{
"scan_date": "2026-04-14",
"sources_checked": [
"arxiv",
"openalex",
"nber",
"bis",
"ny_fed",
"chicago_fed",
"cboe",
"google_scholar",
"ssrn"
],
"papers_found": 198,
"papers_relevant": 9,
"top_papers": [
{
"title": "Temperature Anomalies and Climate Physical Risk in Portfolio Construction",
"authors": "Michele Azzone, Carlo Bechi, Gabriele Sbaiz",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.11143v1",
"date": "2026-04-13",
"abstract": "Driven by the increasing frequency and intensity of natural disasters and chronic climate threats, we investigate the impact of physical climate risk on global equity portfolios. By employing a panel regression analysis on sectoral returns, we provide statistical evidence that extreme temperature events exert a negative effect on most sectors. We introduce two novel metrics based on these temperature anomalies, Climate Risk Exposure and Climate Exposure Volatility, in order to measure the enviro...",
"relevance_score": 6,
"relevance_tags": [],
"key_finding": "Finally, we conduct a backtesting analysis to show the practical benefits of incorporating these climate risk metrics into the investment process, evaluating how climate-aware strategies perform relat",
"backtestable": true,
"data_we_have": true,
"priority": "MEDIUM"
},
{
"title": "Does Options Open Interest Pin the Underlying? Five Tests on 2,294 Trading Days",
"authors": "Nathan Elms",
"source": "journal",
"url": "https://doi.org/10.5281/zenodo.19540116",
"date": "2026-04-12",
"abstract": "Prior work has established that options open interest can either pin or amplify underlyingprice movement near expiration, depending on the sign of aggregate dealer gamma exposure(Avellaneda & Lipkin 2003; Jeannin et al. 2008; Barbon & Buraschi 2021). Golez & Jackwerth(2012) documented pinning in S&P 500 futures through 2009. We extend their analysis to2016\u20132025, a period marked by the proliferation of weekly and zero-days-to-expiration (0DTE)options, using 1.6 million near-expiry SPY options rec...",
"relevance_score": 6,
"relevance_tags": [
"0DTE",
"gamma",
"order_flow",
"volatility"
],
"key_finding": "Thisinvestigation was prompted by a structural profiling tool (Database Whisper) that identifiedopen interest as more structurally informative than implied volatility in options data.",
"backtestable": false,
"data_we_have": true,
"priority": "MEDIUM"
},
{
"title": "Does Options Open Interest Pin the Underlying? Five Tests on 2,294 Trading Days",
"authors": "Nathan Elms",
"source": "journal",
"url": "https://doi.org/10.5281/zenodo.19540115",
"date": "2026-04-12",
"abstract": "Prior work has established that options open interest can either pin or amplify underlyingprice movement near expiration, depending on the sign of aggregate dealer gamma exposure(Avellaneda & Lipkin 2003; Jeannin et al. 2008; Barbon & Buraschi 2021). Golez & Jackwerth(2012) documented pinning in S&P 500 futures through 2009. We extend their analysis to2016\u20132025, a period marked by the proliferation of weekly and zero-days-to-expiration (0DTE)options, using 1.6 million near-expiry SPY options rec...",
"relevance_score": 6,
"relevance_tags": [
"0DTE",
"gamma",
"order_flow",
"volatility"
],
"key_finding": "Thisinvestigation was prompted by a structural profiling tool (Database Whisper) that identifiedopen interest as more structurally informative than implied volatility in options data.",
"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": "2026-04-14",
"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": "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": "2026-04-14",
"abstract": "With the vast difference in trading activities, it is quite certain that ES futures price moves first and drives the rest of the S&P 500 related markets \u2013 ETFs, ES options, SPX options, SPY options, etc., with the ES futures serving as the default delta hedging vehicle. Indeed, SPX options market makers hedge with ES futures, with the combined ES futures and options and SPX options positions margined as a single portfolio through the CME-OCC cross margining arrangement.",
"relevance_score": 6,
"relevance_tags": [
"dealer_hedging",
"options_microstructure"
],
"key_finding": "Indeed, SPX options market makers hedge with ES futures, with the combined ES futures and options and SPX options positions margined as a single portfolio through the CME-OCC cross margining arrangeme",
"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": "2026-04-14",
"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": "Disagreement of Disagreement",
"authors": "Christian L. Goulding, Campbell R. Harvey, Hrvoje Kurtovi\u0107",
"source": "nber",
"url": "https://www.nber.org/papers/w35049#fromrss",
"date": "2026-04-14",
