General Finance
According to the World Health Organization, development of the COVID-19 vaccine is occurring in record time. Administration of the vaccine has started the same year as the declaration of the COVID-19 pandemic. The United Nations emphasized…
We present a new financial domain large language model, InvestLM, tuned on LLaMA-65B (Touvron et al., 2023), using a carefully curated instruction dataset related to financial investment. Inspired by less-is-more-for-alignment (Zhou et al.,…
Researchers are more likely to share notable findings. As a result, published findings tend to overstate the magnitude of real-world phenomena. This bias is a natural concern for asset pricing research, which has found hundreds of return…
An increase in the novelty of news predicts negative stock market returns and negative macroeconomic outcomes over the next year. We quantify news novelty - changes in the distribution of news text - through an entropy measure, calculated…
Financial volatility obeys two fascinating empirical regularities that apply to various assets, on various markets, and on various time scales: it is fat-tailed (more precisely power-law distributed) and it tends to be clustered in time.…
We develop a novel technique to extract credit-relevant information from the text of quarterly earnings calls. This information is not spanned by fundamental or market variables and forecasts future credit spread changes. One reason for…
We identify a new type of risk, common firm-level investor fears, from commonalities within the cross-sectional distribution of individual stock options. We define firm-level fears that link with upward price movements as good fears, and…
Experimental results on market behavior establish a lower stability and efficiency of markets for durable re-tradable assets compared to markets for non-durable, or perishable, goods. In this chapter, we revisit this known but…
This paper addresses the lack of research on quantifying Maximal Extractable Value (MEV) on Ethereum Layer 2 networks (L2s). Our findings reveal a substantial amount of MEV to be extracted on L2s, particularly on Polygon, with a lower bound…
This research investigates the multifaceted relationship underlying capital structure dynamics along with financial performance as a result of mergers and acquisitions, or M&As, in Indian banks. In the face of increasing competition, banks…
Shafer and Vovk introduce in their book \cite{ShaferVovk:2018} the notion of \emph{instant enforcement} and \emph{instantly blockable} properties. However, they do not associate these notions with any outer measure, unlike what Vovk did in…
This paper investigates retail investor motivations for digital real estate ownership in the crypto-metaverse. Utilizing a detailed financial behavior survey of metaverse landowners' intrinsic and extrinsic motivations, we apply principal…
By using the Hamiltonian formulation, we demonstrate that the Merton-Garman equation emerges naturally from the Black-Scholes equation after imposing invariance (symmetry) under local (gauge) transformations over changes in the stock price.…
Lending protocols in decentralized finance enable the permissionless exchange of capital from lenders to borrowers without relying on a trusted third party for clearing or market-making. Interest rates are set by the supply and demand of…
In this paper, we mainly study the impact of the implied certainty equivalent rate on investment in financial markets. First, we derived the mathematical expression of the implied certainty equivalent rate by using put-call parity, and then…
In Chakraborti's yard-sale model of an economy, identical agents engage in trades that result in wealth exchanges, but conserve the combined wealth of all agents and each agent's expected wealth. In this model, wealth condensation, that is,…
The stock segment of China's time-honored brand enterprises has an important position in our securities stock market. The holiday effect is one of the market anomalies that occur in the securities market, which refers to the phenomenon that…
The Nelson-Siegel framework is employed to model the term structure of commodity futures prices. Exploiting the information embedded in the level, slope and curvature parameters, we develop novel investment strategies that assume short-term…
Among the various factors affecting the firms positioning and performance in modern day markets, capital structure of the firm has its own way of expressing itself as a crucial one. With the rapid changes in technology, firms are being…
Decentralised automated market makers (AMMs) have gained significant attention recently. We propose an adaptive and automated Dynamic Function Market Maker (DFMM) that addresses challenges in this space. Our DFMM protocol includes a data…