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#Volatility
20 OctTue
  1. 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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  2. 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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  3. 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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  4. 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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  5. arXiv q-fin45

    No-Arbitrage Implied Volatility Surface Reconstruction via Additive Martingales

    This paper proposes AddMart, a few-shot implied volatility surface reconstruction framework that embeds no-arbitrage structure into the architecture to achieve global static no-arbitrage, enabling continuous and valid surface generation from a small number of option quotes. Experiments on 10 real-world option datasets show that the framework delivers competitive reconstruction accuracy with no significant static arbitrage violations, and can be directly applied to VaR, CVaR and crash probability estimation.

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  6. arXiv q-fin63

    arXiv Paper: Diagnosing the Incremental Information of Reddit WSB Post Embeddings for Volatility Prediction

    This 9-page paper accepted by ICAIF '26 proposes a diagnostic protocol to examine the true source of incremental information from LLM embeddings of r/WallStreetBets posts for volatility prediction. The study covers panel data of 202,145 mentioned stock-days from 2015 to 2022, using a retrospective rolling out-of-sample test.

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  7. arXiv q-fin31

    Pricing and Hedging Framework for Infinite-Dimensional Financial Markets

    This study extends the classical Black-Scholes market framework to infinite-dimensional scenarios, modeling asset prices with stochastic evolution equations in separable Hilbert spaces, deriving an infinite-dimensional Black-Scholes equation, and establishing exact replication results for strong solutions and asymptotic replication results for weak solutions. The study also introduces Hilbert lattice structures to characterize no-arbitrage conditions, provides sufficient conditions for the existence and uniqueness of equivalent risk-neutral measures, and explicit pricing formulas for some tractable cases; the model can be interpreted as a segmented market composed of a series of one-dimensional geometric Brownian motions.

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  8. arXiv q-fin53

    Research on Inferring Implied Risk-Neutral Density from Irregular Option Quotes

    Published at ICAIF 2026, this study finds that accurate option prices do not necessarily mean accurate recovery of the underlying risk-neutral density. By comparing synthetic simulation benchmarks with out-of-sample NIFTY option benchmarks, the research reveals that the two-component lognormal mixture model demonstrates overall pricing performance on synthetic benchmarks.

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19 OctMon
  1. arXiv q-fin33

    Power-Law Relationship Between Skew and Curvature in Stochastic Volatility Models with Infinite Variation Lévy Jumps

    This paper focuses on the impact of hybrid dynamics (rough volatility and infinite variation Lévy processes) on the implied volatility skew and curvature of at-the-money options. By analyzing the leading terms of their short-time expansions, the origin mechanism of the power-law behavior of skew and curvature can be determined from the hybrid dynamics model. The paper confirms that hybrid models also produce power-law relationships, and the relevant conclusions are crucial for model design and calibration. Numerical evidence for the rough Heston model with CGMY Lévy jumps is also provided.

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  2. arXiv q-fin37

    Merton Consumption-Investment Problem under Different Stochastic Integral Conventions

    This study examines the Merton consumption-investment problem under the Itô, Stratonovich, and Hänggi-Klimontovich conventions, corresponding to stochastic integral convention parameter α = 0, 1/2, and 1, respectively. The study finds that if the drift term is transformed synchronously, the optimal investment strategy is unaffected by the choice of convention; if the drift coefficient value is fixed, the investor's opportunity set will change. Under logarithmic utility, consumption decisions are unaffected, but the optimal portfolio weights shift, and the stochastic integral convention cannot be identified using return data alone.

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  3. arXiv q-fin55

    arXiv Paper: Weak-Form Efficiency Tests of the Full-History Market Capitalization Distribution of Crypto Assets

    Antonis Ballis and Christos Ioannidis released a working paper on arXiv, using a sample of all 8,970 crypto assets and 690 weekly cross-sections from 2013 to 2026 to directly observe asset entry, exit, and survival, and to test the weak-form efficiency symmetry constraints of the Markov chain for the crypto asset market capitalization distribution.

