The frontier of quantitative finance, in one feed. The newest peer-review-bound research from arXiv’s q-fin archive — trading and market microstructure, portfolio management, risk, pricing, and machine learning in markets — with titles, authors, and abstracts, linked straight to source. Updated continuously.
Everything else at the frontier of quant finance.
General Finance3d ago
Pietro Saggese, Michael Sigmund, Burkhard Raunig, Esther Segalla +2
Cryptoassets are increasingly entangled with the traditional financial system, and how this activity integrates into national economies and behaves under stress bears on financial stability and the design of public digital money. However, blockchain pseudonymity and the lack of geographic identifiers force existing work to rely on indirec…
cs.CLq-fin.GN3d ago
Rian Dolphin, Joe Dursun, Jarrett Blankenship, Katie Adams +1
Form 8-K filings are the primary channel through which U.S. public companies disclose material events, but the SEC item codes attached to them are coarse: a single item spans routine administrative changes and chief executive departures, and many of the most market-moving disclosures fall into a catch-all item. Large language models make …
General Finance5d ago
Andrew Y. Chen, Ivo Welch
This paper examines about 200 published long-short anomaly equity portfolios (Chen and Zimmermann, 2022). Over the period through 2005 (December 2005 and earlier) and across all stocks, their median zero-investment return was an impressive 48 bp per month. Using only post-2005 years (January 2006 onward) reduces this to 19 bp. Using only …
General Financeq-fin.CPq-fin.PR6d ago
Useong Shin
This paper extends the cap-axis integral diagnostic to general characteristic axes, measuring factor-model pricing errors as bridge-alpha curves. A predetermined characteristic order generates prefix portfolios; subtracting equal-exposure aggregate portfolios yields zero-investment bridges indexed by cutoff p. The null is a zero-curve res…
physics.soc-phq-fin.GN8d ago
Anders G Frøseth
Blandhol (2025) estimates that wealth-tax-induced emigration from Norway reduces long-run GDP by 1.3%. Dansk Industri scaled this figure to argue that a Danish wealth tax would cost billions - a claim central to the 2026 Danish election campaign. We develop a social contagion model in which the emigration rate depends on a visibility-weig…
Trading & Market Microstructureq-fin.CPq-fin.GN9d ago
Arati Uday Kamat
We present a Kaplan-Meier and Cox proportional-hazards survival analysis of 832,941 Solana pump.fun token launches with 24-hour graduation outcomes, observed continuously between 2026-05-08 and 2026-06-10. The pooled graduation rate is 0.198% (Wilson 95% CI [0.189%, 0.208%]), a 3.18x decline from the 0.63% rate reported by Marino et al. (…
General Financeq-fin.CPq-fin.MF10d ago
Useong Shin
I propose a cap-axis integral diagnostic for factor-model evaluation. Low-dimensional factor models can improve the maximum-Sharpe frontier while leaving zero-alpha violations on economically fixed subspaces. The diagnostic studies one such subspace by lifting pricing errors into a bridge-alpha curve along the market-capitalization rank a…
General Finance11d ago
Hui Gong
Autonomous AI agents are beginning to occupy a position between analytical tools and transacting counterparties. They can interpret goals, call external tools, negotiate with other agents, access data and computation, and in some settings initiate payments or blockchain transactions. This development creates a distinct problem for financi…
Trading & Market Microstructureq-fin.GN12d ago
David Dai, Ruizhe Jia, Shihao Yu
Prediction markets increasingly list contracts settling on an asset price that holders can move by trading the underlying. We build a model showing that such contracts transfer wealth from prediction-market liquidity traders to manipulators and harm price discovery in the underlying, even as it becomes more liquid. After the launch of Pol…
General Finance12d ago
Praveen Kumar Ashok Kumar, Rafał Sieradzki
This paper investigates the Aggregate Confusion hypothesis (Berg, Kolbel, and Rigobon, 2022) at the firm level by measuring the Disclosure-Performance Gap (DPG), the standardised divergence between a firm's voluntary environmental disclosure ("Talk") and its realised emissions performance ("Walk"). The sample comprises 200 large European …
cs.CYq-fin.GN13d ago
Nicola Borri, Yukun Liu, Aleh Tsyvinski
Using 380 trillion tokens of realized AI consumption across more than four hundred large language models from the licensed proprietary OpenRouter dataset covering approximately 2 percent of current global monthly AI token consumption, we analyze how AI affects firms, markets, and workers. Leveraging the unprecedented size, scope and granu…
cs.CLq-fin.GN13d ago
Suhwan Park, Hoyoung Lee, Zhangyang Wang, Alejandro Lopez-Lira +4
Demand for personalized financial advising is growing, but consistent advisor expertise is difficult to obtain, scale, and encode in LLM systems. Simple persona prompts rarely specify how a financial advisor should reason and often drift toward generic recommendations. We propose Fund2Persona, a framework that grounds financial-advisor pe…
Trading & Market Microstructureq-fin.GN18d ago
Shubhangam Shukla, Mahesh Peyyala, Abhijit Chakraborty
