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20 OctTue
  6. News Search: Domestic Futures Exchange Rules34

    DCE adjusts invoice types for live hog futures delivery to enhance representativeness of futures prices

    The Dalian Commodity Exchange (DCE) has adjusted the invoice types for live hog futures delivery to enhance the representativeness of futures prices. This adjustment was announced by the domestic futures exchange, and the rule changes will affect invoice requirements in the live hog futures delivery process.

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  8. News Search: Domestic Futures Exchange Rules15

    SHFE approves Jiangsu Binxin Iron & Steel Group Co., Ltd. to adjust pickup locations for its rebar futures delivery warehouse

    The Shanghai Futures Exchange (SHFE) has approved Jiangsu Binxin Iron & Steel Group Co., Ltd. to adjust the pickup locations for its rebar futures delivery warehouse. This approval is for the adjustment of pickup locations for the company's rebar futures delivery warehouse; the specific adjusted pickup locations and effective date have not been disclosed.

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  9. News Search: Domestic Futures Exchange Rules19

    Latest trading margin ratios for all varieties effective from the October 19 settlement

    The latest trading margin ratios for all varieties in the domestic futures market will be implemented starting from the October 19 settlement, as published by 10jqka Finance. This adjustment covers all listed trading varieties in the domestic futures market; the specific margin ratio values for each variety are not listed in this disclosure.

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  12. SEC: Press Release36

    SEC Signs Regulatory Cooperation MOU with France's AMF to Strengthen Cross-Border Oversight of Investment Advisers and Investment Service Providers

    The U.S. Securities and Exchange Commission (SEC) and France's Autorité des marchés financiers (AMF) announced on October 20, 2026, the signing of a Memorandum of Understanding (MOU) on regulatory cooperation, establishing a framework for cross-border regulatory consultation, collaboration, and information sharing. The MOU covers investment advisers, investment companies, and investment service providers operating in both the U.S. and France and regulated by either authority. It will facilitate AMF-regulated asset management firms conducting business in the U.S. as investment advisers, with the SEC processing new and pending registration applications from relevant firms under this arrangement.

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  13. SEC: Press Release25

    SEC and Japan Financial Services Agency (FSA) Hold Autumn Financial Regulatory Dialogue

    The U.S. Securities and Exchange Commission (SEC) and Japan Financial Services Agency (FSA) held their autumn financial regulatory dialogue in Tokyo on October 19, 2026, led by SEC Commissioner Mark T. Uyeda and FSA Deputy Commissioner for International Affairs MIYOSHI Toshiyuki. The two sides exchanged views on cross-border regulatory topics including recent market developments, public and private market trends, asset management, and regulatory innovation. The next dialogue is scheduled to take place in Washington, D.C. in spring 2027.

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  15. Alpha Architect55

    Deconstructing Stock Price Bubbles: Combining Fundamentals and Speculative Factors — Insights from New Research by Andreasen and Bro

    Alpha Architect interprets a 2026 paper by Andreasen and Bro published in the Review of Finance. The study combines traditional valuation data with investor expectation surveys to propose a new method for distinguishing between fundamental-driven price increases and speculative bubbles.

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  17. CFA Institute Research and Policy Center: Publications40

    2026 Marsh CFA Institute Global Pension Index

    The 2026 Marsh CFA Institute Global Pension Index is released by Marsh in partnership with the CFA Institute and the Monash Centre for Financial Studies, covering 55 retirement income systems worldwide. It uses adequacy (40% weight), sustainability (35% weight), and integrity (25% weight) as core evaluation dimensions.

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  18. Hong Kong Monetary Authority: Press Releases25

    The Ministry of Finance Issued RMB Treasury Bonds through the Hong Kong Monetary Authority's Central Moneymarkets Unit

    The Ministry of Finance will issue RMB treasury bonds through the Hong Kong Monetary Authority's Central Moneymarkets Unit. The tender announcement, tender information memorandum, and tender-related information provided by the issuance and custodian agent for this issuance have all been simultaneously released as attachments.

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  19. Hong Kong Monetary Authority: Press Releases22

    Hong Kong Monetary Authority Announces Tender Results for Exchange Fund Bills on October 20, 2026 and Tender Arrangements for October 27

    The Hong Kong Monetary Authority announced the tender results for three Exchange Fund Bills (EF Bills) on October 20, 2026, namely issues Q2642, H2671, and Y2696, with key tender data including allocated amounts, accepted yields, and pro-rata allotment ratios disclosed. It also announced that tenders for Exchange Fund Bills of issues Q2643 and H2671 will be held on October 27, 2026, with a total planned issuance amount of HK$80,782 million.