"abstract": "We show that major investor disagreement proxies have near zero correlation \u2013 making disagreement pricing inferences challenging. We develop a frictionless model that generates overpricing from latent disagreement, jointly rationalizes major proxies, and generates new testable predictions. Equilibrium interrelationships motivate a new disagreement measure, DIS, which is more predictive of returns cross-sectionally than major proxies and more consistently predictive across macroeconomic regimes. ...",
"relevance_score": 5,
"relevance_tags": [
"opening_range"
],
"key_finding": "We show that major investor disagreement proxies have near zero correlation \u2013 making disagreement pricing inferences challenging.",
"backtestable": true,
"data_we_have": false,
"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": "2026-04-14",
"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": "VIX Term Structure | Cboe",
"authors": "Unknown",
"source": "web",
"url": "https://www.cboe.com/tradable-products/vix/term-structure/",
"date": "2026-04-14",
"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": "OOM-RL: Out-of-Money Reinforcement Learning Market-Driven Alignment for LLM-Based Multi-Agent Systems",
"authors": "Kun Liu, Liqun Chen",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.11477v1",
"date": "2026-04-13",
"abstract": "The alignment of Multi-Agent Systems (MAS) for autonomous software engineering is constrained by evaluator epistemic uncertainty. Current paradigms, such as Reinforcement Learning from Human Feedback (RLHF) and AI Feedback (RLAIF), frequently induce model sycophancy, while execution-based environments suffer from adversarial \"Test Evasion\" by unconstrained agents. In this paper, we introduce an objective alignment paradigm: \\textbf{Out-of-Money Reinforcement Learning (OOM-RL)}. By deploying agen...",
"relevance_score": 4,
"relevance_tags": [
"ml_trading"
],
"key_finding": "We demonstrate that the undeniable ontological consequences of financial loss forced the MAS to abandon overfitted hallucinations in favor of the \\textbf{Strict Test-Driven Agentic Workflow (STDAW)}, ",
"backtestable": true,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "Mandatory Disclosure in Oligopolistic Market Making",
"authors": "Seongjin Kim, Jin Hyuk Choi",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.10194v1",
"date": "2026-04-11",
"abstract": "We develop a multi-period Kyle-type model that incorporates both mandatory disclosure of informed trades and imperfect competition among market makers. We prove the existence and uniqueness of a linear equilibrium and show that the liquidity-enhancing effect of disclosure is fundamentally linked to the degree of market-making competition. Disclosure lowers trading costs by reducing price impact, and its marginal benefit is strictly larger when competition is weak. We empirically validate this pr...",
"relevance_score": 4,
"relevance_tags": [],
"key_finding": "equities confirms that the spread reduction following enhanced disclosure is significantly larger for stocks with fewer active market makers.",
"backtestable": true,
"data_we_have": true,
"priority": "LOW"
},
{
"title": "Regime-Aware Specialist Routing for Volatility Forecasting",
"authors": "Tenghan Zhong",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.10402v1",
"date": "2026-04-12",
"abstract": "Volatility forecasting becomes challenging when market conditions change and model performance varies across regimes. Motivated by this instability, we develop a regime-aware specialist routing framework for ETF volatility forecasting. The framework uses online risk-sensitive evaluation and state-dependent gating to combine different forecasting specialists across calm and stressed market states. Using a daily panel of six ETFs under a rolling walk-forward design, we find that the strongest fore...",
"relevance_score": 4,
"relevance_tags": [],
"key_finding": "These results suggest that specialist routing provides a practical adaptive forecasting architecture for changing market conditions.",
"backtestable": true,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "Risk-Constrained Kelly for Mutually Exclusive Outcomes: CRRA Support Invariance and Logarithmic One-Dimensional Calibration",
"authors": "Christopher D. Long",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.11577v1",
"date": "2026-04-13",
"abstract": "We study the finite mutually exclusive outcome version of risk-constrained Kelly optimization with explicit state prices. The market has outcome probabilities $p_i>0$, state prices $q_i>0$, terminal wealths $W_i=c+x_i/q_i$, and a drawdown-surrogate constraint \\[ \\sum_{i=1}^n p_i W_i^{-\u03bb}\\le 1,\\qquad \u03bb>0. \\] For constant relative risk aversion utility, we work primarily in the standard overround regime $\\sum_i q_i>1$, where every optimizer is necessarily non-full-support. Under the usual unique l...",