We investigate the evolving structure of interactions in cryptocurrency markets using a network-based framework constructed from high-frequency price data spanning 2020-2025. Directed and weighted networks are constructed from statistically significant Granger causal relationships between cryptocurrency log-returns, enabling us to quantif…
General Finance20d ago
Useong Shin
In an ideal stochastic discount factor, zero pricing errors and maximum Sharpe ratio coincide; in a low-dimensional approximation they need not. I test this separation by decomposing an investible CRSP market into capitalization-ranked body and tail legs that recombine to the market return. At the daily frequency, all models pass the aggr…
cs.AIq-fin.GN20d ago
Mostapha Benhenda
Finance Agent v2 (by Vals AI) has emerged as the reference benchmark for evaluating both Anthropic Claude and OpenAI ChatGPT frontier language models on financial tasks. However, it narrowly deals with periodic reporting from publicly traded companies (SEC 10-K and 10-Q filings), and its agentic harness relies on naive, unenriched chunk r…
econ.GNq-fin.GN24d ago
Masahiro Kato
We propose a model-grounded RAG-based AI economist with an agentic framework for economic scenario analysis using large language models (LLMs) and knowledge graphs. While LLMs can generate fluent economic narratives, economists are often required to make economic claims grounded by economic theory and real-world data. Based on this motiva…
General Financeq-fin.PR25d ago
Useong Shin
Factor-model performance depends not only on the model but also on how test assets are constructed. We form characteristic-unsorted random portfolios from a broad CRSP universe and vary stock selection, initial weighting, holding, and rebalancing. Rankings shift materially: buy-and-hold favors FF5 and FF6, whereas daily constant-weighting…
Computational Financeq-fin.GN1mo ago
John R. Graham, Campbell R. Harvey, Manish Jha
Business sentiment is a closely watched economic signal, but measuring it is slow and costly: surveys reach only a few hundred firms, arrive periodically, and take time to compile. We show that large language models hold the potential to address these shortcomings. We prompt an LLM to role-play as the CFO of a specific company at a specif…
econ.EMq-fin.GN1mo ago
Andrea Bucci, Giulio Palomba, Eduardo Rossi
This paper proposes a Structural Matrix Autoregressive (SMAR) model for the joint analysis of asset returns, realized volatility, and trading volume in a large-dimensional setting. This framework simultaneously captures dynamic spillovers across financial variables and cross-sectional dependence across assets while preserving a parsimonio…
General Finance1mo ago
Thomas K. Kloster, Fred Espen Benth
We study forecasting of the realized covariation in electricity markets. The realized covariation in this context is a matrix-valued representation of the latent infinite-dimensional covariance operator and a parsimonious matrix-HAR type model is constructed to facilitate estimation. We test the model on one-week ahead forecasts of the we…
econ.THq-fin.GN1mo ago
Nicola Borri, Yukun Liu, Aleh Tsyvinski, Xi Wu
We develop a dynamic stochastic model of markets with an externality and multiple trading frictions, and cap-and-trade as the leading application. Slow participation, limited intermediation, and heterogeneous information interact in equilibrium: agents choose costly market access, access determines residual compliance demand, intermediary…
General Finance1mo ago
Kyoung-Kuk Kim, Donghwa Seo
We analyze intentional block delays (mining gaps) in Proof-of-Work blockchain systems, where miners strategically balance mining rewards against operational costs. Using a game-theoretic model, we derive a Nash equilibrium with optimal mining strategies and establish necessary and sufficient conditions for mining gap existence. We demonst…
General Finance1mo ago
Wenbin Wu
Large language models now power robo-advisors and trading agents, yet whether they carry built-in biases toward specific assets is largely untested. We ask three questions: do LLMs systematically prefer certain financial instruments; can an internal representation with causal leverage over those preferences be identified; and does that re…
General Finance1mo ago
Lasse Dierich, Orestis Schinas
Ship finance is a data-intensive and document-heavy segment of asset-based lending, requiring the integration of financial, technical, contractual, and regulatory information from heterogeneous and largely unstructured sources. Increasing environmental regulation and ESG reporting requirements are adding further complexity to underwriting…
General Finance1mo ago
Ziyao Wang
When redeeming open-end funds sell and natural buyers do not step in at once, some limited-capital investor must take the other side and carry the inventory until prices recover. This paper asks what return that investor requires. A continuous-time market-clearing model delivers an expected-return restriction in which the price of residua…
Mathematical Financeq-fin.GN1mo ago
Raphael Coelho
This paper develops a three-currency Heath-Jarrow-Morton framework in which corporate credit is treated as a separate economy, connected to the nominal and real economies through synthetic inflation and credit exchange rates. The framework produces a testable identity. Under joint no-arbitrage, the credit spread of an issuer expressed ove…
cs.CLq-fin.GN1mo ago
Yunhua Pei, Jingyu Hu, Yiwei Shi, Hongnan Ma +2