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  23. arXiv q-fin31

    Optimal Loss Allocation and Reflected Free Boundaries in Systemic Risk

    This study focuses on the allocation of bank default losses without external capital injection, proving that for all non-decreasing concave terminal payoffs, the "tax the richest" truncation rule is optimal. The study constructs a continuous-time optimal solution through time discretization, characterizes the optimal flow as a novel reflected free boundary problem, and proves the positive time smoothness of the free boundary and the density of surviving banks.

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  24. arXiv q-fin58

    Buy the Rumor, Sell the News: When News Gets Priced In

    Based on 4.57 million news articles covering approximately 3,000 US stocks from 2023 to 2026, the paper uses a compact classifier distilled from a large model teacher to label news with 17 event categories and 5 attributes, clustering them into 1.68 million stock-day events, of which 364,405 are neutral sentiment events serving as a placebo.

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  25. arXiv q-fin38

    Robustness over Efficiency in Climate Coalitions: Bistability and an Architecture Map

    Juergen Renn of the Max Planck Institute for the Science of Human History constructed a game-theoretic model of climate coalition formation with dual registration channels, finding that the model exhibits bistability when the channels are sufficiently strong, with a critical mass separating a residual club from a near-universal coalition.

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  26. arXiv q-fin45

    Trading Frictions in Dynamic Cap-and-Trade Markets

    A study based on 2.8 million EU ETS trades and compliance records from 2005 to 2022 shows that 37% of regulated operators in the world’s largest carbon market do not participate in trading each year, and this phenomenon persists. Trading concentrates in the April compliance month, when returns are systematically higher, operator order flow can predict returns, and this effect is concentrated among frequent traders. A model incorporating market entry costs, limited intermediation, and heterogeneous information can explain these features. Staggering compliance deadlines into four groups can reduce the compliance-month premium by 58% without changing the overall cap.

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  27. arXiv q-fin45

    Research on Conditionally Identifiable Latent Representation Methods for Multivariate Time Series with Structural Dynamics

    The study proposes the Identifiable Variational Dynamic Factor Model (iVDFM) for multivariate time series modeling. The model combines variational inference to provide partial identifiability guarantees within a known fuzzy class range. The model's innovation terms are conditioned on observed auxiliary context and mechanism embeddings, follow a conditional exponential family prior, and are trained by maximizing the ELBO to estimate uncertainty in latent trajectories and predictions. This research has been published in the ProbML 2026 conference proceedings, and the code is open source.

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  28. arXiv q-fin32

    Research on Branching Signature Models

    The paper proposes a branching signature model that generalizes the classical geometric rough path based on the branching rough path framework, proving its universal approximation theorem, which can approximate high-level signatures through iterative combinations of low-level signature mappings. The model can explicitly extend the original path to a high-dimensional space via the mapping Ψ, implementing it as the classical geometric signature of the extended path, and its effectiveness is verified in two applications: rough volatility calibration and optimal execution.

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  29. arXiv q-fin54

    Partial Identification of FIFO Passive Execution under Aggregated Order Books: Different Fill Outcomes from the Same Book

    This arXiv paper defines the recovery of tick-level queue history from aggregated L2 limit order book snapshots as a conditional partial identification problem. It constructs a path-preserving compiler that only varies among three cancellation allocation rules—front-of-queue, quantity-weighted random, and back-of-queue—while fixing the aggregated path, reconciled market removals, latent order partitioning, and new order arrivals.

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  30. arXiv q-fin40

    Arbitrage-Aware Probabilistic Multi-Step Forecasting of the Implied Volatility Surface: Jointly Generating Surface-Return Trajectories with Latent Diffusion

    The study proposes a conditional latent diffusion framework that jointly generates 30-step trajectories of the implied volatility surface and underlying returns. It learns surface representations through an arbitrage-aware autoencoder, with the diffusion process capturing the evolution dynamics. The framework is evaluated on the SPX surface dataset and can generate realistic probabilistic multi-step scenarios, with its forecast mean outperforming the persistence benchmark for horizons beyond the shortest maturity.

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  31. arXiv q-fin67

    Conformal Kelly: Why Economic Performance Fails to Materialize When Marginal Coverage Targets Are Met

    The paper proposes using the half-width of conformal prediction intervals as a scaling measure for fractional Kelly position sizing with a leverage cap, and tests this rule under a pre-registered protocol. During the development phase, an autonomous LLM agent searched approximately 200 configurations on a 2016-2021 sample of 8 U.S. equity ETFs, with subsequent data sealed before the search, and the final configuration, 9 comparison portfolios, and conclusion mapping all registered before unsealing.

