Computational Finance

Authors and titles for recent submissions

• Fri, 21 Jun 2024
• Wed, 19 Jun 2024
• Tue, 18 Jun 2024
• Mon, 17 Jun 2024
• Fri, 14 Jun 2024

See today's new changes

Fri, 21 Jun 2024 (showing 2 of 2 entries )

[1] arXiv:2406.12983 [pdf, other]

Title: Reinforcement Learning for Corporate Bond Trading: A Sell Side Perspective

Samuel Atkins, Ali Fathi, Sammy Assefa

Comments: Working Paper

Subjects: Computational Finance (q-fin.CP); Machine Learning (cs.LG); Optimization and Control (math.OC)

[2] arXiv:2406.13789 (cross-list from physics.soc-ph) [pdf, html, other]

Title: Death, Taxes, and Inequality. Can a Minimal Model Explain Real Economic Inequality?

John C. Stevenson

Comments: 16 pages, 6 figures, 1 table, 1 algorithm table

Subjects: Physics and Society (physics.soc-ph); Computational Finance (q-fin.CP)

Wed, 19 Jun 2024 (showing 3 of 3 entries )

[3] arXiv:2406.12417 (cross-list from q-fin.ST) [pdf, html, other]

Title: Role of fee choice in revenue generation of AMMs: A quantitative study

Abe Alexander, Jesse Moestaredjo, Mart Heuvelmans, Lars Fritz

Subjects: Statistical Finance (q-fin.ST); Computational Finance (q-fin.CP)

[4] arXiv:2406.11903 (cross-list from q-fin.GN) [pdf, html, other]

Title: A Survey of Large Language Models for Financial Applications: Progress, Prospects and Challenges

Yuqi Nie, Yaxuan Kong, Xiaowen Dong, John M. Mulvey, H. Vincent Poor, Qingsong Wen, Stefan Zohren

Subjects: General Finance (q-fin.GN); Artificial Intelligence (cs.AI); Computational Finance (q-fin.CP)

[5] arXiv:2406.11886 (cross-list from cs.LG) [pdf, html, other]

Title: Financial Assets Dependency Prediction Utilizing Spatiotemporal Patterns

Haoren Zhu, Pengfei Zhao, Wilfred Siu Hung NG, Dik Lun Lee

Subjects: Machine Learning (cs.LG); Artificial Intelligence (cs.AI); Computational Engineering, Finance, and Science (cs.CE); Computational Finance (q-fin.CP)

Tue, 18 Jun 2024 (showing 2 of 2 entries )

[6] arXiv:2406.11520 [pdf, html, other]

Title: Operator Deep Smoothing for Implied Volatility

Lukas Gonon, Antoine Jacquier, Ruben Wiedemann

Subjects: Computational Finance (q-fin.CP)

[7] arXiv:2406.10719 (cross-list from cs.CR) [pdf, html, other]

Title: Trading Devil: Robust backdoor attack via Stochastic investment models and Bayesian approach

Orson Mengara

Comments: (Last update) Stochastic investment models and a Bayesian approach to better modeling of uncertainty : adversarial machine learning or Stochastic market. arXiv admin note: substantial text overlap with arXiv:2402.05967

Subjects: Cryptography and Security (cs.CR); Machine Learning (cs.LG); Computational Finance (q-fin.CP); Statistical Finance (q-fin.ST); Machine Learning (stat.ML)

Mon, 17 Jun 2024 (showing 1 of 1 entries )

[8] arXiv:2406.09959 [pdf, html, other]

Title: Computation of Robust Option Prices via Structured Multi-Marginal Martingale Optimal Transport

Linn Engström, Sigrid Källblad, Johan Karlsson

Subjects: Computational Finance (q-fin.CP); Optimization and Control (math.OC); Probability (math.PR); Mathematical Finance (q-fin.MF)

Fri, 14 Jun 2024 (showing 1 of 1 entries )

[9] arXiv:2406.08742 [pdf, html, other]

Title: DeepUnifiedMom: Unified Time-series Momentum Portfolio Construction via Multi-Task Learning with Multi-Gate Mixture of Experts

Joel Ong, Dorien Herremans

Comments: 21 pages, 5 figures

Subjects: Computational Finance (q-fin.CP)