{
"scan_date": "2026-04-03",
"sources_checked": [
"arxiv",
"openalex",
"nber",
"bis",
"ny_fed",
"chicago_fed",
"cboe",
"google_scholar",
"ssrn"
],
"papers_found": 194,
"papers_relevant": 7,
"top_papers": [
{
"title": "Model Predictive Control For Trade Execution",
"authors": "Thomas P. McAuliffe, Samuel Liew, Yuchao Li, Andrey Ushenin, Chihang Wang",
"source": "arxiv",
"url": "https://arxiv.org/abs/2603.28898v1",
"date": "2026-03-30",
"abstract": "We address the problem of executing large client orders in continuous double-auction markets under time and liquidity constraints. We propose a model predictive control (MPC) framework that balances three competing objectives: order completion, market impact, and opportunity cost. Our algorithm is guided by a trading schedule (such as time-weighted average price or volume-weighted average price) but allows for deviations to reduce the expected execution cost, with due regard to risk. Our MPC a...",
"relevance_score": 6,
"relevance_tags": [],
"key_finding": "We propose a model predictive control (MPC) framework that balances three competing objectives: order completion, market impact, and opportunity cost.",
"backtestable": true,
"data_we_have": false,
"priority": "MEDIUM"
},
{
"title": "Risky Intraday Order Flow and Option Liquidity May 23, 2025 Abstract",
"authors": "Unknown",
"source": "web",
"url": "https://www.bauer.uh.edu/hdoshi/docs/DPS_May_2025.pdf",
"date": "2026-04-03",
"abstract": "SPX options. First, we observe a strong positive relationship between the standard deviation \u00b7 of order \ufb02ow and illiquidity for both call and put samples. Moreover, the coe\ufb03cient is larger \u00b7 for very short-maturity options (up to 24 days), con\ufb01rming that trading costs in shorter- dated contracts are more sensitive to intraday order \ufb02ow volatility.",
"relevance_score": 6,
"relevance_tags": [
"order_flow",
"intraday"
],
"key_finding": "Moreover, the coe\ufb03cient is larger \u00b7 for very short-maturity options (up to 24 days), con\ufb01rming that trading costs in shorter- dated contracts are more sensitive to intraday order \ufb02ow volatility.",
"backtestable": false,
"data_we_have": true,
"priority": "MEDIUM"
},
{
"title": "QUANTITATIVE FINANCE VO L U M E 3 (2003) 417\u2013425 RE S E A R C H PA P E R",
"authors": "Unknown",
"source": "web",
"url": "https://www.cis.upenn.edu/~mkearns/finread/PinningPaper.pdf",
"date": "2026-04-03",
"abstract": "We propose a model to describe stock pinning on option expiration dates. We \u00b7 argue that if the open interest on a particular contract is unusually large,",
"relevance_score": 6,
"relevance_tags": [
"pinning"
],
"key_finding": "We \u00b7 argue that if the open interest on a particular contract is unusually large,",
"backtestable": false,
"data_we_have": true,
"priority": "MEDIUM"
},
{
"title": "Derivative Spreads: Evidence from SPX Options* Jie Cao\u0084 Kris Jacobs Sai Ke\u00a7",
"authors": "Unknown",
"source": "web",
"url": "https://www.aeaweb.org/conference/2024/program/paper/DFs2GZND",
"date": "2026-04-03",
"abstract": "to deter imbalanced order flows at that time. In contrast, the competing market makers of \u00b7 options can avoid excessive long or short positions. Wei and Zheng (2010) investigate the de- terminants of equity options liquidity, measured by proportional spreads, and find the option \u00b7 return volatility to be a key determinant.",
"relevance_score": 6,
"relevance_tags": [
"order_flow"
],
"key_finding": "Wei and Zheng (2010) investigate the de- terminants of equity options liquidity, measured by proportional spreads, and find the option \u00b7 return volatility to be a key determinant.",
"backtestable": false,
"data_we_have": true,
"priority": "MEDIUM"
},
{
"title": "Intraday Jumps and 0DTE Options: Pricing and Hedging Implications by Milo\u0161 Bo\u017eovi\u0107 :: SSRN",
"authors": "Unknown",
"source": "ssrn",
"url": "https://papers.ssrn.com/sol3/Delivery.cfm/5223127.pdf?abstractid=5223127&mirid=1",
"date": "2026-04-03",
"abstract": "This paper investigates how intraday jumps affect the pricing and hedging of 0DTE options on the S&P 500. We develop a continuous-time stochastic volatility model with Poisson jumps and derive semi-closed-form solutions for European option prices, ...",
