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29 posts on AI and markets.

The Gen-AI series.

Ajit K Dubey2024

Also in AI & agents

Why Banks Exist?

Financial markets research.

Dr. Tim Leung 2020–2022

Multiscale Analysis & Volatility Asymmetry of Cryptocurrency Prices

  1. Leveraged ETFs — Price Dynamics and Options Valuation

  2. Modern Trends in Financial Engineering

  3. Examining the Drawdown Risk of Sector ETFs — 2022

  4. Optimal Execution for High Frequency Trading

  5. Stochastic Storage Cost Model for Grains Futures

  6. Dynamic Estimation of Stochastic Gold Exposure

  7. Encoding Market View via a Randomized Brownian Bridge

  8. Multiscale Decomposition and Analysis of Sector ETF Price Dynamics

  9. Dynamic Futures Portfolio in a Regime-Switching Market

  10. Dynamic Futures Portfolio Under a Multifactor Gaussian Framework

  11. Multiscale Financial Signal Processing

  12. Cardinality-Constrained Portfolios: Optimization Approach & Algorithm

  13. Employee Stock Options — Exercise Timing, Hedging, and Valuation

  14. An Optimization Algorithm for Sparse Mean-Reverting Portfolio Selection

  15. The Drawdown Risk and Portfolio Concentration of Sector ETFs

Market structure & economics.

Dr. Philip Bond2008–2023

  1. The Labor Market for Bankers and Regulators

  2. Automation, financial frictions, and the long-run labor share

  3. ESG: A panacea for market power?

  4. Ordering information content using the quantile function.

  5. Buying high and selling low: Stock repurchases and persistent asymmetric information

  6. Contracting in the presence of judicial agency

  7. The real effects of financial markets

  8. Predatory mortgage lending

Ten notes behind the swarm.

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