Playlist

Trading & Markets

Trading algorithms, market microstructure, and quantitative finance

PaperCast•56 episodes•about 9 hr
Investigating Conditional Restricted Boltzmann Machines in Regime Detection
Investigating Conditional Restricted Boltzmann Machines in Regime Detection

Siddhartha Srinivas Rentala

9:54•No ratings
Chaos, Ito-Stratonovich dilemma, and topological supersymmetry
Chaos, Ito-Stratonovich dilemma, and topological supersymmetry

Igor V. Ovchinnikov

10:22•No ratings
Modelling financial time series with $φ^{4}$ quantum field theory
Modelling financial time series with $φ^{4}$ quantum field theory

Dimitrios Bachtis et al.

11:22•No ratings
Universal Dynamics of Financial Bubbles in Isolated Markets: Evidence from the Iranian Stock Market
Universal Dynamics of Financial Bubbles in Isolated Markets: Evidence from the Iranian Stock Market

Ali Hosseinzadeh

7:48•No ratings
On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model

Emmanuel Gnabeyeu et al.

9:28•No ratings
Exploratory Mean-Variance with Jumps: An Equilibrium Approach
Exploratory Mean-Variance with Jumps: An Equilibrium Approach

Yuling Max Chen et al.

8:51•No ratings
On the existence of personal equilibria
On the existence of personal equilibria

Laurence Carassus & Miklós Rásonyi

10:26•No ratings
Detrended cross-correlations and their random matrix limit: an example from the cryptocurrency market
Detrended cross-correlations and their random matrix limit: an example from the cryptocurrency market

Stanisław Drożdż et al.

12:03•No ratings
Thermodynamic description of world GDP distribution over countries
Thermodynamic description of world GDP distribution over countries

Klaus M. Frahm & Dima L. Shepelyansky

9:17•No ratings
Coordinated Mean-Field Control for Systemic Risk
Coordinated Mean-Field Control for Systemic Risk

Toshiaki Yamanaka

11:10•No ratings
Arbitrage-Free Option Price Surfaces via Chebyshev Tensor Bases and a Hamiltonian Fog Post-Fit
Arbitrage-Free Option Price Surfaces via Chebyshev Tensor Bases and a Hamiltonian Fog Post-Fit

Robert Jenkinson Alvarez

8:42•
(1)
Bayesian Distributionally Robust Merton Problem with Nonlinear Wasserstein Projections
Bayesian Distributionally Robust Merton Problem with Nonlinear Wasserstein Projections

Jose Blanchet et al.

8:02•No ratings
The Necessity of Imperfection:Reversing Model Collapse via Simulating Cognitive Boundedness
The Necessity of Imperfection:Reversing Model Collapse via Simulating Cognitive Boundedness

Zhongjie Jiang

7:43•No ratings
Autodeleveraging: Impossibilities and Optimization
Autodeleveraging: Impossibilities and Optimization

Tarun Chitra

9:20•No ratings
The Endogenous Constraint: Hysteresis, Stagflation, and the Structural Inhibition of Monetary Velocity in the Bitcoin Network (2016-2025)
The Endogenous Constraint: Hysteresis, Stagflation, and the Structural Inhibition of Monetary Velocity in the Bitcoin Network (2016-2025)

Hamoon Soleimani

9:25•
(1)
Early-Warning Signals of Political Risk in Stablecoin Markets: Human and Algorithmic Behavior Around the 2024 U.S. Election
Early-Warning Signals of Political Risk in Stablecoin Markets: Human and Algorithmic Behavior Around the 2024 U.S. Election

Kundan Mukhia et al.

8:03•No ratings
Equilibrium Investment with Random Risk Aversion: (Non-)uniqueness, Optimality, and Comparative Statics
Equilibrium Investment with Random Risk Aversion: (Non-)uniqueness, Optimality, and Comparative Statics

Cheng Weilun et al.