"relevance_score": 5,
"relevance_tags": [
"0DTE",
"intraday"
],
"key_finding": "This paper investigates how intraday jumps affect the pricing and hedging of 0DTE options on the S&P 500.",
"backtestable": false,
"data_we_have": true,
"priority": "MEDIUM"
},
{
"title": "Same-Day Options, Same-Day Alpha? Institutional Lessons from 0DTE\u2019s Boom | Resonanz Capital",
"authors": "Unknown",
"source": "web",
"url": "https://resonanzcapital.com/insights/same-day-options-same-day-alpha-institutional-lessons-from-0-dtes-boom",
"date": "2026-04-03",
"abstract": "Traditional Black-Scholes models, calibrated to daily data, underestimate the frequency and severity of intraday price swings. Risk teams now look to realized volatility distributions measured in five-minute or even one-minute intervals. Back tests are being stress-tested against episodes like the August 2024 CPI release, when the S&P 500 gapped nearly two percent in fifteen minutes. It is no longer enough to model volatility in calendar terms \u2014 you must model it in clock-time. For allocator...",
"relevance_score": 5,
"relevance_tags": [
"0DTE",
"intraday",
"volatility"
],
"key_finding": "For allocators, the rise of 0DTE strategies poses both an opportunity and a challenge.",
"backtestable": true,
"data_we_have": true,
"priority": "MEDIUM"
},
{
"title": "VIX Term Structure | Cboe",
"authors": "Unknown",
"source": "web",
"url": "https://www.cboe.com/tradable-products/vix/term-structure/",
"date": "2026-04-03",
"abstract": "Term Structure and Volatility Indices on the S&P 500\u00ae Index Cboe Options Exchange offers these five gauges of expectations of future volatility based on real-time trading of S&P 500 options: the VIX9D Index (9-day volatility), VIX Index (30-day volatility), VIX3M (3-month volatility), VIX6M Index (6-month volatility), and VIX1Y Index (1-year volatility). The five indices can serve as tools to gain valuable insights on investor sentiment, and on the historical and current term structure r...",
"relevance_score": 5,
"relevance_tags": [
"vix"
],
"key_finding": "Monthly and weekly expirations are available and trade nearly 24 hours a day, five days a week.",
"backtestable": false,
"data_we_have": true,
"priority": "MEDIUM"
},
{
"title": "Valuation of variable annuities under the Volterra mortality and rough Heston models",
"authors": "Wenyuan Li, Haoqi Lyu",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.00472v2",
"date": "2026-04-01",
"abstract": "This paper investigates the valuation of variable annuity contracts with an early surrender option under non-Markovian models. Moreover, policyholders are provided with guaranteed minimum maturity and death benefits to protect against the downside risk. Unlike the existing literature, our variable annuity account value is linked to two non-Markovian processes: an equity index modeled by a rough Heston model and a force of mortality following a Volterra-type stochastic model. In this case, the ea...",
"relevance_score": 4,
"relevance_tags": [
"ml_trading"
],
"key_finding": "This paper investigates the valuation of variable annuity contracts with an early surrender option under non-Markovian models.",
"backtestable": true,
"data_we_have": true,
"priority": "LOW"
},
{
"title": "Dynamic Weight Optimization for Double Linear Policy: A Stochastic Model Predictive Control Approach",
"authors": "Tan Chin Hong, Chung-Han Hsieh",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.00415v1",
"date": "2026-04-01",
"abstract": "The Double Linear Policy (DLP) framework guarantees a Robust Positive Expectation (RPE) under optimized constant-weight designs or admissible prespecified time-varying policies. However, the sequential optimization of these time-varying weights remains an open challenge. To address this gap, we propose a Stochastic Model Predictive Control (SMPC) framework. We formulate weight selection as a receding-horizon optimal control problem that explicitly maximizes risk-adjusted returns while enforcing ...",
"relevance_score": 4,
"relevance_tags": [],
