Papers, wiki, Option Blackboard, encyclopedia, and cards.
This study delves into the analysis of financial markets through the lens of Wyckoff Phases, a framework devised by Richard D. Wyckoff in the early 20th century. Focusing on the accumulation pattern within the Wyckoff framework, the research explores the phases of trading range and secondary test, elucidating their significance in understanding market dynamics and identifying potential trading opportunities. By disse…
Introduction: The paper addresses the challenging problem of predicting the short-term realized volatility of the Bitcoin price using order flow information. The inherent stochastic nature and anti-persistence of price pose difficulties in accurate prediction. Methods: To address this, we propose a method that transforms order flow data over a fixed time interval (snapshots) into images. The order flow includes trade…
Systematic trend following has, on average, been profitable for at least two centuries; yet since approximately 2009, short-term trends have ceased to deliver reliable returns. Using a cross-section of roughly 100 liquid futures contracts spanning 1995-2025, together with an industry-representative CTA proxy, we document the break and characterise its dependence on signal speed and asset class. We evaluate four candi…
While traditional equity factor investing relies heavily on slow-moving fundamental accounting metrics, these models frequently suffer from factor crowding and miss real-time, sentiment-driven market dislocations. This study explores how institutional investors can leverage a high-dimensional library of 191 short-term, trading-based signals, originally developed for the retail-heavy Chinese A-share market, to enhance…
Stock price prediction is a challenging problem in the field of finance and receives widespread attention. In recent years, with the rapid development of technologies such as deep learning and graph neural networks, more research methods have begun to focus on exploring the interrelationships between stocks. However, existing methods mostly focus on the short-term dynamic relationships of stocks and directly integrat…
This paper examines the short-term asymptotic behavior of the implied volatility surface, focusing on the at-the-money (ATM) skew and curvature. Rather than committing to a specific stochastic differential equation, we adopt a distribution-based approach by imposing cumulant conditions on the log-return distribution. Under these weak assumptions, we derive a quadratic expansion of implied volatility as a function of …
High-frequency trading requires fast data processing without information lags for precise stock price forecasting. This high-paced stock price forecasting is usually based on vectors that need to be treated as sequential and time-independent signals due to the time irregularities that are inherent in high-frequency trading. A well-documented and tested method that considers these time-irregularities is a type of recu…
Designing robust and accurate prediction models has been a viable research area since a long time. While proponents of a well-functioning market predictors believe that it is difficult to accurately predict market prices but many scholars disagree. Robust and accurate prediction systems will not only be helpful to the businesses but also to the individuals in making their financial investments. This paper presents an…
The ongoing COVID-19 shocked financial markets globally, including China's crude oil future market, which is the third most traded crude oil futures after WTI and Brent. As China's first crude oil futures accessible to foreign investors, the Shanghai crude oil futures (SC) have attracted significant interest since launch at the Shanghai International Energy Exchange. The impact of COVID-19 on the new crude oil future…
We propose a new model for the joint evolution of the European inflation rate, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous time setting. We derive the valuation equation for a contingent claim and show that it has a unique solution. The contingent claim payoff may depend on all three economic factors of the model and the discount factor is allowed to …
COVID-19 is an infectious disease that mostly affects the respiratory system. At the time of this research being performed, there were more than 1.4 million cases of COVID-19, and one of the biggest anxieties is not just our health, but our livelihoods, too. In this research, authors investigate the impact of COVID-19 on the global economy, more specifically, the impact of COVID-19 on financial movement of Crude Oil …
Intense volatility in financial markets affect humans worldwide. Therefore, relatively accurate prediction of volatility is critical. We suggest that massive data sources resulting from human interaction with the Internet may offer a new perspective on the behavior of market participants in periods of large market movements. First we select 28 key words, which are related to finance as indicators of the public mood a…
In this paper we analyze an extension of the Jeanblanc and Valchev (2005) model by considering a short-term uncertainty model with two noises. It is a combination of the ideas of Duffie and Lando (2001) and Jeanblanc and Valchev (2005): share quotations of the firm are available at the financial market, and these can be seen as noisy information about the fundamental value, or the firm's asset, from which a low level…
We develop a new framework to detect wash trading in crypto assets through real-time liquidity fluctuation. We propose that short-term price jumps in crypto assets results from wash trading-induced liquidity fluctuation, and construct two complementary liquidity measures, liquidity jump (size of fluctuation) and liquidity diffusion (volatility of fluctuation), to capture the behavioral signature of wash trading. Usin…