"relevance_score": 4,
"relevance_tags": [
"order_flow"
],
"key_finding": "A numerical example illustrates how the risk constraint alters the funded wealth profile while leaving support unchanged.",
"backtestable": false,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "Investing Is Compression",
"authors": "Oscar Stiffelman",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.10758v2",
"date": "2026-04-12",
"abstract": "In 1956 John Kelly wrote a paper at Bell Labs describing the relationship between gambling and Information Theory. What became known as the Kelly criterion is an objective or utility function and a closed form solution in simple cases. The economist Paul Samuelson argued that it was an arbitrary utility function, and he successfully kept it out of mainstream economics. But he was wrong. We now know, largely through the work of Tom Cover at Stanford, that Kelly's proposal is objectively optimal: ...",
"relevance_score": 4,
"relevance_tags": [],
"key_finding": "This means that investing is, fundamentally, a compression problem.",
"backtestable": false,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "Aharanov-Bohm Type Arbitrage and Homological Obstructions in Financial Markets",
"authors": "Takanori Adachi",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.10492v1",
"date": "2026-04-12",
"abstract": "We introduce a new notion of arbitrage based on global loop effects in filtered market systems. Given a filtration modeled as a contravariant functor $F : \\mathcal{T}^{op} \\to \\mathrm{Prob}$, we consider the associated conditional expectation functor $\\mathcal{E} \\circ F$ and show that it induces a canonical multiplicative distortion $dF(i) := (\\mathcal{E} \\circ F)(i)(1)$, which measures the failure of constant functions to be preserved under non-measure-preserving transitions. We define the hol...",
"relevance_score": 4,
"relevance_tags": [],
"key_finding": "This provides a conceptual link between cohomological structures and economically realizable arbitrage opportunities.",
"backtestable": true,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "Predicted Incrementality by Experimentation (PIE) for Ad Measurement",
"authors": "Brett R. Gordon, Robert Moakler, Florian Zettelmeyer",
"source": "nber",
"url": "https://www.nber.org/papers/w35044#fromrss",
"date": "2026-04-14",
"abstract": "Randomized controlled trials (RCTs) provide the most credible estimates of advertising incrementality but are difficult to scale. We propose Predicted Incrementality by Experimentation (PIE), which reframes ad measurement as a campaign-level prediction problem. PIE uses a sample of RCTs to learn a mapping from campaign features to causal effects, then applies it to campaigns not run as RCTs. Because the RCTs identify the causal effects, PIE can incorporate post-determined features\u2014campaign-level...",
"relevance_score": 4,
"relevance_tags": [],
"key_finding": "We propose Predicted Incrementality by Experimentation (PIE), which reframes ad measurement as a campaign-level prediction problem.",
"backtestable": true,
"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": "2026-04-14",
"abstract": "As time approaches expiration, that gravitational effect can become stronger if the strike remains near the underlying\u2019s trading level. On November 17th, 2025, we noted that GEX exposure was rapidly building at the 670 strike.",
"relevance_score": 4,
"relevance_tags": [
"gamma"
],
"key_finding": "On November 17th, 2025, we noted that GEX exposure was rapidly building at the 670 strike.",
"backtestable": false,
"data_we_have": false,
"priority": "LOW"
},
{
"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": "2026-04-14",
"abstract": "dated contracts are more sensitive to intraday order \ufb02ow volatility. Finally, the results show \u00b7 that |OIs,t| is positively related to the spread only in the sample of medium-term options ... 23Qualitatively similar results are obtained using a cross-sectional Fama-MacBeth regression instead of \u00b7 the panel regression, and they are presented in Table IA.6 in the Online Appendix. 24For 0DTE options, we use the greeks recorded on day t \u22121.",
"relevance_score": 4,
"relevance_tags": [
"0DTE",
"order_flow",
"intraday"
],
"key_finding": "24For 0DTE options, we use the greeks recorded on day t \u22121.",
"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": "2026-04-14",
"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": "Riding the Gamma Squeeze: How Options Hedgin... | Alpha Learning",
