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Every paper Pith has read. Search by title, abstract, or pith.
331 papers in q-fin · page 1
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Drift term improves put-call parity fit on SPX options
The P behind Q: Empirical Evidence from Physical Drift in Put-Call Parity
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Deep learning prices path-dependent convertible bonds
A deep learning approach for pricing convertible bonds with path-dependent reset and call provisions
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Benchmark dataset labels 6,659 rejected trades with five outcomes
RED-2400: A Public Benchmark of Algorithmically-Rejected Trading Events with Outcome Labels
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Filtering equations now cover predictable jumps
Nonlinear filtering with stochastic discontinuities
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Bayesian model links realized volatility to prices for better forecasts
Bayesian Dynamic Modeling of Realized Volatility in Financial Asset Price Forecasting
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Optimal utility stays continuous under price tweaks in cost markets
On convergence of the Mayer problems arising in the theory of financial markets with transaction cost
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Agent graph curvature flags herding 272 steps before prices
GeomHerd: A Forward-looking Herding Quantification via Ricci Flow Geometry on Agent Interactive Simulations
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Polymarket shows single fill-side cluster for all addresses
Fill-Side Non-Retail Trading on Polymarket: An Empirical Study of Behavioral Tiers and Microstructure Signatures Under Quote-Attribution Constraints
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VVG classifier spots MNQ regime days but no strategies survive costs
A Validated Volatility-Volume-Gap Classifier for Regime Identification in MNQ Intraday Data
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Explicit optimal control derived for Ethena yield positions
Optimal Control of the Ethena Yield-Bearing Stablecoin
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Risk principles collapse unless epistemic gaps are isolated
The Epistemic Risk of Risk: A Modal Framework for Quantitative Risk Management
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Covariance between prices and order flow equals value of information
The Value of Information: A Puzzle
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Leverage scales price manipulation but shifts outcome thresholds
Manipulation, Insider Information, and Regulation in Leveraged Event-Linked Markets
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Model checking maps stronger transients to macro-financial parameters in K+S economy
Statistical Model Checking of the Keynes+Schumpeter Model: A Transient Sensitivity Analysis of a Macroeconomic ABM
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Taxonomy defines seven variants of event perpetual futures
A Taxonomy of Event-Linked Perpetual Futures: Variant Designs Beyond the Single-Market Binary Case
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Binary perpetuals need separate halt and margin rules
Resolution-Aware Perpetual Futures on Binary Prediction Markets: An Empirical Risk-Design Framework Using Polymarket Data
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AI boosts solo entries but teams top the charts
Generative AI Fuels Solo Entrepreneurship, but Teams Still Lead at the Top
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HS VaR methods embed specific parametric return models
On the modeling assumptions of Historical Simulation for Value-at-Risk
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Skill premium rise causes one gender to fully invest and the other less
Skill Premia and Pre-Marital Investments in Marriage Markets
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Risk-adjusted metrics favor professional forecasters
Quantifying the Risk-Return Tradeoff in Forecasting
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Contagion drives off-grid solar from spread to fill-in
From Expansion to Consolidation: Socio-Spatial Contagion Dynamics in Off-Grid PV Adoption
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Off-grid solar spreads via contagion that expands then consolidates
From Expansion to Consolidation: Socio-Spatial Contagion Dynamics in Off-Grid PV Adoption
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Dynamic multimodal constraints cut ESG tail pressure in portfolios
Beyond ESG Scores: Learning Dynamic Constraints for Sequential Portfolio Optimization
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Historical GWP data forecasts economic explosion by 2047
On the probability distribution of long-term changes in the growth rate of the global economy: An outside view
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Skew engineering limits downside more than upside to aid drawdown recovery
The Engineering of Skew: A Path-Dependent Framework for Asymmetric Volatility Management
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Rule embedding cuts parameters for imbalance price forecasts
A Market-Rule-Informed Neural Network for Efficient Imbalance Electricity Price Forecasting
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ChatGPT availability leaves high school test scores unchanged
Little Impact of ChatGPT Availability on High School Student Test Score Performance
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Spanish inflation decoupled from money supply growth after 1600
The Phase Structure of Metallic Money: An MPTT Framework for the Spanish Price Revolution
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Retail investors drive comovement in China
The effect of investor-driven information diffusion on excess comovement: Evidence from retail and institutional investors in China and the United States
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Nash equilibria defined from ordinal rankings alone
Nash without Numbers: A Social Choice Approach to Mixed Equilibria in Context-Ordinal Games
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Expected returns shape Black-Scholes-Merton prices
Stochastic Calculus and the Black-Scholes-Merton Model: A Simplified Approach
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Transparency cuts disposition effect in stocks
Corporate transparency and the disposition effect
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Bayesian model contracts to true dynamic correlations at explicit rate
Modeling Dynamic Correlation Matrices with Shrinkage Priors
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Geometry-aware correction refines SABR volatility formula
A Geometry-Aware Residual Correction of Hagan's SABR Implied Volatility Formula
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One adjoint pass yields policy gradients plus all input sensitivities
SNAPO: Smooth Neural Adjoint Policy Optimization for Optimal Control via Differentiable Simulation
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Feedback models bring dynamic causality into economics teaching
Introducing Feedback Thinking and System Dynamics Modeling in Economics Education
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Anchored LSTMs improve longevity forecasts where linear models fail
Neural-Actuarial Longevity Forecasting: Anchoring LSTMs for Explainable Risk Management
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Trade isolation could cut global calories by 22%
Cascading disruptions in natural gas, fertilizers, and crops drive structural food supply vulnerabilities globally
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Funding-aware quotes outperform classical market making in DEX perpetuals
Funding-Aware Optimal Market Making for Perpetual DEXs
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Neural solver tackles high-dimensional PIDEs with single-jump sampling
INEUS: Iterative Neural Solver for High-Dimensional PIDEs
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Hybrid Newton-bisection computes lambda quantiles reliably
Numerical methods for lambda quantiles: robust evaluation and portfolio optimisation
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Migration reduces elderly share in Swiss municipalities
Migration-Driven Demographic Changes: effects on local communities in the canton of Fribourg
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Social media cuts investor disposition effect via negative posts
Does social media information affect individual investor disposition effect? Evidence from Xueqiu
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LLM behavioral scores improve stock agent accuracy 11%
Multi-Dimensional Behavioral Evaluation of Agentic Stock Prediction Systems Using Large Language Model Judges with Closed-Loop Reinforcement Learning Feedback
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Aesthetic quality adds no premium to AI text bids
Artificial Aesthetics: The Implicit Economics of Valuing AI-Generated Text
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Distance-matrix spectra preserve static template during ring collapse
Frustrated Dynamics of Distance Matrices
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Interpolation choices drive caplet stripping instability
What Can Go Wrong During Caplet Stripping ?
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Automation can exceed the social optimum when low-wealth households drive demand
The Demand Externality of Automation
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Risk-constrained collateral stabilizes basis trades
Dynamic Collateral Control for Permissionless Spot Perpetual Basis Trading
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Lithium enrichment turns fusion fuel into capital cost
Lithium enrichment threatens to curb fusion deployment