When two forecasts of a tail, such as prediction intervals at high coverage, extreme quantiles or expected shortfall (ES), are compared by a consistent score, the score difference is known in advance except on the days on which the outcome falls beyond a forecast. The number of these exceedances, no
We study coordinated groups of wallets on a bonding-curve launchpad (pump.fun on Solana), using a complete record of 200,443 token launches, 15,854,121 curve trades and 51,025,958 SOL transfers over 88.3 hours. A prospective, multi-channel discovery procedure (co-buying, shared funding, joint s
We establish multidimensional exponential convergence of the lifted Bass gradient flow in martingale optimal transport. Let $μ\le_{cx}ν$ be an irreducible pair, with compact convex target support, source support strictly inside the target support, and target density bounded above and bounded away fr
This study examines whether transformer-based financial news sentiment improves equity volatility forecasts beyond conventional market-based predictors. Using data for eleven US stocks, we compare volatility persistence models with specifications incorporating the VIX, AAII investor sentiment, and n
Factor models are central to asset pricing and portfolio construction, but neural factors are often difficult to interpret, and their effect on portfolio risk is unclear. A sparse autoencoder (SAE) may address both concerns by describing daily returns across many assets with only a few active featur
For one-dimensional strict local martingales of the form $\mathrm{d} X_t=σ(X_t) \mathrm{d} W_t$ starting from $X_{0}=x_{0}>0$, we prove the strong rate $\mathbb{E}\left[|X^h_N-X_T|\right] \lesssim h^{\min{θα,\frac{1}{2}}}$ for a discrete scheme~$X^h$ truncated at a level $h^{-α}$, with time step~$
The term Kessler syndrome was coined for a runaway orbital cascade creating a high-density debris field. The idea is generalised and applied to supply chains. An additive channel enables failures to generate further failures; a subtractive channel erodes the capacity to contain and restore. When dam
We develop a framework for calibrating passive market impact, defined as the price response to liquidity-providing limit orders, in contrast to the impact of liquidity-consuming market orders. We build on the model of Ouazzani Chahdi, Rosenbaum, and Szymanski (arxiv:2412.07461), which combines Hawke
We develop a mean field game model for optimal trading in which the interaction among traders is mediated by the dynamics of the limit order book. The bid- and ask-side order densities are modelled as stochastic processes with values in infinite-dimensional function spaces that solve stochastic part
This paper investigates the mechanisms and conditions underlying negative convexity in pass-through mortgage-backed securities (MBSs) backed by fixed-rate mortgages. We first derive an exact decomposition of MBS prices into three components: the present value of interest-rate-independent cash flows,
This paper proposes a deep learning-driven operator splitting scheme for high-dimensional free-boundary problems, with American option pricing as a representative application. In a market with proportional transaction costs, a stochastic liquidity risk with an empirically validated nonlinear drift b
This paper presents a framework for pricing catastrophe (CAT) bonds in incomplete markets through Riemannian geometric optimization of financial entropy. We formulate pricing-measure selection as a maximum financial entropy problem on a finite-dimensional manifold of equivalent measures, parameteriz
Recurring cash flows are the backbone of cash-flow underwriting: they separate durable revenue from one-off deposits, expose standing obligations, and ultimately determine ability to pay. For small businesses, recurrence is both indispensable and hard to estimate, because much of their income arrive
We study how contemporaneous equity-return transmission shapes systemic exposure among 51 listed European banks. Using a recursive non-Gaussian network model on volatility-standardized returns, we construct two market-capitalization-weighted measures based on direct and indirect transmission effects
In utilization dependent interest rate models, adding liquidity can reduce a supplier’s total interest income even as the supplier’s balance increases. A supplier holding a fraction $α$ of final pool supply keeps income nondecreasing with a marginal deposit exactly when $α(1+η)\leq1$, where $η$ is t
We study optimal quote placement for a market maker facing order flow modeled by a state-dependent Hawkes process. A block-based linear demand specification links market-order counts to execution volumes, providing the demand moments required by a continuous time discrete state dynamic programming f
This paper introduces a model for infinite-server queues driven by a Cox process with stochastic intensity given by a squared Bessel (BESQ) process. Exploiting the affine structure of the underlying dynamics, we derive a closed-form expression for the joint moment-generating function (MGF) of the ar
Portfolio construction has been studied extensively in both academia and industry. Its applications range from pension funds and hedge funds to private savings. The academic literature centers on methodology, commonly evaluated in settings that allow short selling, leverage, and frequent trading. In
In healthcare equities, much of what moves a single name arrives as text: filings, trial and regulatory records, news and analyst commentary. We evaluate how screened non-market features and language-model representations improve market-based equity rankings for US healthcare firms over 2020-2025. A
Quantitative investment requires alpha factors that are both predictive and diverse. However, existing factor generation methods, including formulaic mining and neural end-to-end models, are mostly based on a single-agent design, which limits exploration of the factor space and reduces adaptability