Existing financial NLP benchmarks often rely on labels supplied by outside observers, measuring how language is perceived rather than what speakers have committed to in the market. We introduce StakeBench, an evaluation framework for language understanding grounded in market commitment. StakeBench links 560,876 comments from 2,261 resolve…
econ.THq-fin.GN1mo ago
Jeremy Bertomeu
Strategic communication often relies on anchors observed by the sender but not by the receiver. An analyst may report against a proprietary valuation model, an auditor against an internal score, a manager against an accounting estimate, or an institution against its own standard. I study a sender-receiver game in which reports are costly …
econ.EMq-fin.GN1mo ago
George Kapetanios, Steven Ongena, Alexia Ventouri, Huiyan Xiao
This paper examines how firm-level determinants of industrial emissions evolve over time as firms adapt to environmental regulation, economic conditions, and organisational constraints. Using a panel of 204 U.S. industrial facilities observed from 1992 to 2023, we link facility-level emissions from the Toxics Release Inventory to firm fin…
General Finance1mo ago
Carlos Baquero
Bitcoin price prediction has attracted hundreds of academic papers and continuous social media debate, yet the field lacks consensus on even basic questions: can any model beat a naive "today's price" baseline at horizons of one to six months? We survey the peer-reviewed landscape, categorize papers by evaluation methodology, and contrast…
General Finance1mo ago
Useong Shin
This paper proposes a public daily-frequency benchmark for post-GFC government-bond CIP deviations. Although CIP deviations are observed daily, the literature lacks a canonical benchmark for daily regressions comparable to standard factor models in asset pricing. Using G10 plus KRW currency-tenor panels, I show that three lagged public st…
econ.GNq-fin.GN1mo ago
Sahaj Raj Malla
This study investigates the macroeconomic determinants and dynamic behaviour of personal remittances as a share of Gross Domestic Product (GDP) in Nepal, emphasizing external demand in major destination countries and domestic monetary policy. Using annual data (1993-2024), we construct composite indices via Principal Component Analysis (P…
General Financeq-fin.TR1mo ago
Agostino Capponi, Álvaro Cartea, Fayçal Drissi
This paper develops a model to evaluate the viability of blockchain markets as the sole venue for price formation. Blockchains clear at discrete intervals called block time, and transactions are executed sequentially according to priority fees paid by traders who compete for queue position. We show that these features undermine the viabil…
cs.CLq-fin.GN1mo ago
Francesco A. Fabozzi, Dasol Kim, William N. Goetzmann
We introduce a novel approach to emotion modeling that shifts the focus from identification to evaluation, addressing the limitations of discrete classification in applied domains such as finance. By constructing a dataset of emotional intensity scores and fine-tuning open-weight generative language models to output continuous values from…
General Finance2mo ago
Thomas K. Kloster, Fred Espen Benth
We conduct the first rigorous study of electricity price volatility for the full panel of electricity prices across three European generation zones. By interpreting the observed day-ahead prices as local averages of a latent price process governed by a stochastic partial differential equation, we develop estimators of the weekly integrate…
General Finance2mo ago
Useong Shin
Put-call parity is a terminal-payoff identity, but its enforcement is capital-using. I study the carry gap, the annualized wedge between option-implied and OIS discount factors, in SPX and RUT index options. Quoted parity is tightly compressed, while the synthetic-traded forward channel leaves a systematic wedge. I interpret this wedge as…
General Financeq-fin.TR2mo ago
Ohad Kadan, Asaf Manela
We show that under mild assumptions, the total value of information to informed traders in the market can be measured by the covariance between price changes and order flow. This covariance captures noise trader losses, which equal informed trader gains when market making is competitive. We estimate the value of information using high fre…
Trading & Market Microstructureq-fin.GN2mo ago
Maksym Nechepurenko
The introduction of leverage on prediction-market event contracts raises three structurally distinct questions that have not been addressed jointly: how leverage changes manipulation incentives, how it interacts with informed-trading rents, and how regulatory frameworks should respond. This paper develops a theoretical framework for the f…
Trading & Market Microstructureq-fin.GNq-fin.PR2mo ago
Maksym Nechepurenko
Paper 1 of this research programme develops a resolution-aware risk-design framework for the simplest event-linked perpetual: a contract whose underlying tracks a single binary prediction-market probability through resolution. The instrument class is broader. Variants span conditional probabilities P(A|B), spreads p^A - p^B, weighted bask…
Trading & Market Microstructureq-fin.GNq-fin.RM2mo ago
Maksym Nechepurenko
We develop and counterfactually evaluate a resolution-aware risk-design framework (PIRAP) for perpetual futures whose underlying tracks a single binary prediction-market probability through resolution. The framework specifies six components: an index estimator combining mid-price, depth-weighted mid, and time-decayed VWAP; jump-aware tier…
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