9:48•No ratings
Convergence Rates of Turnpike Theorems for Portfolio Choice in Stochastic Factor Models
Convergence Rates of Turnpike Theorems for Portfolio Choice in Stochastic Factor Models

Hiroki Yamamichi

8:54•No ratings
Stochastic Dominance Constrained Optimization with S-shaped Utilities: Poor-Performance-Region Algorithm and Neural Network
Stochastic Dominance Constrained Optimization with S-shaped Utilities: Poor-Performance-Region Algorithm and Neural Network

Zeyun Hu & Yang Liu

9:32•No ratings
Responsible LLM Deployment for High-Stake Decisions by Decentralized Technologies and Human-AI Interactions
Responsible LLM Deployment for High-Stake Decisions by Decentralized Technologies and Human-AI Interactions

Swati Sachan et al.

7:29•No ratings
Signature approach for pricing and hedging path-dependent options with frictions
Signature approach for pricing and hedging path-dependent options with frictions

Eduardo Abi Jaber et al.

8:52•No ratings
Beta-Dependent Gamma Feedback and Endogenous Volatility Amplification in Option Markets
Beta-Dependent Gamma Feedback and Endogenous Volatility Amplification in Option Markets

Haoying Dai

12:04•No ratings
Adaptive Dueling Double Deep Q-networks in Uniswap V3 Replication and Extension with Mamba
Adaptive Dueling Double Deep Q-networks in Uniswap V3 Replication and Extension with Mamba

Zhaofeng Zhang

12:00•No ratings
Black-Litterman and ESG Portfolio Optimization
Black-Litterman and ESG Portfolio Optimization

Aviv Alpern & Svetlozar Rachev

8:58•No ratings
Portfolio Optimization via Transfer Learning
Portfolio Optimization via Transfer Learning

Kexin Wang et al.

9:43•No ratings
Limit Order Book Dynamics in Matching Markets: Microstructure, Spread, and Execution Slippage
Limit Order Book Dynamics in Matching Markets: Microstructure, Spread, and Execution Slippage

Yao Wu

6:33•No ratings
Carbon-Penalised Portfolio Insurance Strategies in a Stochastic Factor Model with Partial Information
Carbon-Penalised Portfolio Insurance Strategies in a Stochastic Factor Model with Partial Information

Katia Colaneri et al.

9:45•No ratings
Re(Visiting) Time Series Foundation Models in Finance
Re(Visiting) Time Series Foundation Models in Finance

Eghbal Rahimikia et al.

10:42•No ratings
Reinforcement Learning for Portfolio Optimization with a Financial Goal and Defined Time Horizons
Reinforcement Learning for Portfolio Optimization with a Financial Goal and Defined Time Horizons

Fermat Leukam et al.

7:25•No ratings
Hybrid LSTM and PPO Networks for Dynamic Portfolio Optimization
Hybrid LSTM and PPO Networks for Dynamic Portfolio Optimization

Jun Kevin & Pujianto Yugopuspito

10:53•No ratings
Emergence of Randomness in Temporally Aggregated Financial Tick Sequences
Emergence of Randomness in Temporally Aggregated Financial Tick Sequences

Silvia Onofri et al.

8:39•No ratings
Scaling Conditional Autoencoders for Portfolio Optimization via Uncertainty-Aware Factor Selection
Scaling Conditional Autoencoders for Portfolio Optimization via Uncertainty-Aware Factor Selection

Ryan Engel et al.

9:52•No ratings
Financial Information Theory
Financial Information Theory

Miquel Noguer i Alonso

8:07•No ratings
Reinforcement Learning in Queue-Reactive Models: Application to Optimal Execution
Reinforcement Learning in Queue-Reactive Models: Application to Optimal Execution

Tomas Espana et al.

11:10•No ratings
Market-Dependent Communication in Multi-Agent Alpha Generation
Market-Dependent Communication in Multi-Agent Alpha Generation

Jerick Shi & Burton Hollifield

10:05•No ratings
Stationary Distributions of the Mode-switching Chiarella Model
Stationary Distributions of the Mode-switching Chiarella Model

Jutta G. Kurth & Jean-Philippe Bouchaud

7:39•No ratings
A Practical Machine Learning Approach for Dynamic Stock Recommendation
A Practical Machine Learning Approach for Dynamic Stock Recommendation

Hongyang Yang et al.

11:19•No ratings
Deep Reinforcement Learning for Automated Stock Trading: An Ensemble Strategy
Deep Reinforcement Learning for Automated Stock Trading: An Ensemble Strategy

Hongyang Yang et al.

