Revisiting price linkages between London and Shanghai base metal futures markets: A time-frequency connectedness analysis. [PDF]
PLoS OnePan C, Shen W.
europepmc +1 more source
Equilibrium Reward for Liquidity Providers in Automated Market Makers
Mathematical Finance, EarlyView.ABSTRACT We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader–follower stochastic game, where the venue is the leader and a representative LP is the follower.
Alif Aqsha +2 more
wiley +1 more source
Relative Arbitrage Opportunities With Interactions Among N Investors
Mathematical Finance, EarlyView.ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
wiley +1 more source
Balancing Scientific and Commercial Interests: The European Health Data Space Response to Commercial Scientific Research. [PDF]
InquiryYao X, Sun Z, Man H.
europepmc +1 more source
Large‐Dimensional Cointegrated Threshold Factor Models: The Global Term Structure of Interest Rates
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT In this paper we extend the two‐level factor model to account for cointegration between group‐specific factors in large datasets. We propose two nonlinear specifications: (i) a threshold vector error correction model (VECM) that allows for asymmetric adjustment across regimes; and (ii) a band VECM that captures state‐dependent adjustment which
Daniel Abreu, Paulo M. M. Rodrigues
wiley +1 more source
Digital finance and climate risk information disclosure. [PDF]
PLoS OneRen H, Huang J, Ren J.
europepmc +1 more source
The capital-asset-pricing model and arbitrage pricing theory: a unification. [PDF]
Proc Natl Acad Sci U S A, 1997 Ali Khan M, Sun Y.
europepmc +1 more source
Lessons on State and Local Income Taxes From the Twenty‐First Century and Challenges for the Future
Public Budgeting &Finance, EarlyView.Abstract I survey recent research on subnational income tax policy, arguing that a defining feature is geography. Geographic boundaries limit the power of subnational governments to tax people and activities. The article discusses where income should be taxed and the effects of these tax rules on the interjurisdictional mobility of people and jobs.
David R. Agrawal
wiley +1 more source
A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims. [PDF]
R Soc Open SciCarr P, Cirillo P, Cirillo P.
europepmc +1 more source
Why Do Hedgers Hedge? The Role of Ambiguity
Journal of Futures Markets, Volume 46, Issue 6, Page 1053-1078, June 2026.ABSTRACT This paper investigates whether ambiguity influences hedging behavior in commodity futures markets. Using high‐frequency crude oil futures data, distinct measures of risk and ambiguity are linked to weekly hedging positions from the Commodity Futures Trading Commission (CFTC).
Fiona Höllmann
wiley +1 more source