"key_finding": "Empirical results demonstrate that this dynamic, closed-loop approach improves risk-adjusted performance and drawdown control relative to constant-weight and prescribed time-varying DLP baselines.",
"backtestable": true,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "Pricing Lookback Options on a Quantum Computer",
"authors": "Florence Paquette, Tania Belabbas, Emmanuel Hamel, Anne MacKay",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.00389v1",
"date": "2026-04-01",
"abstract": "We develop a quantum algorithm to price discretely monitored lookback options in the Black-Scholes framework using imaginary time evolution. By rewriting the pricing PDE as a Schrodinger-type equation, the problem becomes the imaginary time evolution of a quantum state under a non-Hermitian Hamiltonian. This evolution is approximated with the Variational Quantum imaginary time evolution (VarQITE) method, which replaces the exact non-unitary dynamics with a parameterized, hardware-efficient quant...",
"relevance_score": 4,
"relevance_tags": [],
"key_finding": "Our results show that discretely monitored, path-dependent options with jump conditions can be handled within a variational quantum framework, paving the way toward the quantum pricing of more complex",
"backtestable": false,
"data_we_have": true,
"priority": "LOW"
},
{
"title": "Ultra-short-term volatility surfaces",
"authors": "Federico M. Bandi, Nicola Fusari, Guido Gazzani, Roberto Ren\u00f2",
"source": "arxiv",
"url": "https://arxiv.org/abs/2603.29430v1",
"date": "2026-03-31",
"abstract": "Options with maturities below one week, hereafter \"ultra-short-term\" options, have seen a sharp increase in trading activity in recent years. Yet, these instruments are difficult to price jointly using classical pricing models due to the pronounced oscillations observed in the at-the-money implied-volatility term structure across ultra-short-term tenors. We propose Edgeworth++, a parsimonious jump-diffusion model featuring a nonparametric stochastic volatility component, which provides flexibili...",
"relevance_score": 4,
"relevance_tags": [
"volatility"
],
"key_finding": "We propose Edgeworth++, a parsimonious jump-diffusion model featuring a nonparametric stochastic volatility component, which provides flexibility in capturing implied-volatility smiles for each tenor,",
"backtestable": false,
"data_we_have": true,
"priority": "LOW"
},
{
"title": "From Volatility to Variance: A Skew-Enhanced SABR Model and Its Empirical Study in the Chinese Financial Options Market",
"authors": "Wenxuan Zhang, Zhouchi Lin, Benzhuo Lu",
"source": "arxiv",
"url": "https://arxiv.org/abs/2603.27501v1",
"date": "2026-03-29",
"abstract": "Accurately characterizing the implied volatility curves is a central challenge in option pricing and risk management. The classical SABR model by Hagan et al. has been widely adopted in practice due to its well-defined stochastic volatility structure and its tractable closed-form approximation for Black implied volatility. However, under complex market conditions, its fitting accuracy for implied volatility curves remains limited. To address this issue, this paper proposes an extended model with...",
"relevance_score": 4,
"relevance_tags": [
"volatility"
],
"key_finding": "Numerical results show that, across different market regimes and a wide range of implied volatility curve shapes, the skew-SABR model consistently achieves high and stable fitting accuracy.",
"backtestable": true,
"data_we_have": true,
"priority": "LOW"
},
{
"title": "Time-Series Modeling for Corporate Financial Crisis Prediction: Evidence from Recurrent Neural Networks",
"authors": "Yanqiong Duan, Aizhen Ren",
"source": "journal",
"url": "https://doi.org/10.3390/math14040657",
"date": "2026-02-12",
"abstract": "Corporate financial distress typically emerges through a gradual accumulation process, rendering crisis prediction inherently dynamic and path-dependent. However, many existing studies continue to rely on static cross-sectional data or short-term observations, which limits their ability to capture the temporal evolution of financial risk. To address this issue, this study develops a time-series financial crisis early warning framework based on Recurrent Neural Networks (RNNs) and systematically ...",
