Related papers: Is the Monetary Transmission Mechanism Broken? Tim…
The traditional monetary transmission mechanism usually views the equity markets as the monetary reservoir that absorbs over-issued money, but due to China's unique fiscal and financial system, the real estate sector has become an…
Sophisticated machine learning (ML) models to inform trading in the financial sector create problems of interpretability and risk management. Seemingly robust forecasting models may behave erroneously in out of distribution settings. In…
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
This paper identifies and analyzes six key strategies used to exploit the Eurosystem's financial mechanisms, and attempts a quantitative reconstruction: inflating TARGET balances, leveraging collateral swaps followed by defaults, diluting…
Some physical effects of time averaged quantum electric field fluctuations are discussed. The one loop radiative correction to potential scattering are approximately derived from simple arguments which invoke vacuum electric field…
An innovative method is proposed to construct a quantile dependence system for inflation and money growth. By considering all quantiles and leveraging a novel notion of quantile sensitivity, the method allows the assessment of changes in…
Quantization-Aware Training (QAT) is one of the prevailing neural network compression solutions. However, its stability has been challenged for yielding deteriorating performances as the quantization error is inevitable. We find that the…
Quantum theory provides a comprehensive framework for quantifying uncertainty, often applied in quantum finance to explore the stochastic nature of asset returns. This perspective likens returns to microscopic particle motion, governed by…
Several studies have focused on the Realized Range Volatility, an estimator of the quadratic variation of financial prices, taking into account the impact of microstructure noise and jumps. However, none has considered direct modeling and…
This paper examines the monetary policies the Federal Reserve implemented in response to the Global Financial Crisis. More specifically, it analyzes the Federal Reserve's quantitative easing (QE) programs, liquidity facilities, and forward…
We explore the applicability of the exact renormalization group to the study of tunnelling phenomena. We investigate quantum-mechanical systems whose energy eigenstates are affected significantly by tunnelling through a barrier in the…
The tokenization of real-world assets (RWAs) promises to transform financial markets by enabling fractional ownership, global accessibility, and programmable settlement of traditionally illiquid assets such as real estate, private credit,…
We give a detailed account of correlations between credit sector/quality and treasury curve factors, using the robust framework of the Barclays POINT Global Risk Model. Consistent with earlier studies, we find a strong negative correlation…
This paper examines the impact of US monetary policy tightening on emerging markets, distinguishing between direct and indirect spillover effects using the global vector autoregression with stochastic volatility covering 32 countries. The…
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…
This paper investigates the impact of monetary policy surprises on U.S. Treasury bond yields and the implications for portfolio managers. Based on the supply and demand model, traditional economic theories suggest that Federal Reserve bond…
In this paper, we investigate how constraints on the randomization in the encoding process affect the secrecy rates achievable over wiretap channels. In particular, we characterize the secrecy capacity with a rate-limited local source of…
How does the monetary and fiscal policy mix alter households' saving incentives? To answer these questions, we build a heterogenous agents New Keynesian model where three different types of agents can save in assets with different liquidity…
Post Training Quantization (PTQ) is widely adopted due to its high compression capacity and speed with minimal impact on accuracy. However, we observed that disparate impacts are exacerbated by quantization, especially for minority groups.…
Quantum theory is used to model secondary financial markets. Contrary to stochastic descriptions, the formalism emphasizes the importance of trading in determining the value of a security. All possible realizations of investors holding…