We give a detailed account of correlations between credit sector/quality and treasury curve factors, using the robust framework of the Barclays POINT Global Risk Model. Consistent with earlier studies, we find a strong negative correlation between sector spreads and rate shifts. However, we also observe that the correlations between spreads and Treasury twists reversed recently, which is likely attributable to the Fe…
Current post-trade clearing systems rely almost exclusively on cash or cash-like collateral, leaving vast reserves of short-term liquidity embedded in trade credit outside formal settlement infrastructures. A key barrier to integrating this liquidity is the near-universal dependence of clearing services on novation, which imposes institutional overhead that restricts accessibility and limits the range of obligations …
Automated market makers (AMMs) are a new type of trading venues which are revolutionising the way market participants interact. At present, the majority of AMMs are constant function market makers (CFMMs) where a deterministic trading function determines how markets are cleared. Within CFMMs, we focus on constant product market makers (CPMMs) which implements the concentrated liquidity (CL) feature. In this thesis we…
It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term structure of interest rates, as introduced in 1985, is inadequate for modelling the current market environment with negative short interest rates. Moreover, the diffusion term in the rate dynamics goes to zero when short rates are small; both volatility and long-run mean do not change with time; they do not fit with the skewed (fat …
LSTM is a gated RNN whose cell state can carry information across many steps, with input, forget, and output gates trained by gradient descent.
A single platform that allocates risk across trend, carry, short-term, RV, and sometimes options — a house of sleeves, not a style-pure trend shop.
Holds for a few days to two weeks — higher turnover, tighter capacity, lower correlation to slow trend, and a different execution problem.
Short-term interest-rate futures — SOFR, SONIA, Euribor strips — a specialist language of meeting-to-meeting path trades and pack/bundle spreads.
Commercial paper spreads track the cost of short-term corporate borrowing relative to safer benchmarks and help identify stress in corporate funding markets.
FRA-OIS spread measures the difference between interbank funding expectations and overnight indexed swap rates, often used as a gauge of banking and short-term funding stress.
Money market fund assets track the amount of cash parked in short-term low-risk vehicles, providing insight into liquidity preference, deposit substitution, and defensive positioning.
TED Spread measures the difference between interbank lending rates and short-term U.S. government bill yields, historically used as a gauge of credit and funding stress.
Repo rates reflect the cost of short-term secured borrowing against collateral and are central to understanding liquidity, Treasury market functioning, and funding stress.
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.
Blend intermediate momentum, short-term reversal, and a volatility filter — a multi-horizon equity recipe.
Fade short-term losers only when fundamentals (F-Score) are healthy — reversal with a quality gate.
Long last week’s (or last month’s) losers and short the winners — a short-horizon reversal that decays into intermediate momentum.
Fade last week’s winners and buy last week’s losers across liquid futures — reversal in a cost-friendly universe.
Commercial paper spreads track the cost of short-term corporate borrowing relative to safer benchmarks and help identify stress in corporate funding markets.
FRA-OIS spread measures the difference between interbank funding expectations and overnight indexed swap rates, often used as a gauge of banking and short-term funding stress.
LSTM is a gated RNN whose cell state can carry information across many steps, with input, forget, and output gates trained by gradient descent.
Blend intermediate momentum, short-term reversal, and a volatility filter — a multi-horizon equity recipe.
Money market fund assets track the amount of cash parked in short-term low-risk vehicles, providing insight into liquidity preference, deposit substitution, and defensive positioning.
A single platform that allocates risk across trend, carry, short-term, RV, and sometimes options — a house of sleeves, not a style-pure trend shop.
Fade short-term losers only when fundamentals (F-Score) are healthy — reversal with a quality gate.
Repo rates reflect the cost of short-term secured borrowing against collateral and are central to understanding liquidity, Treasury market functioning, and funding stress.
Holds for a few days to two weeks — higher turnover, tighter capacity, lower correlation to slow trend, and a different execution problem.
Long last week’s (or last month’s) losers and short the winners — a short-horizon reversal that decays into intermediate momentum.
Fade last week’s winners and buy last week’s losers across liquid futures — reversal in a cost-friendly universe.
Short-term interest-rate futures — SOFR, SONIA, Euribor strips — a specialist language of meeting-to-meeting path trades and pack/bundle spreads.
TED Spread measures the difference between interbank lending rates and short-term U.S. government bill yields, historically used as a gauge of credit and funding stress.
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.