Tootfinder

Crappy weather or not, we will visit the farmers market this morning. I like supporting local farmers, and there is a major improvement in the quality and freshness of their produce versus the big chains. I also pay in cash, so they get EVERY dollar!
#shoplocal

I want brunch, but I’m gonna have to settle for the farmers market and a bagel. And a trip to the hardware store.

This https://arxiv.org/abs/2412.19020 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_mat…

Travelling wave solutions of an equation of Harry Dym type arising in the Black-Scholes framework
The Black-Scholes framework is crucial in pricing a vast number of financial instruments that permeate the complex dynamics of world markets. Associated with this framework, we consider a second-order differential operator $L(x, {\partial_x}) := v^2(x,t) (\partial_x^2 -\partial_x)$ that carries a variable volatility term $v(x,t)$ and which is dependent on the underlying log-price $x$ and a time parameter $t$ motivated by the celebrated Dupire local volatility model. In this context, we ask and …

This https://arxiv.org/abs/2505.16093 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_mat…

Multiple chordal SLE($κ$) and quantum Calogero-Moser system
We study multiple chordal SLE$(κ)$ systems in a simply connected domain $Ω$, where $z_1, \ldots, z_n \in \partial Ω$ are boundary starting points, and $q \in \partial Ω$ is an additional marked boundary point. Based on the framework introduced in \cite{Dub07}, we show that the partition functions in the upper half-plane $\mathbb{H}$ satisfy both the null vector equations and a dilatation equation with scaling constant $d$. We show that the presence of the marked boundary point $q$ intro…

This https://arxiv.org/abs/2502.03406 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_eco…

Estimating Export-productivity Cutoff Contours with Profit Data: A Novel Threshold Estimation Approach
This paper develops a novel method to estimate firm-specific market-entry thresholds in international economics, allowing fixed costs to vary across firms alongside productivity. Our framework models market entry as an interaction between productivity and observable fixed-cost measures, extending traditional single-threshold models to ones with set-valued thresholds. Applying this approach to Chinese firm data, we estimate export-market entry thresholds as functions of domestic sales and surrog…

This https://arxiv.org/abs/2502.17906 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_qfi…

Why do financial prices exhibit Brownian motion despite predictable order flow?
In financial market microstructure, there are two enigmatic empirical laws: (i) the market-order flow has predictable persistence due to metaorder splitters by institutional investors, well formulated as the Lillo-Mike-Farmer model. However, this phenomenon seems paradoxical given the diffusive and unpredictable price dynamics; (ii) the price impact $I(Q)$ of a large metaorder $Q$ follows the square-root law, $I(Q)\propto \sqrt{Q}$. Here we theoretically reveal why price dynamics follows Browni…

Fast Derivative Valuation from Volatility Surfaces using Machine Learning
Lijie Ding, Egang Lu, Kin Cheung
https://arxiv.org/abs/2505.22957 https://…

Fast Derivative Valuation from Volatility Surfaces using Machine Learning
We introduce a fast and flexible Machine Learning (ML) framework for pricing derivative products whose valuation depends on volatility surfaces. By parameterizing volatility surfaces with the 5-parameter stochastic volatility inspired (SVI) model augmented by a one-factor term structure adjustment, we first generate numerous volatility surfaces over realistic ranges for these parameters. From these synthetic market scenarios, we then compute high-accuracy valuations using conventional methodolo…

Pricing Model for Data Assets in Investment-Consumption Framework with Ambiguity
Xiaoshan Chen, Chen Yang, Zhou Yang
https://arxiv.org/abs/2505.16106 https…

Pricing Model for Data Assets in Investment-Consumption Framework with Ambiguity
Data assets are data commodities that have been processed, produced, priced, and traded based on actual demand. Reasonable pricing mechanism for data assets is essential for developing the data market and realizing their value. Most existing literature approaches data asset pricing from the seller's perspective, focusing on data properties and collection costs, however, research from the buyer's perspective remains scarce. This gap stems from the nature of data assets: their value lies not in d…

R&D-Agent-Quant: A Multi-Agent Framework for Data-Centric Factors and Model Joint Optimization
Yuante Li, Xu Yang, Xiao Yang, Minrui Xu, Xisen Wang, Weiqing Liu, Jiang Bian
https://arxiv.org/abs/2505.15155

R&D-Agent-Quant: A Multi-Agent Framework for Data-Centric Factors and Model Joint Optimization
Financial markets pose fundamental challenges for asset return prediction due to their high dimensionality, non-stationarity, and persistent volatility. Despite advances in large language models and multi-agent systems, current quantitative research pipelines suffer from limited automation, weak interpretability, and fragmented coordination across key components such as factor mining and model innovation. In this paper, we propose R&D-Agent for Quantitative Finance, in short RD-Agent(Q), the fi…

This https://arxiv.org/abs/2501.07581 has been replaced.
initial toot: https://mastoxiv.page/@arXiv_qfi…

Optimal Execution Strategies Incorporating Internal Liquidity Through Market Making
This paper introduces a new algorithmic execution model that integrates interbank limit and market orders with internal liquidity generated through market making. Based on the Cartea et al.\cite{cartea2015algorithmic} framework, we incorporate market impact in interbank orders while excluding it for internal market-making transactions. Our model aims to optimize the balance between interbank and internal liquidity, reducing market impact and improving execution efficiency.