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Battery Energy Storage Systems (BESS) are a cornerstone of the energy transition, as their ability to shift electricity across time enables both grid stability and the integration of renewable generation. This paper investigates the profitability of different market bidding strategies for BESS in the Central European wholesale power market, focusing on the day-ahead auction and intraday trading at EPEX Spot. We emplo…
In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates. We do not require classical absence of arbitrage and rely instead on a minimal market viability assumption, which enables us to work in the context of the benchmark approach. In a Markovian setting, we extend the control theoretic approach of Gombani & Runggaldier (2013) and…
Portfolio management is an important yet challenging task in AI for FinTech, which aims to allocate investors' budgets among different assets to balance the risk and return of an investment. In this study, we propose a general Multi-objectIve framework with controLLable rIsk for pOrtfolio maNagement (MILLION), which consists of two main phases, i.e., return-related maximization and risk control. Specifically, in the …
Limit order book (LOB) simulators are most useful to practitioners when they combine realistic market dynamics, computationally efficient sampling, controllable scenario generation, and the ability to generalize beyond the instruments seen during training---properties that existing agent-based and deep generative simulators provide only partially. We present \textbf{FlowLOB}, a conditional \textbf{flow}-matching gene…
Climate perils are linked through event ordering and state-dependent propagation, features not fully captured by joint loss distributions alone. This paper develops a Cascading Climate Risk Network (CCRN) for multi-peril reinsurance that separates calendar-scale climate conditioning from within-event propagation on a directed acyclic graph (DAG). The model combines complementary-log-log triggering hazards with bounde…
This paper provides a controlled comparison of six information bar types (dollar, volume, volatility, range, Renko, and hybrid bars) constructed from both raw Binance aggTrade tick data and one-minute OHLCV bars for the BTCUSDT USDT-margined perpetual futures market over a six-year period spanning January 2020 to December 2025, and evaluated against fixed-interval time-bar baselines. Both pipelines share a common ada…
Evaluating whether large language model (LLM) agents can profit in capital markets is increasingly framed as end-to-end trading: place an agent in a historical market, let it trade, and measure portfolio returns. This setup is vulnerable to two evaluation failures. First, long backtests often overlap with the knowledge cutoffs of frontier LLMs, allowing memorized tickers, dates, prices, and market narratives to subst…
This paper presents a deep generative modeling framework for controllably synthesizing implied volatility surfaces (IVSs) using a variational autoencoder (VAE). Unlike conventional data-driven models, our approach provides explicit control over meaningful shape features (e.g., volatility level, slope, curvature, term-structure) to generate IVSs with desired characteristics. In our framework, financially interpretable…
Backtests on historical data are the basis for practical evaluations of portfolio selection rules, but their reliability is often limited by reliance on a single sample path. This can lead to high estimation variance. Resampling techniques offer a potential solution by increasing the effective sample size, but can disrupt the temporal ordering inherent in financial data and introduce significant bias. This paper inve…
We consider the problem faced by a central bank which bails out distressed financial institutions that pose systemic risk to the banking sector. In a structural default model with mutual obligations, the central agent seeks to inject a minimum amount of cash in order to limit defaults to a given proportion of entities. We prove that the value of the central agent's control problem converges as the number of defaultab…
Since governments give stimulus to firms and expect the spillover effect by fiscal policies, it is important to know the effectiveness that they can control the economy. To clarify the controllability of the economy, we investigate a firm production network observed exhaustively in Japan and what firms should be directly or indirectly controlled by using control theory. By control theory, we can classify firms into t…
We develop a rigorous walk-forward validation framework for algorithmic trading designed to mitigate overfitting and lookahead bias. Our methodology combines interpretable hypothesis-driven signal generation with reinforcement learning and strict out-of-sample testing. The framework enforces strict information set discipline, employs rolling window validation across 34 independent test periods, maintains complete int…
Everlasting options, a relatively new class of perpetual financial derivatives, have emerged to tackle the challenges of rolling contracts and liquidity fragmentation in decentralized finance markets. This paper offers an in-depth analysis of markets for everlasting options, modeled using a dynamic proactive market maker. We examine the behavior of funding fees and transaction costs across varying liquidity condition…
This paper applies deep reinforcement learning (DRL) to optimize liquidity provisioning in Uniswap v3, a decentralized finance (DeFi) protocol implementing an automated market maker (AMM) model with concentrated liquidity. We model the liquidity provision task as a Markov Decision Process (MDP) and train an active liquidity provider (LP) agent using the Proximal Policy Optimization (PPO) algorithm. The agent dynamica…
A great deal of academic and theoretical work has been dedicated to optimal liquidation of large orders these last twenty years. The optimal split of an order through time (`optimal trade scheduling') and space (`smart order routing') is of high interest \rred{to} practitioners because of the increasing complexity of the market micro structure because of the evolution recently of regulations and liquidity worldwide. …
Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivated by increased public attention borne out of the financialization of futures markets in the early 2000s, we investigate if these extant models can uncover predictable patterns in the implied volatility surfaces of the most actively traded …
MARK J. P. ANSON is affiliated with OppenheimerFunds, Inc., in New York. R ecent academic and practitioner Ž research Schneeweis 1996 ; . Schneeweis and Spurgin 1998 has emphasized the diversification benefits of a wide range of alternative investments including managed futures products as well as hedge funds. Many of these alternative investment products are based on active management strategies that often concentra…
This paper tests whether graph neural networks improve realized volatility forecasts and whether those forecasts improve portfolio performance. Using weekly realized volatility for 465 S&P 500 equities from 2015-2025, Heterogeneous Autoregressive and Long Short-Term Memory baselines are compared against GraphSAGE models built on rolling correlation, sector, and Granger-causal graphs, with and without macro regime fea…
Backwardation is a futures curve that falls with tenor — nearby richer than deferred, usually a tightness / convenience-yield story.