"relevance_score": 4,
"relevance_tags": [
"ml_trading"
],
"key_finding": "The findings highlight the importance of time-series modeling for early warning applications and offer practical guidance for selecting appropriate predictive frameworks across different data structur",
"backtestable": true,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "Volatility Modelling - What Drives Cee Currency Option Prices?",
"authors": "Piotr Mielus",
"source": "journal",
"url": "https://doi.org/10.18267/j.pep.906",
"date": "2026-04-01",
"abstract": "This paper investigates the drivers of foreign exchange implied volatility in Central and Eastern European (CEE) countries. Currencies in non-euro EU countries are particularly sensitive to changes in market sentiment. Risk aversion significantly impacts the implied volatility surface for FX options, making these options crucial for managing skew risk. By analysing option prices, this study identifies co-movements between spot rates, interest rates, and volatilities for specific option strategie...",
"relevance_score": 4,
"relevance_tags": [
"mean_reversion",
"volatility"
],
"key_finding": "This paper investigates the drivers of foreign exchange implied volatility in Central and Eastern European (CEE) countries.",
"backtestable": true,
"data_we_have": true,
"priority": "LOW"
},
{
"title": "Market Frictions, Ambiguity and Asset Pricing:Evidence from China",
"authors": "Sunil S. Poshakwale, Binsheng Qian, Anandadeep; id_orcid 0000-0002-1018-8719 Mandal",
"source": "working_paper",
"url": "https://research.birmingham.ac.uk/en/publications/a542f23a-4b6b-4f3a-8308-d1dea551e39f",
"date": "2026-02-27",
"abstract": "We study the implications of ambiguity under arbitrage constraints and in a market dominated by retail investors to understand its impact on asset pricing. We propose a novel approach to empirically measure stock level ambiguity and analyse how ambiguity-averse investors respond to varying levels of market ambiguity. In contrast to the previous research, we find a positive ambiguity premium. We attribute this to investors\u2019 underreaction caused by the presence of significant market frictions in C...",
"relevance_score": 4,
"relevance_tags": [],
"key_finding": "We propose a novel approach to empirically measure stock level ambiguity and analyse how ambiguity-averse investors respond to varying levels of market ambiguity.",
"backtestable": false,
"data_we_have": true,
"priority": "LOW"
},
{
"title": "Market frictions, ambiguity and asset pricing: evidence from China",
"authors": "Sunil S. Poshakwale, Binsheng Qian, A Mandal",
"source": "journal",
"url": "https://doi.org/10.1007/s11156-026-01508-7",
"date": "2026-03-28",
"abstract": "We study the implications of ambiguity under arbitrage constraints and in a market dominated by retail investors to understand its impact on asset pricing. We propose a novel approach to empirically measure stock level ambiguity and analyse how ambiguity-averse investors respond to varying levels of market ambiguity. In contrast to the previous research, we find a positive ambiguity premium. We attribute this to investors\u2019 underreaction caused by the presence of significant market frictions in C...",
"relevance_score": 4,
"relevance_tags": [],
"key_finding": "We propose a novel approach to empirically measure stock level ambiguity and analyse how ambiguity-averse investors respond to varying levels of market ambiguity.",
"backtestable": false,
"data_we_have": true,
"priority": "LOW"
},
{
"title": "Steering Technological Progress",
"authors": "Anton Korinek, Joseph E. Stiglitz",
"source": "nber",
"url": "https://www.nber.org/papers/w34994#fromrss",
"date": "2026-04-03",
"abstract": "Rapid progress in new technologies such as AI has led to widespread anxiety about adverse labor market impacts. This paper asks how to guide innovative efforts so as to increase labor demand and create better-paying jobs while also evaluating the limitations of such an approach. We develop a theoretical framework to identify the properties that make an innovation desirable from the perspective of workers, including its technological complementarity to labor, the relative income of the affected w...",