"authors": "Unknown",
"source": "web",
"url": "https://stockalpha.ai/alpha-learning/riding-the-gamma-squeeze-how-options-hedging-fuels-stock-surges",
"date": "2026-04-14",
"abstract": "A concentrated cluster of near-term call open interest can therefore create significant hedging flow for the underlying. ... At the end of the day this is simply a delta feedback loop. You can think of dealers as forced participants who provide liquidity in calm markets but become trend amplifiers when gamma is concentrated. To assess whether a gamma squeeze is possible you need to combine options data, on-chain order flow signals, and stock-specific supply metrics.",
"relevance_score": 4,
"relevance_tags": [
"order_flow"
],
"key_finding": "To assess whether a gamma squeeze is possible you need to combine options data, on-chain order flow signals, and stock-specific supply metrics.",
"backtestable": true,
"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": "2026-04-14",
"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": "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": "2026-04-14",
"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": "Reliability-Aware ETF Tail-Risk Monitoring",
"authors": "Tenghan Zhong",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.08765v1",
"date": "2026-04-09",
"abstract": "Daily ETF risk monitoring can become unreliable when market data quality degrades, market conditions shift, or predictive performance becomes unstable. This paper develops a reliability-aware risk monitoring service for next-day tail-risk surveillance. The proposed framework combines service-time quality checks, lower-tail prediction, uncertainty scoring, and conservative risk adjustment. We evaluate the system on a daily panel of multiple ETFs augmented with VIX and yield-curve information unde...",
"relevance_score": 3,
"relevance_tags": [
"vix"
],
"key_finding": "This paper develops a reliability-aware risk monitoring service for next-day tail-risk surveillance.",
"backtestable": true,
"data_we_have": true,
"priority": "LOW"
},
{
"title": "On the Structure of Risk Contribution: A Leave-One-Out Decomposition into Inherent and Correlation Risk",
"authors": "Nolan Alexander, Frank Fabozzi",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.10375v1",
"date": "2026-04-11",
"abstract": "This paper develops a decomposition of standard Risk Contribution (RC) into two economically interpretable components: inherent risk and correlation risk. Using a leave-one-out representation, each position's RC separates into a term reflecting its own volatility contribution independent of the portfolio and a term capturing its covariance with the remainder of the portfolio. The inherent component is always positive, arising from the intrinsic volatility of the position, while the correlation c...",
"relevance_score": 3,
"relevance_tags": [],
"key_finding": "This paper develops a decomposition of standard Risk Contribution (RC) into two economically interpretable components: inherent risk and correlation risk.",
"backtestable": false,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "A Decomposition Method for LQ Conditional McKean-Vlasov Control Problems with Random Coefficients",
"authors": "On\u00e9sime Hounkpe, Dena Firoozi, Shuang Gao",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.12114v1",
"date": "2026-04-13",
"abstract": "We propose a decomposition method for solving a general class of linear-quadratic (LQ) McKean-Vlasov control problems involving conditional expectations and random coefficients, where the system dynamics are driven by two independent Wiener processes. Unlike existing approaches in the literature for these problems, such as the extended stochastic maximum principle and the extended dynamic programming methods, which often involve additional technical complexities and sometimes impose restrictive ...",
"relevance_score": 3,
"relevance_tags": [],
"key_finding": "We propose a decomposition method for solving a general class of linear-quadratic (LQ) McKean-Vlasov control problems involving conditional expectations and random coefficients, where the system dynam",
"backtestable": false,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "Mechanism Design for Investment Regulation under Herding",
"authors": "Huisheng Wang, H. Vicky Zhao",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.11100v1",
"date": "2026-04-13",
"abstract": "Herding, where investors imitate others' decisions rather than relying on their own analysis, is a prevalent phenomenon in financial markets. Excessive herding distorts rational decisions, amplifies volatility, and can be exploited by manipulators to harm the market. Traditional regulatory tools, such as information disclosure and transaction restrictions, are often imprecise and lack theoretical guarantees for effectiveness. This calls for a quantitative approach to regulating herding. We propo...",