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  32. arXiv q-fin46

    A Latent Flow Matching Method for Arbitrage-Aware Implied Volatility Surface Generation

    This paper proposes an arbitrage-aware latent flow matching framework for unconditional generation of implied volatility surfaces. The framework first compresses high-dimensional surfaces into a low-dimensional latent space using a variational autoencoder with differentiable penalty regularization for calendar spreads, call spreads, and butterfly arbitrage. A flow matching model then learns to map a Gaussian prior to the empirical latent distribution, which is finally decoded back to a volatility surface. This method can generate 90.8% of surfaces that satisfy all tested static no-arbitrage conditions, performs best in the extreme Q99 range, and balances distributional similarity, tail preservation, and financial consistency without post-sampling reweighting.

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  33. arXiv q-fin39

    Optimal Control Study of Ethena's Yield-Bearing Stablecoin

    This study formulates and solves a stochastic control problem for Ethena protocol's core yield strategy, which generates returns through a delta-neutral combination of long stETH positions and short ETH perpetual contracts of equal size. The model takes the rate of simultaneously buying stETH and shorting perpetual contracts as the control variable, incorporating both permanent price impact and temporary execution slippage. The study solves both the infinite-horizon discounted problem and the finite-horizon problem with terminal liquidation costs, obtaining explicit optimal control solutions in both cases.

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  34. arXiv q-fin34

    Coherent Risk Research under Finite Models

    This research in quantitative financial risk management proves that when estimates remain unchanged after replicating all scenarios, binary estimators can accurately describe the same population risk and recover the population dual set from finite models. The study derives Wasserstein, Kolmogorov, and total variation norms under bounded support based on Bernoulli loss risk, characterizes uniform estimability, provides impossibility bounds for arbitrary stochastic estimators, and further derives uniform regret bounds for data-driven risk-averse optimization, with applications in stop-loss retention scenarios.

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  35. arXiv q-fin53

    A Study Based on a Sample of U.S. Stocks from 1999 to 2024: Disagreement and Compliance Classification Dynamics Across Different Islamic Finance Screening Rules

    This arXiv paper applies 7 sets of Islamic finance screening rules to a sample of 1.34 million monthly observations of U.S. securities from 1999 to 2024, and backtests and compares them on a unified threshold-anchored scale. The results show that the disagreement across the sets of rules reaches 35.9% across all compliant industry observations, and the disagreement in financial ratio screening alone reaches 47.3%. Under AAOIFI's market value denominator rule, changes in market value alone are sufficient to explain 65.6% of non-compliance events, and half of the denominator-driven non-compliances reverse within 3 months.

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  36. arXiv q-fin33

    On the Utility Problem in Markets with Instantaneous Price Impact

    For a discrete-time financial market model with trades having instantaneous price impact, the existence of a solution to the corresponding utility maximization problem is proven. This study removes the unnatural restrictions on market depth and resilience processes present in earlier work, with the non-standard feature of this problem being that the set of attainable portfolio values may not satisfy convexity.

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  37. arXiv q-fin31

    Time as Knowledge: Response Times in Binary Response Models

    This study proposes a general theoretical framework for identifying economically relevant latent variables such as willingness to pay and preference intensity through response time data, unifying and extending existing literature conclusions. The framework can be applied to three empirical scenarios: identifying optimal nudges, testing diminishing marginal happiness of income, and predicting processing heterogeneity.

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  38. arXiv q-fin40

    Identifying Belief Biases

    This study proposes a unified theoretical model that can identify and test a full set of probability updating biases within a single framework, focusing on belief distribution updates rather than point beliefs. Estimates from laboratory experiments show that the hot-hand fallacy is the most common bias and a key driver of biased reasoning. Most biases cancel out at the aggregate level, but base-rate neglect persists.

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  39. arXiv q-fin53

    Exact Risk Calculation for Candidate Scoring Decision Models: Analysis of the Impact of Teacher Supervision, Fixed Representations, and Calibration

    A new arXiv paper uses Gaussian surrogate models to precisely calculate the finite-sample risk of candidate scoring decision models, analyzing the boundaries of the role of three training elements: teacher soft targets, frozen pre-trained backbones, and temperature calibration. The paper points out that after a student model inherits teacher bias, more student data cannot eliminate that bias; fixed representations only reduce risk below an explicit sample size threshold; under the probit model, exact recalibration maps to temperature scaling, and can only eliminate all excess risk when the direction of the teacher's coefficients is correct.

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  40. arXiv q-fin46

    Research on cooperative multi-agent reinforcement learning for market making in prediction market order books

    The study addresses market-making challenges in Polymarket's thin order books, using the JaxMARL-HFT framework to train cooperative multi-agent market-making models on 417 real markets. The market-making agents are split into quoters and risk managers, trained using recurrent independent proximal policy optimization (IPPO) combined with RNN policies. Testing showed that the improved single-agent market-making model quoted more frequently and had smaller out-of-sample losses, but none of the models achieved positive average portfolio value in out-of-sample evaluation, with only single-seed training completed.

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