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We propose a profitable trading strategy for the cryptocurrency market based on grid trading. Starting with an analysis of the expected value of the traditional grid strategy, we show that under simple assumptions, its expected return is essentially zero. We then introduce a novel Dynamic Grid-based Trading (DGT) strategy that adapts to market conditions by dynamically resetting grid positions. Our backtesting result…
We present conditions under which positive alpha exists in the realm of active portfolio management- in contrast to the controversial result in Jarrow (2010, pg. 20) which implicates delegated portfolio management by surmising that positive alphas are illusionary. Specifically, we show that the critical assumption used in Jarrow (2010, pg. 20), to derive the illusionary alpha result, is based on a zero set for CAPM w…
We study time-zero efficiency of electricity derivatives markets. By time-zero efficiency is meant a sequence of prices of derivatives contracts having the same underlying asset but different times to maturity which implies that prices comply with a set of efficiency conditions that prevent profitable time-zero arbitrage opportunities. We investigate whether statistical tests, based on the law of one price, and tradi…
We develop a rigorous mathematical framework for the governance of systems of K self-adapting generative AI models under the principles of Model Risk Management (MRM). When multiple models share a meta-learning coupling through an interaction matrix, the per-agent Lyapunov analysis that underpins standard MRM is provably insufficient: individual agents can each satisfy their declared stability bounds while the joint …
Market-neutral portfolios aim to generate consistent returns while offsetting systematic market risk. Traditional approaches based on factor models or convex optimization often underperform during market regime shifts or when structural assumptions break down. We propose AlphaZeroBeta, a deep reinforcement learning framework designed to deliver benchmark-relative alpha (excess returns) with near-zero beta (market neu…
Large Language Models (LLMs) have achieved remarkable success recently, displaying exceptional capabilities in creating understandable and organized text. These LLMs have been utilized in diverse fields, such as clinical research, where domain-specific models like Med-Palm have achieved human-level performance. Recently, researchers have employed advanced prompt engineering to enhance the general reasoning ability of…
We study a multivariate autoregressive stochastic volatility model for the first 3 principal components (level, slope, curvature) of 10 series of zero-coupon Treasury bond rates with maturities from 1 to 10 years. We fit this model using monthly data from 1990. Unlike classic models with hidden stochastic volatility, here it is observed as VIX: the volatility index for the S&P 500 stock market index. Surprisingly, th…
A novel procedure is presented for finding the true but latent endpoints within the repayment histories of individual loans. The monthly observations beyond these true endpoints are false, largely due to operational failures that delay account closure, thereby corrupting some loans. Detecting these false observations is difficult at scale since each affected loan history might have a different sequence of trailing ze…
Gulisashvili et al. [Quant. Finance, 2018, 18(10), 1753-1765] provide a small-time asymptotics for the mass at zero under the uncorrelated stochastic-alpha-beta-rho (SABR) model by approximating the integrated variance with a moment-matched lognormal distribution. We improve the accuracy of the numerical integration by using the Gauss--Hermite quadrature. We further obtain the option price by integrating the constant…
This paper is the first attempt to formalize a new field of economics; studding the Intangibles Goods available on the Internet. We are taking advantage of the digital world's specific rules, in particular the zero marginal cost, to propose a theory of trading & sharing unified. A function based money is created as a world-wide currency; "cup". We argue that our system discourage speculation activities while it makes…
In Maslov (2003), a two level model of the occurrence of financial pyramid (bubbles) has been considered. We also considered the mathematical analogy of this model to Bose condensation. In the present paper, we explain why Ponzi schemes and bubbles result in a crisis in real economics. In Maslov (2005), the law of increase of entropy in financial systems, and consequently increase of Kolmogorov complexity, is formula…
The standard approach for compensating liquidity providers on many decentralized exchanges (DEX) for serving as counter-party to swaps is through charging a small percentage of fees. The expected payoff from the cash flow of this mode of market making has yet to be mathematically formulated in terms of volatility in the existing literature. We provide here a preliminary derivation of the payoff formula, by making the…
