arXiv · arXiv · 2026
Motivated by Kyle (1985) informed order flow and the Meiklejohn et al. (2013) wallet-clustering tradition, we ask whether persistent coordinated wallets causally raise first-hour buyer flow on the Solana pump.fun bonding-curve marketplace. Using 1,578,333 buyer observations from 166,098 launches over 13.4 days (2026-06-11 to 2026-06-25), a two-stage detection pipeline (intra-launch first-buyer-window extraction plus …
Arati Uday Kamat
arXiv · arXiv · 2025
Major bank mergers and acquisitions (M&A) transform the financial market structure, but their valuation and spillover effects remain open to question. This study examines the market reaction to two M&A events: the 2005 creation of Mitsubishi UFJ Financial Group following the Financial Big Bang in Japan, and the 2018 merger involving Resona Holdings after the global financial crisis. The multi-method analysis in this …
Haibo Wang, Takeshi Tsuyuguchi
arXiv · arXiv · 2025
We study dynamic data generation and its application to model-free dynamic portfolio selection. Existing score-based diffusion models are typically designed to learn a static data distribution, whereas dynamic decision problems require generated trajectories that preserve the sequential information structure of the underlying process and support conditional sampling. To address this gap, we develop an adaptive score-…
Ahmad Aghapour, Erhan Bayraktar, Fengyi Yuan
arXiv · arXiv · 2026
Investors interpret social disclosures from a risk perspective, yet relevant information can reach them through channels that differ sharply in regulatory enforcement and materiality: SEC filings, sustainability reports, or financial reports. We analyse how social disclosure via each channel relates to idiosyncratic risk. Studying S&P 1,500 constituents, we distinguish between initiated and continued disclosure along…
Andreas G. F. Hoepner, Blerita Korca, Frank Schiemann, Fabiola I. Schneider
arXiv · arXiv · 2025
Through its initiative known as the Climate Change Act (2008), the Government of the United Kingdom encourages corporations to enhance their environmental performance with the significant aim of reducing targeted greenhouse gas emissions by the year 2050. Previous research has predominantly assessed this encouragement favourably, suggesting that improved environmental performance bolsters governmental efforts to prot…
Probowo Erawan Sastroredjo, Marcel Ausloos, Polina Khrennikova
arXiv · arXiv · 2025
Our research investigates the relationship between eco-innovation and earnings management among 567 firms listed on the FTSE All-Share Index from 2014 to 2022. By examining how sustainability-driven innovation influences financial reporting practices, we explore the strategic motivations behind income smoothing in firms engaged in environmental initiatives. The findings reveal a positive association between eco-innov…
Probowo Erawan Sastroredjo, Marcel Ausloos, Polina Khrennikova
arXiv · arXiv · 2025
As decentralized finance (DeFi) evolves, distinguishing between user behaviors - liquidity provision versus active trading - has become vital for risk modeling and on-chain reputation. We propose a behavioral scoring framework for Uniswap that assigns two complementary scores: a Liquidity Provision Score that assesses strategic liquidity contributions, and a Swap Behavior Score that reflects trading intent, volatilit…
Dhanashekar Kandaswamy, Ashutosh Sahoo, Akshay SP, Gurukiran S, Parag Paul
arXiv · arXiv · 2021
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 the modeling of the liability liquidity risk (or funding liquidity), the second dimension is dedicated to the modeling of the asset liquidity risk (or market liquidity), whereas the third dimension considers the management of the asset-liability liquidi…
Thierry Roncalli
arXiv · arXiv · 2021
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
arXiv · arXiv · 2021
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 asset-liability liquidity risk management (or asset-liability matching). The…
Thierry Roncalli, Fatma Karray-Meziou, François Pan, Margaux Regnault
arXiv · arXiv · 2026
Large language models (LLMs) have shown strong performance across diverse financial tasks, yet portfolio management (PM) remains poorly benchmarked. Existing benchmarks exhibit two gaps: they are often equity-only and ignore cross-asset correlations; they fail to evaluate the complete PM decision pipeline. We introduce PortBench, a benchmark spanning six heterogeneous asset classes from 2015 to 2025. PortBench compri…
Yuxuan Zhao, Sijia Chen, Ningxin Su
arXiv · arXiv · 2025
As the FX markets continue to evolve, many institutions have started offering passive access to their internal liquidity pools. Market makers act as principal and have the opportunity to fill those orders as part of their risk management, or they may choose to adjust pricing to their external OTC franchise to facilitate the matching flow. It is, a priori, unclear how the strategies managing internal liquidity should …
Alexander Barzykin, Robert Boyce, Eyal Neuman
arXiv · arXiv · 2025
We study opportunistic optimal liquidation over fixed deadlines on BTC-USD limit-order books (LOB). We present RL-Exec, a PPO agent trained on historical replays augmented with endogenous transient impact (resilience), partial fills, maker/taker fees, and latency. The policy observes depth-20 LOB features plus microstructure indicators and acts under a sell-only inventory constraint to reach a residual target. Evalua…
Enzo Duflot, Stanislas Robineau
arXiv · arXiv · 2024
This research presents a comprehensive framework for analyzing liquidity in financial markets, particularly in the context of high-frequency trading. By leveraging advanced machine learning classification techniques, including Logistic Regression, Support Vector Machine, and Random Forest, the study aims to predict minute-level price movements using an extensive set of liquidity metrics derived from the Trade and Quo…
Sid Bhatia, Sidharth Peri, Sam Friedman, Michelle Malen
arXiv · arXiv · 2023
This paper investigates the application of Deep Reinforcement Learning (DRL) for Environment, Social, and Governance (ESG) financial portfolio management, with a specific focus on the potential benefits of ESG score-based market regulation. We leveraged an Advantage Actor-Critic (A2C) agent and conducted our experiments using environments encoded within the OpenAI Gym, adapted from the FinRL platform. The study inclu…
Eduardo C. Garrido-Merchán, Sol Mora-Figueroa-Cruz-Guzmán, María Coronado-Vaca
arXiv · arXiv · 2019
In this thesis, we develop a comprehensive account of the expressive power, modelling efficiency, and performance advantages of so-called trading agents (i.e., Deep Soft Recurrent Q-Network (DSRQN) and Mixture of Score Machines (MSM)), based on both traditional system identification (model-based approach) as well as on context-independent agents (model-free approach). The analysis provides conclusive support for the …
Angelos Filos
arXiv · arXiv · 2010
We review different approaches for measuring the impact of liquidity on CDS prices. We start with reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi and Sverdlove (2008) and Buhler and Trapp (2006, 2008), adopting different assumptions on how liquidity rates enter the CDS premium rate formula, about the dynamics of liquidity rate processes and about the credit-liquidit…
Damiano Brigo, Mirela Predescu, Agostino Capponi
arXiv · arXiv · 2013
We investigate a statistical-static hedging technique for pricing assets considered as single-step stochastic cash flows. The valuation is based on constructing in a canonical way a European style derivative on a benchmark security such that the physical payoff distribution coincides with the (corrected) physical asset price distribution. It turns out that this pricing technique is economically viable under some natu…
Jarno Talponen