Commodity Carry — Return from rolling futures along the curve — core systematic commodity strategy.
Contango is a futures curve that rises with tenor — deferred contracts richer than nearby, often a storage and rate story.
Harvest roll-down and yield carry in bond and STIR futures — a rates-specific premia book that can fight the trend sleeve in a hiking cycle.
Inside a managed-futures book, overweight backwardated contracts and underweight contango — roll yield as a second family next to price trend.
The live tax on a systematic futures book — impact, roll, and the fact that the signal is correlated with everyone else’s signal.
Which expiry you hold and when you roll is a first-class P&L — not an operations footnote — especially in commodities and VIX.
Trades that exist because of the calendar — harvest, driving season, tax dates, contract rolls — not because a 50-day MA said so.
VIX Futures Term Structure — Curve shape driving roll yield for vol ETNs and systematic short-vol carry.
Volatility Carry Trade — Selling implied vol or rolling VIX futures in contango — crowded but regime-sensitive.
Picking up pennies in front of a steamroller is harvesting small carry or premium while being short a rare, violent tail.
Nonfarm Payrolls — The headline US jobs report that routinely moves rates, FX, and equity index volatility.
An asset is a present economic resource controlled by an entity from which future cash or service is expected — the left-hand side of the balance sheet.
The 1982 Latin American debt crisis began when Mexico, then others, could not roll dollar syndicated loans after Volcker’s rate shock — a sudden stop of bank credit that became a lost decade.
Carry and Roll Down — Expected return from holding higher-yielding tenor as it rolls down a positively sloped curve.
TBA Roll Specialness — Delivery-option value in TBA markets signaling collateral scarcity or abundance.
QT pace refers to the speed at which the Federal Reserve allows assets to roll off its balance sheet, affecting reserves, duration supply, and market liquidity.
Term premium is the extra compensation investors demand for holding longer-term bonds instead of rolling short-term debt, reflecting duration risk, uncertainty, and market structure.
Trade the VIX curve — short steep contango, respect backwardation — a roll-yield book in vol futures.
Long commodities in backwardation (positive roll yield) and short those in contango — harvest the curve, not the spot headline.
An asset is a present economic resource controlled by an entity from which future cash or service is expected — the left-hand side of the balance sheet.
Carry and Roll Down — Expected return from holding higher-yielding tenor as it rolls down a positively sloped curve.
Commodity Carry — Return from rolling futures along the curve — core systematic commodity strategy.
Harvest roll-down and yield carry in bond and STIR futures — a rates-specific premia book that can fight the trend sleeve in a hiking cycle.
Inside a managed-futures book, overweight backwardated contracts and underweight contango — roll yield as a second family next to price trend.
The live tax on a systematic futures book — impact, roll, and the fact that the signal is correlated with everyone else’s signal.
Which expiry you hold and when you roll is a first-class P&L — not an operations footnote — especially in commodities and VIX.
Trade the VIX curve — short steep contango, respect backwardation — a roll-yield book in vol futures.
The 1982 Latin American debt crisis began when Mexico, then others, could not roll dollar syndicated loans after Volcker’s rate shock — a sudden stop of bank credit that became a lost decade.
Nonfarm Payrolls — The headline US jobs report that routinely moves rates, FX, and equity index volatility.
Picking up pennies in front of a steamroller is harvesting small carry or premium while being short a rare, violent tail.
QT pace refers to the speed at which the Federal Reserve allows assets to roll off its balance sheet, affecting reserves, duration supply, and market liquidity.
Trades that exist because of the calendar — harvest, driving season, tax dates, contract rolls — not because a 50-day MA said so.
TBA Roll Specialness — Delivery-option value in TBA markets signaling collateral scarcity or abundance.
Term premium is the extra compensation investors demand for holding longer-term bonds instead of rolling short-term debt, reflecting duration risk, uncertainty, and market structure.
Long commodities in backwardation (positive roll yield) and short those in contango — harvest the curve, not the spot headline.
VIX Futures Term Structure — Curve shape driving roll yield for vol ETNs and systematic short-vol carry.
Volatility Carry Trade — Selling implied vol or rolling VIX futures in contango — crowded but regime-sensitive.