"relevance_score": 4,
"relevance_tags": [],
"key_finding": "This paper asks how to guide innovative efforts so as to increase labor demand and create better-paying jobs while also evaluating the limitations of such an approach.",
"backtestable": false,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "Salience and (Non-)Buyer's Remorse: Optimal Nonlinear Pricing with Cognitively Constrained Consumers",
"authors": "Aaron L. Bodoh-Creed, Brent R. Hickman, John A. List, Ian Muir, Gregory K. Sun",
"source": "nber",
"url": "https://www.nber.org/papers/w35003#fromrss",
"date": "2026-04-03",
"abstract": "Nonlinear pricing theory predicts that firms can extract surplus by inducing heterogeneous consumers to self-sort across price contract offers that are ex-post optimal for them. We study subscription pricing when the frictionless sorting assumption fails. Using large-scale subscription experiments conducted by Lyft, we document systematic deviations from optimal self-selection: many high-demand consumers decline subscriptions that would have saved them money, while some subscribers fail to break...",
"relevance_score": 4,
"relevance_tags": [],
"key_finding": "We show that subscription uptake can be recast as one-sided noncompliance in a binary-instrument framework, allowing us to leverage LATE methods to identify counterfactual outcome distributions and a ",
"backtestable": true,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "Dynamic Adjustment to Trade Shocks",
"authors": "Junyuan Chen, Carlos G\u00f3es, Marc-Andreas Muendler, Fabian Trottner",
"source": "nber",
"url": "https://www.nber.org/papers/w35013#fromrss",
"date": "2026-04-03",
"abstract": "Global trade flows and supply chains adjust gradually. Empirical estimates of the trade elasticity for the short run are a fraction of those for the long run and suggest that trade is subject to substantive dynamic frictions. We develop a tractable framework that provides microfoundations for trade adjustment and rationalizes estimation of a time-varying trade elasticity. The model features forward-looking firms facing sticky sourcing choices and nests a version of the Eaton-Kortum model as a li...",
"relevance_score": 4,
"relevance_tags": [],
"key_finding": "Our findings suggest that sourcing frictions and anticipation effects alter the time pattern of specialization, can result in short-term welfare losses but long-term gains, and can drive marked trade ",
"backtestable": false,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "What Is Gamma Exposure? An In-Depth Analysis for Traders - Cheddar Flow",
"authors": "Unknown",
"source": "web",
"url": "https://www.cheddarflow.com/blog/what-is-gamma-exposure-an-in-depth-analysis-for-traders/",
"date": "2026-04-03",
"abstract": "When there is significant gamma at a specific strike, it can act like a \u201cgravitational force\u201d on the underlying price, especially as expiration nears. If the price is close to that strike, market maker hedging flows (buying or selling the underlying to stay delta-neutral) may cause the stock price to hover around or revert to that strike.",
"relevance_score": 4,
"relevance_tags": [
"gamma",
"dealer_hedging"
],
"key_finding": "If the price is close to that strike, market maker hedging flows (buying or selling the underlying to stay delta-neutral) may cause the stock price to hover around or revert to that strike.",
"backtestable": false,
"data_we_have": true,
"priority": "LOW"
},
{
"title": "Weekly Options on Stock Pinning",
"authors": "Unknown",
"source": "web",
"url": "https://www.wpunj.edu/Weekly%20Options%20on%20Stock%20Pinning%20upto%20page%208.pdf",
"date": "2026-04-03",
"abstract": "To investigate the possible reasons for stock pinning, we obtain several additional option \u00b7 variables. In particular, we obtain the trading volume of the at-the-money calls and puts on \u00b7 expiration day (VolExp) and the open interest of the at-the-money calls and puts on the day before",
"relevance_score": 4,
"relevance_tags": [
"pinning"
],
"key_finding": "In particular, we obtain the trading volume of the at-the-money calls and puts on \u00b7 expiration day (VolExp) and the open interest of the at-the-money calls and puts on the day before",
