Search
Search
Papers, wiki, Option Blackboard, encyclopedia, and cards.
Results for “small cap” · papers 4 · wiki 3
Academic Papers · 4arXiv q-fin live 0 · desk corpus 4
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 · 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 · 2026
Most of the autocorrelation in trade signs on decentralized exchanges comes from pairs of trades sent by different wallets. For Uniswap v3, this has been read as herding dominating order splitting -- the reverse of what equity markets show. We show that this herding share mixes two quantities: the probability $p$ that consecutive orders come from the same account, which is small when thousands of wallets are trading,…
Yichong Bai, Dingyue Kan
arXiv · arXiv · 2026
Generative AI coding tools have lowered the cost of writing trading software, but no systematic dataset records when these services fail. We introduce the AI Incident and Disruption Archive (AIDA), a multi-vendor registry of 5,868 deduplicated outage incidents across 30 providers from 2025 to 2026, with foundation-model incidents verified against primary status-page or postmortem URLs. Pairing AIDA with 5,041,034 ver…
Wenbin Wu
Option Blackboard · 0
No Option Blackboard entries matched.