return and volatility that reflect real-time liquidity…
Qi Deng
arXiv · arXiv · 2023
Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistence can be attributed to the division and gradual execution of large orders. Consequently, distinct order flow regimes might emerge, which can be identified through suitable time series models applied to market data. In this paper, we propose…
Ioanna-Yvonni Tsaknaki, Fabrizio Lillo, Piero Mazzarisi
arXiv · arXiv · 2013
The principal portfolios of the standard Capital Asset Pricing Model (CAPM) are analyzed and found to have remarkable hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky securities into an equivalent but uncorrelated set when short sales are allowed. While a determination of principal portfolios in general requires a detailed knowledge of the covariance…
M. Hossein Partovi
arXiv · arXiv · 2026
Automated markets increasingly route order flow from learning trading agents through automated market makers (AMMs). We model trader archetypes as AI agents defined by their reward functions and analyze the feedback they create on a constant-product AMM. Herd-dominated and arbitrage-dominated markets of equal size have identical return distributions and turnover, so no rule based on volatility, value-at-risk, stress …
Irene Aldridge
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