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Results for “Pricing of Securities”

30 findings

69match

Finding 37321 source

Despite these advances, exact pricing remains intractable for general cases, and alternative approximations can be off by a factor of 64, raising risks for market operators; efficient oracles only exist for certain securities.

LexicalMeaningQualityGraph

Matched: pricing, securities

68match

Finding 37301 source

Pricing securities in Constant Log Utility Market Makers (CLUM) is proven to be #P-hard, making exact price computation infeasible as outcome numbers growposing major challenges for prediction and DeFi markets.

LexicalMeaningQualityGraph

Matched: pricing, securities

67match

Finding 37331 source

This paper establishes the \# P-hardness of pricing in Constant Log Utility Market Makers (CLUM), paralleling foundational LMSR results, and introduces a practical approximation algorithm for interval securities. By connecting CLUM with constant function market makers (CFMMs), it offers novel theoretical and practical insights, significantly advancing DeFi and computational finance literature.

LexicalMeaningQualityGraph

Matched: pricing, securities

64match

Finding 37311 source

The authors introduce the first approximation algorithm for CLUMs, achieving high accuracy with a special oracle that identifies top-purchased outcomes, and use self-balancing binary search trees for practical interval security implementation.

LexicalMeaningQualityGraph

Matched: pricing, securities

63match

Finding 53251 source

Researchers unveil a neural network-based model for pricing illiquid assets like mortgage-backed securities, using real-time market and asset-level data to deliver accurate prices and robust uncertainty measures, surpassing traditional methods.

LexicalMeaningQualityGraph

Matched: pricing, securities

61match

Finding 61051 source

Researchers reveal that nonlinear taxation shapes arbitrage in multi-period securities markets, showing arbitrage hinges on the relationship between the markets implied equilibrium tax rate and the tax functions $$\partial$$ subdifferential.

LexicalMeaningQualityGraph

Matched: pricing, securities

61match

Finding 61061 source

Unexpectedly, single-period models remain arbitrage-free, with arbitrage emerging only in multi-period contexts where taxes shift. The study employs a novel relative pricing framework together with stochastic convex optimization techniques effectively.

LexicalMeaningQualityGraph

Matched: pricing, securities

61match

Finding 53261 source

Analyzing over 45 million MBS trades, the model achieved an impressive $R^2$ of 88%, adapting to market shifts within a single day and revealing which bond and market features most influence pricing.

LexicalMeaningQualityGraph

Matched: pricing, securities

60match

Finding 53271 source

The study finds delayed disclosure of key trade information (CUSIPs) increases pricing uncertainty, raising regulatory concerns; however, the models reliance on large, detailed datasets may limit accessibility for smaller institutions.

LexicalMeaningQualityGraph

Matched: pricing, securities

60match

Finding 61081 source

We analyze nonlinear taxation's effects on arbitrage opportunities in securities markets, deriving closed-form expressions using stochastic convex optimization. Extending Ross (1987)'s frameworks, the study refines understanding of bounded versus unbounded arbitrage in multi-period contexts. Its evolutionary innovations and rigorous methodology offer a fresh, nuanced perspective, making it a compelling contribution.

LexicalMeaningQualityGraph

Matched: pricing, securities

58match

Finding 65491 source

The authors introduce new terminologysuch as $$\text{market-consistent seller price}$$ and $$\text{buyer pricing strategy}$$providing clearer economic interpretations with backward induction in discrete-time models, despite assumptions limiting practical application in some cases.

LexicalMeaningQualityGraph

Matched: pricing, securities

58match

Finding 53281 source

This paper pioneers a semiparametric conditional factor model for quantile estimation in illiquid mortgage-backed securities (MBS), integrating neural networks for flexible factor loadings and cross-conformal prediction for calibrated intervals. Its assumption-light, dynamically adaptive approach delivers rigorous uncertainty quantification, outperforming existing methods and offering actionable insights, marking a significant advance in quantitative finance.

LexicalMeaningQualityGraph

Matched: pricing, securities

57match

Finding 65471 source

Researchers unveil a novel, market-consistent framework for pricing American options, bypassing traditional duality and martingale complexities while utilizing baskets of European payoff streams to naturally derive optimal exercise strategies effectively.

LexicalMeaningQualityGraph

Matched: pricing, securities

56match

Finding 61071 source

Authors introduce new tax definitions, including the implicit tax rate and the conjugate tax function, with elegant closed-form expressions bridging theory and practice, though noting limits of real tax distinctions.

LexicalMeaningQualityGraph

Matched: pricing, securities

56match

Finding 65501 source

This paper introduces a market-consistent pricing approach for American options, presenting an original and novel perspective deviating from standard arbitrage-free methods. It simplifies complex martingale theory and addresses exercise strategies in incomplete markets, making it a read for quantitative finance specialists focused on innovative derivative modeling and volatility analysis remarkably.