9:38•No ratings
On non-uniqueness of solutions to degenerate parabolic equations in the context of option pricing in the Heston model
On non-uniqueness of solutions to degenerate parabolic equations in the context of option pricing in the Heston model

Ruslan R. Boyko

12:44•No ratings
Forecast-to-Fill: Benchmark-Neutral Alpha and Billion-Dollar Capacity in Gold Futures (2015-2025)
Forecast-to-Fill: Benchmark-Neutral Alpha and Billion-Dollar Capacity in Gold Futures (2015-2025)

Mainak Singha et al.

8:10•No ratings
Forecasting implied volatility surface with generative diffusion models
Forecasting implied volatility surface with generative diffusion models

Chen Jin & Ankush Agarwal

9:02•No ratings
Push-response anomalies in high-frequency S&P 500 price series
Push-response anomalies in high-frequency S&P 500 price series

Dmitrii Vlasiuk & Mikhail Smirnov

8:57•No ratings
Numerical valuation of European options under two-asset infinite-activity exponential Lévy models
Numerical valuation of European options under two-asset infinite-activity exponential Lévy models

Massimiliano Moda et al.

8:28•No ratings
An Impulse Control Approach to Market Making in a Hawkes LOB Market
An Impulse Control Approach to Market Making in a Hawkes LOB Market

Konark Jain et al.

11:54•No ratings
A mathematical study of the excess growth rate
A mathematical study of the excess growth rate

Steven Campbell & Ting-Kam Leonard Wong

8:13•No ratings
The Omniscient, yet Lazy, Investor
The Omniscient, yet Lazy, Investor

Stanisław M. S. Halkiewicz

8:58•No ratings
Building Trust in Illiquid Markets: an AI-Powered Replication of Private Equity Funds
Building Trust in Illiquid Markets: an AI-Powered Replication of Private Equity Funds

E. Benhamou et al.

7:18•No ratings
Simultaneously Solving Infinitely Many LQ Mean Field Games In Hilbert Spaces: The Power of Neural Operators
Simultaneously Solving Infinitely Many LQ Mean Field Games In Hilbert Spaces: The Power of Neural Operators

Dena Firoozi et al.

8:49•No ratings
An Empirical study on Mutual fund factor-risk-shifting and its intensity on Indian Equity Mutual funds
An Empirical study on Mutual fund factor-risk-shifting and its intensity on Indian Equity Mutual funds

Rajesh ADJ Jeyaprakash et al.

5:32•No ratings
Semi-analytical pricing of American options with hybrid dividends via integral equations and the GIT method
Semi-analytical pricing of American options with hybrid dividends via integral equations and the GIT method

Andrey Itkin

7:13•No ratings
A Mixed-Form PINNS (MF-PINNS) For Solving The Coupled Stokes-Darcy Equations
A Mixed-Form PINNS (MF-PINNS) For Solving The Coupled Stokes-Darcy Equations

Li Shan & Xi Shen

8:50•No ratings
Trading with the Devil: Risk and Return in Foundation Model Strategies
Trading with the Devil: Risk and Return in Foundation Model Strategies

Jinrui Zhang

7:09•No ratings
ESG Signaling on Wall Street in the AI Era
ESG Signaling on Wall Street in the AI Era

Qionghua Chu

8:11•No ratings
Comparing LLMs for Sentiment Analysis in Financial Market News
Comparing LLMs for Sentiment Analysis in Financial Market News

Lucas Eduardo Pereira Teles & Carlos M. S. Figueiredo

8:36•No ratings
Rolling intrinsic for battery valuation in day-ahead and intraday markets
Rolling intrinsic for battery valuation in day-ahead and intraday markets

Daniel Oeltz & Tobias Pfingsten

6:56•No ratings
Mean-field theory of the Santa Fe model revisited: a systematic derivation from an exact BBGKY hierarchy for the zero-intelligence limit-order book model
Mean-field theory of the Santa Fe model revisited: a systematic derivation from an exact BBGKY hierarchy for the zero-intelligence limit-order book model

Taiki Wakatsuki & Kiyoshi Kanazawa

7:29•No ratings