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  4. arXiv q-fin35

    Pricing Generalized Discrete Swaps under Multi-Asset Stochastic Volatility Models

    This paper proposes a generalized variance framework based on the determinant of the instantaneous covariance matrix of asset log returns for pricing multi-asset discrete swaps, which captures the joint discreteness of multivariate asset returns while accounting for their dependence structure. The framework is constructed under Heston and Barndorff-Nielsen-Shephard (BNS) stochastic volatility models, deriving analytical pricing expressions for the three-asset Heston model and tractable approximations for the corresponding BNS model.

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  5. Bank for International Settlements BIS: Research papers54

    BIS Working Paper: Competition Channels for Cross-Border Payments — Banks, Fintechs, and Stablecoins

    The Bank for International Settlements released Working Paper No. 1385, which compares the total costs of three cross-border payment channels: traditional correspondent banking and SWIFT-based bank transfers, fintech remittance operators such as Wise and Remitly, and stablecoin transfers. The study combines intraday fintech pricing, World Bank remittance data, bank transfer transactions, and crypto market data to construct comparable cost indicators across currencies and remittance sizes, distinguishing between foreign exchange markups and explicit fees.

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18 OctSun
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  1. Quantocracy37

    Quantocracy's latest roundup of quantitative research links as of October 14, 2026.

    Quantocracy released its latest roundup of quantitative research links on October 14, 2026, featuring multiple research pieces and content related to the quantitative field. These include an out-of-sample evaluation study of Hidden Markov Model (HMM) market state identification, an analysis of the impact of complexity on strategy performance, and research on cross-sectional momentum ranking methods. The related research covers backtest results across different sample periods and discussions of strategy logic.

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14 OctWed
13 OctTue
  1. QuantLib：GitHub Releases49

    QuantLib 1.44 Released

    QuantLib 1.44 has been officially released, available for download as both QuantLib-1.44.tar.gz and QuantLib-1.44.zip. This version removes features deprecated in version 1.39, adds several new features, and deprecates a batch of features that will be removed in a future version (expected to be 1.49). This version can still be tested with Visual C++ 2017, but subsequent versions may no longer support this compiler.

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  2. Quantocracy32

    Quantocracy Latest Quantitative Research Links Roundup (October 12, 2026)

    Quantocracy compiled recent quantitative content on October 12, 2026, covering an introduction to Quant Observer, a quantitative tools directory platform; a historical effectiveness analysis of excess returns from insider buying; a backtest of volatility clustering effects in S&P 500 constituents from 2006 to 2025; a guide to building a multi-asset, multi-timeframe trading pipeline; and AI answers on the replicability of empirical finance research.

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11 OctSun
  1. Moontower54

    Moontower Launches Verticals Workflow for Scanning Vertical Spreads and Comparing Volatility-Adjusted Returns Across Underlying Assets

    Moontower has released the Verticals workflow, which allows directional traders to scan across underlying assets for the most cost-effective vertical spreads at a given displacement. Users can select the expiration date and displacements of ±0.5, ±1, or ±1.5 standard deviations. The system calculates the target strike price based on the underlying asset's own volatility surface and returns the tightest vertical spread constructed from adjacent strikes, which will be fully in-the-money if the stock price reaches the target at expiration.

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8 OctThu
  1. Alpha Architect69

    How Tail Risk Projects Survive the Waiting Period: From Two Failure Cases to an Eight-Step Due Diligence Framework

    This article treats the holding costs, behavioral pressures, and governance burdens of tail risk hedging during calm periods as design constraints rather than post-hoc inconveniences. The authors first break down three types of "bleeding" sources: direct holding costs, opportunity costs, and evaluation pressure, and provide a table of cumulative sleeve losses for different annualized carry rates over 3 to 15 years, as well as a table of portfolio-level annual drag converted by sleeve weight.