LexicalMeaningQualityGraph

Matched: pricing, securities

56match

Finding 60491 source

New paper tests pricing without mispricing by using decade-old data to strip mispricing; shockingly, CAPM assigns zero alpha while FF3/FF5/FF6 and Q4/Q5 fail, most starkly among large, liquid stocks today.

LexicalMeaningQualityGraph

Matched: pricing, securities

56match

Finding 65481 source

Surprisingly, the study finds that American options optionality does not add extra value, as replicable options may not enrich investor opportunities, challenging conventional assumptions and highlighting market efficiency indeed robustly.

LexicalMeaningQualityGraph

Matched: pricing, securities

56match

Finding 24711 source

The authors propose a simple delta-lagging adjustment, decoupling hedge ratio errors from stock returns, while employing extensive simulations with Black--Scholes, Leland, and Heston models to realistically capture market trading complexities.

LexicalMeaningQualityGraph

Matched: pricing, securities

56match

Finding 24701 source

Surprisingly, high-frequency hedging data, despite offering precision, can generate significant spurious returns that falsely signal risk premiums, emphasizing the necessity of adjusting for these biases using innovative hedging techniques effectively.

LexicalMeaningQualityGraph

Matched: pricing, securities

56match

Finding 24721 source

This paper innovatively tackles critical option market pricing challenges by analyzing microstructure biases in $\Delta$-hedged returns, employing a simulation environment to explore hedge frequency impacts. Its refined methodology using lagged hedge ratios offers novel insights and enhances bias correction techniques. The papers originality makes it compelling for quantitative finance researchers.

LexicalMeaningQualityGraph

Matched: pricing, securities

56match

Finding 24691 source

The study reveals that delta-hedging frequency significantly introduces measurement biases, as the indirect mean return ($IMR$) bias increases with higher rebalancing, potentially misleading analysis of risk premiums without proper adjustments.

LexicalMeaningQualityGraph

Matched: pricing, securities

55match

Finding 60511 source

Alpha decompositions show lingering MKT/HML or IA exposures inflate alphas despite near-zero spreads (mega caps: +41 bps, t=2.62, FF3). Conclusion: multifactor embed mispricing; simpler pass. Caveats: 10-year assumption, small-cap, horizons.

LexicalMeaningQualityGraph

Matched: pricing, securities

55match

Finding 60501 source

Authors sort stocks on 10-year-old FF3-based expected returns, build value-weighted bottom-versus-top 20% spreads using decade-old weights, and test alphas from 1968--2024 across size; transparent R-squared show persistent large-cap betas power.

LexicalMeaningQualityGraph

Matched: pricing, securities

54match

Finding 60521 source

This paper introduces a pragmatic test for the joint-hypothesis problem: assess alphas from portfolios built solely on decade-old information, presumed efficiently priced. Leveraging persistent multifactor betas for power, it finds $CAPM$ and simple variants pass while multifactor models fail, challenging orthodoxy and elevating simpler equilibrium benchmarks for academia and practice.

LexicalMeaningQualityGraph

Matched: pricing, securities

54match

Finding 26321 source

The paper reassesses textual features in financial reports using machine learning by integrating traditional asset pricing models with modern NLP measures. Although it finds limited predictive power beyond conventional methods, it introduces a refreshing perspective challenging prevailing assumptions and offering a moderately original discussion that motivates exploration in financial analytics.

LexicalMeaningQualityGraph

Matched: pricing, securities

53match

Finding 26311 source

The analysis uncovers that textual signals lose significance, particularly in hard-to-trade small stocks, with modest returns from similarity measures in microcap stocks constrained by arbitrage, low investor attention, and overpricing.

LexicalMeaningQualityGraph

Matched: pricing, securities

53match

Finding 26291 source

The study reveals financial report text analysis offers insights yet delivers impact, as advanced machine learning utilizing similarity, readability, and sentiment features shows weak predictive power versus traditional market metrics.

LexicalMeaningQualityGraph

Matched: pricing, securities

53match

Finding 79291 source

Researchers develop an innovative, comprehensive general equilibrium model integrating investors' portfolio choices, asset pricing, and firms' payout decisions, introducing a consistent equilibrium definition for buyback strategies to maintain long-term stability.

LexicalMeaningQualityGraph

Matched: pricing, securities

53match

Finding 77851 source

This paper introduces a translation invariant recursive utility framework within dynamic risk sharing, integrating a traded annuity into the state price density. Its originality lies in accommodating heterogeneous preferences while innovatively extending traditional models. This novel approach offers insights into Quantitative Risk Management and finance, making it compelling and impactful.

LexicalMeaningQualityGraph

Matched: pricing, securities

53match

Finding 26301 source

Researchers compare standard stock characteristics and textual features across various models, including OLS, PLS, LASSO, and ensemble methods, using nearly three decades of U.S. market data and robust cross-validation techniques.

LexicalMeaningQualityGraph

Matched: pricing, securities