Papers, wiki, Option Blackboard, encyclopedia, and cards.
This paper proposes and motivates a dynamical model of the Chinese stock market based on a linear regression in a dual state space connected to the original state space of correlations between the volume-at-price buckets by a Fourier transform. We apply our model to the price migration of executed orders by the Chinese brokerages in 2009-2010. Regulatory brokerage tapes were used to conduct a natural experiment assum…
Reinforcement learning trading systems published in the academic literature overwhelmingly rely on price-aggregate state representations (OHLCV bars) or limit-order-book depth features, leaving microstructure pattern theories from the practitioner literature, namely Auction Market Theory and Market Profile, without a peer-reviewed computational instantiation. We present ViperQ, a reinforcement learning system whose s…
At 15-minute horizons, directional mean reversion is far stronger and more pervasive in cryptocurrency markets than in US equities: scored under one matched, strictly out-of-sample protocol, 90% of 183 Binance pairs carry significant directional reversal against 2.7% of 187 US stocks and ETFs, in every focal coin-year since 2021. The signal lives in signs, not magnitudes: lag-one return autocorrelation is near zero o…
We test the square-root law (SRL) of market impact on a single U.S. large-capitalisation equity, Apple Inc. (AAPL), using the full Nasdaq TotalView-ITCH market-by-order feed over 178 trading days (2 December 2024 -- 19 August 2025; ~0.5 billion events). Without broker-tagged parent orders, we reconstruct metaorders from the anonymous tape and calibrate impact as $I/σ_D = c\,(Q/V_D)^{1/2}$ with the exponent fixed at t…
Trader-facing dynamic fees are increasingly proposed for automated market makers (AMMs), but historical data do not identify how order flow would respond: trader-facing fees do not vary, trader types are latent, and a replayed tape is not a sequential decision environment. We therefore construct a minimal closed-loop simulator in which the missing signal exists by construction: two constant-product pools repriced by …
This work extends and complements our previous theoretical paper on the subtle interplay between impact, order flow and volatility. In the present paper, we generate synthetic market data following the specification of that paper and show that the approximations made there are actually justified, which provides quantitative support our conclusion that price volatility can be fully explained by the superposition of co…
Pathwise differentiation of Monte Carlo estimators fails at payoff discontinuities, producing zero or biased sensitivities for barriers, autocallables, and digital options. The industry workaround --- smoothing the indicator functions --- introduces bias and requires per-product calibration. We derive a correction formula that restores unbiased Greeks without smoothing. For a payoff $F(Z,θ)$ that is piecewise smooth …
This study examines how institutional differences and external crises shape volatility dynamics in emerging Asian stock markets. Using daily stock index returns for Indonesia, Malaysia, and the Philippines from 2010 to 2024, we estimate EGARCH(1,1) and TGARCH(1,1) models in a by-window design. The sample is split into the 2013 Taper Tantrum, the 2020-2021 COVID-19 period, the 2022-2023 rate-hike cycle, and tranquil p…
We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the central bank, the bond market liquidity, inflation and growth expectations play an important role. The model can explain the effects of non-standard monetary policies (like quantitative …
The industry tape: SG CTA Index for a broad managed-futures peer set, SG Trend for the large trend-followers — the benchmarks allocators actually quote.
Animal spirits is Keynes’s name for the non-model confidence that makes people invest or refuse to — the residual when rates and cash flows are not enough to explain the tape.
To hit the bid is to sell at the posted bid — you are the aggressor lifting liquidity on the sell side, not joining the offer.
To lift the offer is to buy the posted ask — aggressive demand that pays the spread for immediacy.
Risk-on / risk-off (RORO) is a one-factor tape: the same risk appetite impulse hits credit, EM, high-beta equity, and vol in one direction while Treasuries, the dollar, and gold take the other side.
Price elasticity is the percent change in quantity demanded or supplied for a one percent change in price — how much the tape moves volume when the price moves.
The 2013 taper tantrum was a fast global rates-and-EM selloff after Bernanke hinted at slowing QE — a rehearsal of how the world’s dollar duration is one speech.
VWAP is the day’s (or window’s) average price weighted by volume — a benchmark for whether you traded with the tape or against it.
The same BAB recipe on country indexes or international stocks — low-beta vs high-beta outside the US single-name tape.
Time the equity index with a borrow/lending-fee composite — when synthetic shorting is expensive, the tape is crowded the other way.
Animal spirits is Keynes’s name for the non-model confidence that makes people invest or refuse to — the residual when rates and cash flows are not enough to explain the tape.
The same BAB recipe on country indexes or international stocks — low-beta vs high-beta outside the US single-name tape.
Price elasticity is the percent change in quantity demanded or supplied for a one percent change in price — how much the tape moves volume when the price moves.
Risk-on / risk-off (RORO) is a one-factor tape: the same risk appetite impulse hits credit, EM, high-beta equity, and vol in one direction while Treasuries, the dollar, and gold take the other side.
The industry tape: SG CTA Index for a broad managed-futures peer set, SG Trend for the large trend-followers — the benchmarks allocators actually quote.
Time the equity index with a borrow/lending-fee composite — when synthetic shorting is expensive, the tape is crowded the other way.
The 2013 taper tantrum was a fast global rates-and-EM selloff after Bernanke hinted at slowing QE — a rehearsal of how the world’s dollar duration is one speech.
VWAP is the day’s (or window’s) average price weighted by volume — a benchmark for whether you traded with the tape or against it.