"backtestable": false,
"data_we_have": true,
"priority": "LOW"
},
{
"title": "GEXStream - Real-Time Gamma Exposure Analytics for Options Traders",
"authors": "Unknown",
"source": "web",
"url": "https://gexstream.com/",
"date": "2026-04-03",
"abstract": "Real-time options gamma exposure analytics and dealer positioning insights for professional traders. Track GEX ratios, market maker positioning, and options flow across S&P 500 stocks and ETFs.",
"relevance_score": 4,
"relevance_tags": [
"gamma"
],
"key_finding": "Track GEX ratios, market maker positioning, and options flow across S&P 500 stocks and ETFs.",
"backtestable": false,
"data_we_have": true,
"priority": "LOW"
},
{
"title": "CME Group Equity Index Options \u2013 A Quick Look at the Current State of Play - CME Group",
"authors": "Unknown",
"source": "web",
"url": "https://www.cmegroup.com/articles/2025/equity-index-options-state-of-play.html",
"date": "2026-04-03",
"abstract": "[3] For order risk mitigation methodology available for market makers on CME Globex, please see CME Group Mass Quote Protections. [4] For more information on pre-hedging of option block trades, please see Question 13 listed on the CME Group Market Regulation Advisory Notice (MRAN) [5] To adjust for homogenized contract value factors, the CME Group positions have been scaled up by a factor of 2 as the ES contract represents $50 x S&P 500 Index, while SPX represents $100 x S&P 500 Index.",
"relevance_score": 4,
"relevance_tags": [],
"key_finding": "[4] For more information on pre-hedging of option block trades, please see Question 13 listed on the CME Group Market Regulation Advisory Notice (MRAN) [5] To adjust for homogenized contract value fac",
"backtestable": false,
"data_we_have": true,
"priority": "LOW"
},
{
"title": "What Is a Gamma Squeeze? How It Works and How to Identify One \u2013 SpotGamma Support Center",
"authors": "Unknown",
"source": "web",
"url": "https://support.spotgamma.com/hc/en-us/articles/31612163559955-What-Is-a-Gamma-Squeeze-How-It-Works-and-How-to-Identify-One",
"date": "2026-04-03",
"abstract": "Expiration \u2014 when options expire, open interest zeroes out and the hedging obligation simply ceases. Reversal dynamics \u2014 once the squeeze peak is in, the same mechanics can run in reverse as dealer positions unwind, accelerating the selloff. The end of a gamma squeeze is often as fast as its beginning.",
"relevance_score": 4,
"relevance_tags": [
"mean_reversion"
],
"key_finding": "The end of a gamma squeeze is often as fast as its beginning.",
"backtestable": false,
"data_we_have": true,
"priority": "LOW"
},
{
"title": "Gamma Squeeze Explained Guide - MenthorQ",
"authors": "Unknown",
"source": "web",
"url": "https://menthorq.com/guide/gamma-squeeze-explained/",
"date": "2026-04-03",
"abstract": "If the market moves toward a gamma-neutral zone, dealers may flip from short gamma to long gamma. If the market crosses resistance zones loaded with short gamma, the hedging response may turn into a buying cascade. This flow is entirely mechanical\u2014it\u2019s not about investors becoming bullish, but about how dealers must respond to price and volatility changes to stay hedged.",
"relevance_score": 4,
"relevance_tags": [],
"key_finding": "This flow is entirely mechanical\u2014it\u2019s not about investors becoming bullish, but about how dealers must respond to price and volatility changes to stay hedged.",
"backtestable": false,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "How to Spot Buying Opportunities in Options Order Flow | Nasdaq",
"authors": "Unknown",
"source": "web",
"url": "https://www.nasdaq.com/articles/how-to-spot-buying-opportunities-in-options-order-flow",
"date": "2026-04-03",
"abstract": "In summary, to identify buying ... to analyze the trade side distribution data, the relationship between volume and open interest (both intraday and historically), and how the price and implied volatility have shifted...",
"relevance_score": 4,
"relevance_tags": [
"order_flow",
"options_microstructure",
"intraday",
"volatility"
],
