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Assessing Dynamic Connectedness in Global Supply Chain Infrastructure Portfolios: The Impact of Risk Factors and Extreme Events
Haibo Wang
https://arxiv.org/abs/2508.04858 https…

Assessing Dynamic Connectedness in Global Supply Chain Infrastructure Portfolios: The Impact of Risk Factors and Extreme Events
This paper analyses the risk factors around investing in global supply chain infrastructure: the energy market, investor sentiment, and global shipping costs. It presents portfolio strategies associated with dynamic risks. A time-varying parameter vector autoregression (TVP-VAR) model is used to study the spillover and interconnectedness of the risk factors for global supply chain infrastructure portfolios from January 5th, 2010, to June 29th, 2023, which are associated with a set of environmen…

Regulation or Competition:Major-Minor Optimal Liquidation across Dark and Lit Pools
Thibaut Mastrolia, Hao Wang
https://arxiv.org/abs/2509.03916 https://ar…

Regulation or Competition:Major-Minor Optimal Liquidation across Dark and Lit Pools
We study the optimal liquidation problem in both lit and dark pools for investors facing execution uncertainty in a continuous-time setting with market impact. First, we design an optimal make--take fee policy for a large investor liquidating her position across both pools, interacting with small investors who pay trading fees. We explicitly characterize the large investor's optimal liquidation strategies in both lit and dark pools using BSDEs under a compensation scheme proposed by an exchange…

Sentiment Feedback in Equity Markets: Asymmetries, Retail Heterogeneity, and Structural Calibration
Lucas Marques Sneller
https://arxiv.org/abs/2509.11970 https://

Sentiment Feedback in Equity Markets: Asymmetries, Retail Heterogeneity, and Structural Calibration
We study how sentiment shocks propagate through equity returns and investor clientele using four independent proxies with sign-aligned kappa-rho parameters. A structural calibration links a one standard deviation innovation in sentiment to a pricing impact of 1.06 basis points with persistence parameter rho = 0.940, yielding a half-life of 11.2 months. The impulse response peaks around the 12-month horizon, indicating slow-moving amplification. Cross-sectionally, a simple D10-D1 portfolio earns…