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6 OctTue
  1. Quantocracy24

    Quantocracy's Roundup of Quantitative Research Links for October 5, 2026

    Quantocracy has compiled recent quantitative research-related links as of October 5, 2026, covering 5 quantitative research pieces on different topics. The content includes a study on the century-long history of meme stocks, methods for constructing statistically valid backtests, market reactions following analyst downgrades, a comparison of 200-day moving average and volatility targeting strategies, and an introduction to the Orthogonal Clustering Risk Parity (OCRP) strategy.

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5 OctMon
  1. Quantpedia62

    A century of meme stock research: identifying speculative characteristics using market data, with a weekly portfolio achieving a five-factor plus momentum alpha of 11.5% annualized

    The SSRN paper "A Century of Meme Stocks and the Price of Coordination" proposes training machine learning models using market and company data to identify meme stocks, extending the traceable "memeness" indicator back to 1926.

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4 OctSun
  1. Moontower51

    Moontower Recaps Robinhood Summit Options Education: Kelly Criterion, Directional Value of Options, and Analysis of Unusual INTC Options Flow

    The author participated in an options buying education session and a roundtable for trading platform data providers at the Robinhood 2026 Summit in Houston, recapping the Kelly Criterion supporting course, the profit and loss comparison logic of buying options versus holding the underlying stock, and the analytical approach for unusual INTC options flow.

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1 OctThu
  1. Quantocracy31

    Quantocracy Latest Quantitative Research Link Roundup for September 30, 2026

    Quantocracy released its latest roundup of quantitative research links on September 30, 2026, covering areas such as quantitative strategy replication, machine learning cross-sectional factors, quantitative trading podcast analysis, and correlation and volatility research. This includes the launch of the Quantpedia Awards 2027 competition, a replication of the intraday momentum strategy proposed by Gao et al. in 2018, and a systematic summary of the 335th episode of a quantitative trading podcast.

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30 SeptWed
  1. Deribit Insights38

    Block Scholes Week 40 Crypto Derivatives Market Analysis Report

    Block Scholes has released its Week 40 crypto derivatives market analysis report, noting that against a macro backdrop of rising oil prices, the ongoing U.S.-Iran Strait of Hormuz standoff, and deepening U.S. Treasury sell-offs, BTC prices have consolidated in the $82,000 to $84,000 range, while spot BTC and ETH ETFs have recorded net capital inflows for over 7 consecutive days.

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17 SeptThu
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27 AugThu
  1. Deribit Insights40

    Block Scholes Weekly Crypto Derivatives Analysis: Week 35

    Block Scholes released its Week 35 crypto derivatives market review. Influenced by the U.S. Treasury's plan to expand Treasury repo operations and Trump pushing the Senate to pass the Clarity Act, BTC rose 20% over the past week, with its current price breaking through $80,000, and ETH rose 30%. The three major sentiment indicators in the derivatives market have repriced along with spot market movements. Options skew has turned positive, call option premiums have appeared in contracts with tenors of 7 days or more, funding rates remain positive, and the futures term structure is inverted.

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14 JulTue
22 SeptMon
  1. Bridgewater: Research & Insights52

    Bridgewater: Inflation Risks Enter a New Era of Structural Uptrend

    Bridgewater released a research report, arguing that the inflation center in the post-pandemic era has risen compared with that before the pandemic, 2% is more like a bottom than an upper limit, and the distribution of inflation outcomes is wider and skewed upward. The report compares the current environment with that in the 2010s, pointing out that restraining factors such as China's export of low-priced goods, shale oil production, and post-crisis deleveraging have weakened; while the medium-term expansion deficit of about 7% of US GDP, the compromised independence of the Federal Reserve, tariffs and trade restructuring, potential depreciation of the US dollar, and AI power and commodity demand constitute structural inflationary pressures.

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