"key_finding": "to analyze the trade side distribution data, the relationship between volume and open interest (both intraday and historically), and how the price and implied volatility have shifted.",
"backtestable": false,
"data_we_have": true,
"priority": "LOW"
},
{
"title": "Forecasting duration in high-frequency financial data using a self-exciting flexible residual point process",
"authors": "Kyungsub Lee",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.00346v1",
"date": "2026-04-01",
"abstract": "This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit heavy-tailed interarrival times, posing a significant challenge for accurate prediction. The proposed approach incorporates the empirical distributional features of interarrival times while preserving the self-exciting and decay structure. This work also examines the stochastic stability of the process, which can be inter...",
"relevance_score": 3,
"relevance_tags": [],
"key_finding": "This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process.",
"backtestable": true,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "Option Pricing on Automated Market Maker Tokens",
"authors": "Philip Z. Maymin",
"source": "arxiv",
"url": "https://arxiv.org/abs/2603.29763v1",
"date": "2026-03-31",
"abstract": "We derive the stochastic price process for tokens whose sole price discovery mechanism is a constant-product automated market maker (AMM). When the net flow into the pool follows a diffusion, the token price follows a constant elasticity of variance (CEV) process, nesting Black-Scholes as the limiting case of infinite liquidity. We obtain closed-form European option prices and introduce liquidity-adjusted Greeks. The CEV structure generates a leverage effect -- volatility rises as price falls --...",
"relevance_score": 3,
"relevance_tags": [
"volatility"
],
"key_finding": "A complementary delta-hedged backtest across 82 subnets confirms near-identical hedging errors at the money, consistent with the prediction that pricing differences are concentrated in the wings.",
"backtestable": true,
"data_we_have": true,
"priority": "LOW"
},
{
"title": "Be Water: An Evolutionary Proof for Trend-Following",
"authors": "Yijia Chen",
"source": "arxiv",
"url": "https://arxiv.org/abs/2603.29593v1",
"date": "2026-03-31",
"abstract": "The proliferation of diverse, high-leverage trading instruments in modern financial markets presents a complex, \"noisy\" environment, leading to a critical question: which trading strategies are evolutionarily viable? To investigate this, we construct a large-scale agent-based model, \"MAS-Utopia,\" comprising 10,000 agents with five distinct archetypes. This society is immersed in five years of high-frequency data under a counterfactual baseline: zero transaction friction and a robust Unconditiona...",
"relevance_score": 3,
"relevance_tags": [
"mean_reversion"
],
"key_finding": "Our findings offer profound implications, echoing the ancient wisdom of \"Be Water\": for investors, it demonstrates that survival is achieved not by rigid opposition, but by disciplined alignment with ",
"backtestable": false,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "Forecast collapse of transformer-based models under squared loss in financial time series",
"authors": "Pierre Andreoletti",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.00064v1",
"date": "2026-03-31",
"abstract": "We study trajectory forecasting under squared loss for time series with weak conditional structure, using highly expressive prediction models. Building on the classical characterization of squared-loss risk minimization, we emphasize regimes in which the conditional expectation of future trajectories is effectively degenerate, leading to trivial Bayes-optimal predictors (flat for prices and zero for returns in standard financial settings). In this regime, increased model expressivity does not i...",
"relevance_score": 3,
"relevance_tags": [],
"key_finding": "The results show that Transformer-based models yield larger errors than a simple linear benchmark on a large majority of forecasting windows, consistent with the variance-driven mechanism identified b",
"backtestable": true,
"data_we_have": false,
"priority": "LOW"
}
]
}