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe portfolio manager market timing behavior, in a canonical multifactor asset pricing model. First, we present a spectral test for market timing based on behavioral transformation of the hedge factors design matrix. Second, we find that the t…
A physically backed leveraged event position requires real credit: if collateral C receives leverage L, the protocol supplies (L-1)C and uses the combined amount to acquire recognized event exposure. This paper develops a venue-agnostic on-chain credit architecture for that capital layer and an endogenous model of its capital market. It separates traders, Senior Credit LPs, market makers, liquidators, and Liquidation…
Exchanges acquire excess processing capacity to accommodate trading activity surges associated with zero-sum high-frequency trader (HFT) "duels." The idle capacity's opportunity cost is an externality of low-latency trading. We build a model of decentralized exchanges (DEX) with flexible capacity. On DEX, HFTs acquire speed in real-time from peer-to-peer networks. The price of speed surges during activity bursts, as …
We develop a fundamentally different stochastic dynamic programming model of trading costs. Built on a strong theoretical foundation, our model provides insights to market participants by splitting the overall move of the security price during the duration of an order into the Market Impact (price move caused by their actions) and Market Timing (price move caused by everyone else) components. We derive formulations o…
In this paper the zero vanna implied volatility approximation for the price of freshly minted volatility swaps is generalised to seasoned volatility swaps. We also derive how volatility swaps can be hedged using a strip of vanilla options with weights that are directly related to trading intuition. Additionally, we derive first and second order hedges for volatility swaps using only variance swaps. As dynamically tra…
Using a proprietary dataset of meta-orders and prediction signals, and assuming a quasi-linear impact model, we deconvolve market impact from past correlated trades and a predictable return component to elicit the temporal dependence of the market impact of a single daily meta-order, over a ten day horizon in various equity markets. We find that the impact of single meta-orders is to a first approximation universal a…
CLIP jointly trains an image encoder and a text encoder so matched image–caption pairs are close in a shared space, enabling zero-shot visual classification by text prompts.
Dropout randomly zeroes hidden units during training so the net cannot rely on any single co-adaptation, then scales weights at test time (or uses inverted dropout).
A reserve requirement is the fraction of deposits a bank must hold as reserves — a tool that is now often zero in the US, with liquidity rules doing the real work.
A collar is long stock, long a put, and short a call — a banded payoff, often structured to be zero-debit.
TINA — There Is No Alternative — was the 2010s slogan that zero rates left no choice but equities (or credit), compressing risk premia because cash paid nothing.
Credit Suisse’s March 2023 state-brokered sale to UBS wrote AT1s to zero while common equity kept residual value — a hierarchy shock that repriced the entire AT1 market.
A coupon is the contractual interest payment on a bond — usually a fixed percent of par, sometimes floating, sometimes zero.
A zero-coupon bond pays no coupon and one cash flow at maturity — duration equals maturity, and the whole return is pull-to-par plus yield change.
No-arbitrage is the requirement that you cannot start at zero wealth and reach a nonnegative future payoff that is positive with positive probability — the axiom that gives you a positive state-price density.
CLIP jointly trains an image encoder and a text encoder so matched image–caption pairs are close in a shared space, enabling zero-shot visual classification by text prompts.
A collar is long stock, long a put, and short a call — a banded payoff, often structured to be zero-debit.
A coupon is the contractual interest payment on a bond — usually a fixed percent of par, sometimes floating, sometimes zero.
Credit Suisse’s March 2023 state-brokered sale to UBS wrote AT1s to zero while common equity kept residual value — a hierarchy shock that repriced the entire AT1 market.
Dropout randomly zeroes hidden units during training so the net cannot rely on any single co-adaptation, then scales weights at test time (or uses inverted dropout).
No-arbitrage is the requirement that you cannot start at zero wealth and reach a nonnegative future payoff that is positive with positive probability — the axiom that gives you a positive state-price density.
A reserve requirement is the fraction of deposits a bank must hold as reserves — a tool that is now often zero in the US, with liquidity rules doing the real work.
TINA — There Is No Alternative — was the 2010s slogan that zero rates left no choice but equities (or credit), compressing risk premia because cash paid nothing.
A zero-coupon bond pays no coupon and one cash flow at maturity — duration equals maturity, and the whole return is pull-to-par plus yield change.