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Research from arXiv, SSRN, and large funds: prioritize papers that provide data, code, and out-of-sample tests.

124 related activitiesLast 30 days 97 itemsFeatured among them 1 items

Updated

Activity Archive · Page 4 页

19 OctMonIssue 61–80 items
  1. arXiv q-fin55

    Portfolio Arbitrage in Prediction Markets: Empirical Analysis Based on the Polymarket Order Book

    This study proposes a framework for identifying and quantifying arbitrage opportunities between logically related prediction market contracts, demonstrating that arbitrage exists when prices fall outside the convex hull of feasible return vectors, and solving for the optimal arbitrage portfolio via integer programming. The study recovered 1.9 million logical relationships through semantic analysis of platform metadata and settlement rules, constructing a constraint system covering more than 255,000 contracts.

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  2. arXiv q-fin51

    arXiv Paper: Basis-Only Funding Rates Cannot Achieve Dividend Fairness — Settlement Design for Crypto-Equity Perpetuals

    This 16-page paper, accepted by MARBLE 2026, argues that crypto-exchange stock-like perpetual contracts calculate funding rates from the real-time basis and cannot replicate shareholder dividend cash flows for traders entering or exiting at arbitrary times. The authors derive a fair funding-rate identity, convert point-in-time fairness into an optimal stopping condition, and use measure theory to show that predictable dividends are atomic events. Absolutely continuous funding-rate paths cannot replicate this atom over a holding interval and must be matched with discrete event credits.

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  3. arXiv q-fin36

    Sanctions in a Multipolar World: The Role of Neutral Third Parties

    The paper constructs a three-party theoretical model of trade sanctions involving the sanctioning party, the target party, and a neutral third party, deriving three core conclusions: alliance members typically set different tariffs under Stackelberg timing or imperfect transfer payments; as sanctions tighten, the sanctioning party's welfare may exceed the optimal level under unilateral terms of trade; and when the sanctioning party and the target party compete for the support of a neutral third party, the feasible range of sanctions targets can be clearly defined. The model is applied to a calibrated analysis of sanctions on Russian crude oil, showing that if China and India take unilateral action or the sanctioning alliance offers better terms, the effectiveness of sanctions can increase by approximately 70%.

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  4. 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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  5. 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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  6. 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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  8. Bank for International Settlements BIS: Research papers48

    Analysis of Inflation Impact After the Iran Conflict

    The Bank for International Settlements (BIS) released a research paper assessing the impact of the Iran conflict on inflation in the euro area, the United Kingdom, and the United States. As of May 2026, the conflict is expected to push up inflation in these regions by a combined 1.5 to 2 percentage points in 2026 and 2027, with rising inflation expectations potentially contributing an additional 0.3 to 0.4 percentage points. The scale and duration of this inflation shock are smaller than those of the 2021-2024 inflation crisis, and long-term inflation expectations remain broadly stable.

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  9. Bank for International Settlements BIS: Research papers28

    BIS Releases Research Papers for the 25th Annual Conference

    The Bank for International Settlements (BIS) has released research papers from its 25th Annual Conference, held on June 26, 2026, in Basel, Switzerland, under the theme 'Central Banking and Macro-Financial Stability in a Fragmented World Economy.' Three papers were published as BIS Working Papers 1384, 1385, and 1386, with a fourth to follow as BIS Working Paper 1387.

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  10. Bank for International Settlements BIS: Research papers53

    BIS Working Paper: Measuring Firms' Responses to Geoeconomic Pressure with Large Language Models

    The Bank for International Settlements (BIS) released Working Paper No. 1386, which proposes an LLM-based reasoning pipeline to identify firms' actions in response to geoeconomic pressure from earnings call transcripts and summarize the underlying logic. Compared with traditional NLP methods, it can extract implicit conditional relationships in the text rather than merely counting keywords.

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16 OctFri
  3. Bank for International Settlements BIS: Research papers51

    BIS Working Paper: How Offshore Non-Deliverable Forward Markets Transmit Exchange Rate Pressure in Emerging Markets

    The Bank for International Settlements (BIS) has released a working paper that studies the transmission effects of offshore NDF markets on onshore spot exchange rates, using centralized clearing NDF transaction-level data for 10 emerging market currencies from 2013 to 2025. The study shows that a $1 billion long USD order flow causes the onshore spot exchange rate to depreciate by approximately 10 basis points, while the offshore NDF exchange rate moves by about 18 basis points, and offshore transactions widen the spread between offshore and onshore rates; when dealer balance sheets are strained, the impact on the spot exchange rate is larger.

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15 OctThu
  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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  2. Bank for International Settlements BIS: Research papers40

    Disruptions of Key Chokepoints and Their Macroeconomic Impact

    A research paper published by the Bank for International Settlements (BIS) points out that geopolitical tensions are increasing the risk of disruptions to key chokepoints in global supply chains. Substitution effects and inventory buffers can mitigate output shocks, but often come with higher input prices. Addressing such disruptions requires tailored policies based on the cause, the criticality of the chokepoint, and the private sector's ability to substitute and buffer.

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14 OctWed
  1. CFA Institute Research and Policy Center: Publications66

    CFA Institute Research: Actual Exposure of Joint Ventures at 50 Large Listed Companies Reaches $612 Billion, Far Exceeding the $351 Billion Disclosed on the Books

    The CFA Institute research team reviewed the 2025 fiscal year financial reports of 50 large global listed companies, finding that their book-disclosed investments in joint ventures totaled $351 billion, while total actual exposure reached $612 billion after reconstructing five layers of exposure. The difference stems from risks not recorded in individual line items, including shareholder loans, guarantees, and unpaid capital contributions.

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  3. Bank for International Settlements BIS: Research papers45

    Money and the Architecture of Trust

    This research paper, published by the Bank for International Settlements (BIS), is based on the credit theory of money. Starting from payment as a fundamental monetary behavior, it outlines four core tensions in the operation of the monetary system and proposes that money is essentially an institutional achievement sustained by trust. The paper applies this framework to the analysis of gold, Bitcoin, and stablecoins. The views expressed are those of the authors and do not necessarily reflect the views of the BIS or its member central banks.

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  4. Google DeepMind33

    How Google DeepMind Is Developing Gemini 4 Argon Responsibly and Safely

    Google DeepMind is advancing the widespread deployment of Gemini 4 Argon while expanding the coverage of trusted cyber defenders in the Fairwind Program. The model solved all 12 scenarios in end-to-end simulated cyberattack tests, a significant improvement from 5 in the previous generation. Its refusal rate for violating requests nearly doubled compared to the previous generation, and violations accounted for only 2% of attempts in coding benchmark tests.

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13 OctTue
  1. 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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