General Finance
We show that AI-driven investment strategies are inherently self-defeating at scale. As AI adoption rises, three mutually reinforcing channels -- signal crowding, performative signal erosion, and Red Queen competition -- compress excess…
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…
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…
Put-call parity is risk-neutral at terminal payoff, but its enforcement is path-dependent and capital-using. I test whether the SPX and RUT carry gap is explained by OIS-based funding, volatility, trading-friction, and financial-condition…
Put-call parity is a terminal-payoff identity; quoted residuals against traded futures are near zero. Yet enforcing parity is path-dependent, exposing arbitrageurs to daily settlement, margin, and finite capital. Using minute-level NBBO…
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…
This paper examines how the Shanghai-Hong Kong Stock Connect (SHHK Stock Connect) affects the A-H share price premium and whether the policy effect depends on pre-existing market efficiency. Using monthly data for 67 A-H dual-listed firms…
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…
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…
This study investigates how cross-stock information diffusion, driven by both retail and institutional investors, influences excess comovement in the Chinese retail-dominated market and the U.S. institution-dominated market. Using data from…
The disposition effect describes investors' irrational behavior of selling profitable assets too soon while holding onto losing assets for too long. This study examines the impact of transparency at the firm level on the disposition effect…
The irrational behavior of investors selling profitable assets too early while holding onto losing assets for too long is known as the disposition effect. Due to the development of the Internet, the information environment for individual…
This research explores how human-defined goals influence the behavior of Large Language Models (LLMs) through purpose-conditioned cognition. Using financial prediction tasks, we show that revealing the downstream use (e.g., predicting stock…
We report the results of a study to identify and quantify drivers of inventory record inaccuracy (IRI) in a grocery retailing environment, a context where products are often subject to promotion activity and a substantial share of items are…
The clarion call for causal reduction in the study of capital markets is intensifying. However, in self-referencing and open systems such as capital markets, the idea of unidirectional causation (if applicable) may be limiting at best, and…
Current post-trade clearing systems rely almost exclusively on cash or cash-like collateral, leaving vast reserves of short-term liquidity embedded in trade credit outside formal settlement infrastructures. A key barrier to integrating this…
This paper introduces a heterogeneous macroeconomic model of a Proof-of-Stake (PoS) network to analyze the long-term centralizing effects of external traditional finance (TradFi) yields. We model a continuum of rational actors divided into…
Prior research shows that large language models (LLMs) exhibit systematic extrapolation bias when forming predictions from both experimental and real-world data, and that prompt-based approaches appear limited in alleviating this bias. We…
Following years of controversial discussions about the risks of market-based redispatch, the German transmission network operators finally installed regional redispatch markets by the end of 2024. Since water electrolysers are eligible…
Renewed public attention on the identity of Bitcoin's pseudonymous creator has sharpened focus on the Satoshi overhang, commonly framed as a tail risk for bitcoin. This paper argues that the mechanical downside of a disposition is bounded…