"relevance_score": 3,
"relevance_tags": [],
"key_finding": "We propose a regulator-leader-follower trilateral game framework based on optimal control theory to study the complex dynamics among them.",
"backtestable": false,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "A Counterfactual Diagnostic Framework for Explaining KS Deterioration in Credit Risk Model Validation",
"authors": "Yiqing Wang",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.11561v1",
"date": "2026-04-13",
"abstract": "The Kolmogorov-Smirnov (KS) statistic is widely used in credit risk model monitoring and validation to assess discriminatory power. In practice, a material decline in KS often triggers governance review and requires validation teams to identify the breach source and the potential business risk. However, such diagnosis is frequently conducted on an ad hoc basis, relying on the judgment of individual validators rather than a standardized analytical framework. This paper proposes a counterfactual d...",
"relevance_score": 3,
"relevance_tags": [],
"key_finding": "This paper proposes a counterfactual diagnostic framework for explaining KS deterioration in credit risk model validation.",
"backtestable": false,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "Lambda R{\u00e9}nyi entropic value-at-risk",
"authors": "Zhenfeng Zou",
"source": "arxiv",
"url": "https://arxiv.org/abs/2604.10657v1",
"date": "2026-04-12",
"abstract": "This paper introduces the Lambda extension of the R\u00e9nyi entropic value-at-risk ($\u039b$-EVaR), a novel family of risk measures that unifies the flexible confidence level structure of the $\u039b$-framework with the higher-moment sensitivity of EVaR. We define $\u039b$-EVaR, establish its foundational properties including monotonicity, cash subadditivity, and quasi-convexity, and provide a complete axiomatic characterization showing that convexity, concavity in mixtures and cash additivity hold only when $\u039b$ i...",
"relevance_score": 3,
"relevance_tags": [],
"key_finding": "This paper introduces the Lambda extension of the R\u00e9nyi entropic value-at-risk ($\u039b$-EVaR), a novel family of risk measures that unifies the flexible confidence level structure of the $\u039b$-framework wit",
"backtestable": false,
"data_we_have": false,
"priority": "LOW"
},
{
"title": "Geopolitical risks, market volatility, and tech firms involved in quantum computing",
"authors": "Oana Panazan, Catalin GHEORGHE",
"source": "journal",
"url": "https://doi.org/10.3846/jbem.2026.26193",
"date": "2026-02-27",
"abstract": "This study examines how global uncertainty influences the financial dynamics of technology firms involved in quantum computing, a strategically significant but structurally fragile segment of emerging deep-tech markets. Using daily data from January 2015 to May 2025, the analysis integrates principal component decomposition, panel regression, Granger causality testing and volatility diagnostics to assess the transmission of market volatility and geopolitical risk. The findings show that market v...",
"relevance_score": 3,
"relevance_tags": [
"order_flow",
"vix"
],
"key_finding": "The study contributes new empirical evidence on the interplay between financial and geopolitical risk in advanced technology sectors and offers a replicable framework for uncertainty modelling in fron",
"backtestable": false,
"data_we_have": true,
"priority": "LOW"
},
{
"title": "Stock Liquidity and Social Media Analyst Coverage: Evidence from Tick Size Pilot Program",
"authors": "Yuqi Han, Dan Luo, Yinge Zhang",
"source": "journal",
"url": "https://doi.org/10.3390/jrfm19020098",
"date": "2026-02-02",
"abstract": "Social media analysts (SMAs) on venues such as Seeking Alpha have become an important information intermediary for retail investors, particularly for smaller firms that receive limited attention from traditional channels. This study examines the effects of the wider tick size on social media analyst coverage in the U.S. capital market. Using the SEC\u2019s 2016\u20132018 Tick Size Pilot Program as a quasi-natural experiment and a difference-in-differences design on approximately 2400 small-cap stocks, we ...",
"relevance_score": 3,
"relevance_tags": [],
"key_finding": "These results imply that market microstructure reforms can inadvertently weaken the retail investor information ecosystem by discouraging independent research production.",
"backtestable": true,
"data_we_have": true,
"priority": "LOW"
}
]
}