Robust HVA is the worst-case expected loss in a relative-entropy ball around loss distributions from simulated rebalancing and unwind trades under different no-trade-band rules.
Illiquidity and Stock Returns: Cross-Section and Time-Series Effects , shorttitle =
3 Pith papers cite this work. Polarity classification is still indexing.
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Topological anomaly scores from BallMapper and decoder-conditional VAEs on S&P 500 intraday data predict return curves, showing gradual accumulation, early reversal, and recent-history weighting across assets and frequencies.
Value of information to informed traders equals price-order flow covariance and totals 0.04% of market cap, much less than active management fees.
citing papers explorer
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Robust Hedging Valuation Adjustment under Liquidity--Demand Stress
Robust HVA is the worst-case expected loss in a relative-entropy ball around loss distributions from simulated rebalancing and unwind trades under different no-trade-band rules.
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Cross-sectional topological anomaly scores and intraday return predictability in the S&P 500: A BallMapper, decoder-conditional VAE, and Function-on-Function regression approach
Topological anomaly scores from BallMapper and decoder-conditional VAEs on S&P 500 intraday data predict return curves, showing gradual accumulation, early reversal, and recent-history weighting across assets and frequencies.
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The Value of Information: A Puzzle
Value of information to informed traders equals price-order flow covariance and totals 0.04% of market cap, much less than active management fees.