A. Most Recent (April 2026)

1. The Self Driving Portfolio: Agentic Architecture for Institutional Asset Management Autonomous multi-agent system for institutional portfolio management with hierarchical decision-making. (2026-04-03)https://arxiv.org/abs/2604.02279

2. Hedging Market Risk and Uncertainty via a Robust Portfolio Approach Robust optimization framework for portfolio hedging under Knightian uncertainty. (2026-04-03) https://arxiv.org/abs/2604.02126

3. Reinforcement Learning for Speculative Trading under Exploratory Framework Novel RL formulation addressing exploration-exploitation in speculative strategies. (2026-04-02) https://arxiv.org/abs/2604.02035

4. Do Prediction Markets Forecast Cryptocurrency Volatility? Evidence from Kalshi Macro Contracts Examines predictive power of prediction markets for crypto volatility using Kalshi data. (2026-04-02)https://arxiv.org/abs/2604.01431

5. Forecasting Duration in High-Frequency Financial Data Using a Self-Exciting Flexible Residual Point ProcessPoint process model for HFT duration forecasting with flexible residual specifications. (2026-04-01)https://arxiv.org/abs/2604.00346

6. Pricing Lookback Options on a Quantum Computer Quantum algorithm for path-dependent option pricing with practical implementation considerations. (2026-04-01) https://arxiv.org/abs/2604.00389

7. Valuation of Variable Annuities under the Volterra Mortality and Rough Heston Models Combines rough volatility with stochastic mortality for insurance-linked product valuation. (2026-04-01)https://arxiv.org/abs/2604.00472

8. Decomposable Reward Modeling and Realistic Environment Design for RL-Based Forex Trading Addresses reward engineering challenges in FX trading with modular reward decomposition. (2026-04-01)https://arxiv.org/abs/2604.00031

9. Forecast Collapse of Transformer-Based Models under Squared Loss in Financial Time Series Critical analysis of Transformer failure modes in financial forecasting, identifies architectural limitations. (2026-04-01)https://arxiv.org/abs/2604.00064

10. On the Mean-Variance Problem Through the Lens of Multivariate Fake Stationary Affine Volterra DynamicsNovel mathematical framework extending mean-variance optimization to rough volatility settings. (2026-04-02)https://arxiv.org/abs/2604.01300

11. Bridging Classical and Martingale Schrödinger Bridges Mathematical finance cross-list connecting optimal transport with portfolio theory. (2026-04-02) https://arxiv.org/abs/2604.01299

B. Late March 2026

12. Bridging Stochastic Control and Deep Hedging: Structural Priors for No-Transaction Band NetworksProposes WW-NTBN architecture embedding Whalley-Wilmott formula as structural prior. Faster convergence, closer match to optimal control. (2026-03-31) https://arxiv.org/abs/2603.29994

13. Option Pricing on Automated Market Maker Tokens Derivatives pricing framework for AMM LP tokens in DeFi. (2026-03-30) https://arxiv.org/abs/2603.29763

14. Common Risk Factors in Decentralized AI Subnets Factor model for emerging decentralized AI compute markets (Bittensor-style). (2026-03-30) https://arxiv.org/abs/2603.29751

15. Model Predictive Control for Trade Execution MPC framework for optimal execution with market impact and inventory constraints. (2026-03-28) https://arxiv.org/abs/2603.28898

16. Nonlinear Factor Decomposition via Kolmogorov-Arnold Networks: A Spectral Approach to Asset Return Analysis KAN architecture for nonlinear factor model estimation with spectral interpretability. (2026-03-27)https://arxiv.org/abs/2603.28257

17. From Volatility to Variance: A Skew-Enhanced SABR Model for the Chinese Options Market Modified SABR calibration for CSI 300 and SSE 50 options with improved skew fit. (2026-03-27) https://arxiv.org/abs/2603.27501

18. Rough Volatility Dynamics in Commodity Markets Empirical analysis of rough volatility signatures in energy and agricultural commodities. (2026-03-26) https://arxiv.org/abs/2603.26514

19. Capital-Allocation-Induced Risk Sharing Theoretical analysis of how capital allocation rules affect systemic risk distribution. (2026-03-26) https://arxiv.org/abs/2603.26491

20. STN-GPR: A Singularity Tensor Network Framework for Efficient Option Pricing Tensor network methods for fast multi-asset option pricing. (2026-03-26) https://arxiv.org/abs/2603.26318

C. Mid-March 2026

21. Environmental CVA with K-Robust Wrong-Way Risk Climate-adjusted credit valuation adjustment with robust wrong-way risk modeling. (2026-03-24) https://arxiv.org/abs/2603.23842

22. Proxy-Reliance Control in Conformal Recalibration of One-Sided Value-at-Risk Extends conformal prediction for VaR with proxy dependence control. (2026-03-24) https://arxiv.org/abs/2603.22569

23. Modeling and Forecasting Tail Risk Spillovers: A Component-Based CAViaR Approach Component CAViaR for tail risk contagion measurement across markets. (2026-03-25) https://arxiv.org/abs/2603.25217

24. Shifting Correlations: How Trade Policy Uncertainty Alters Stock-T-bill Relationships Dynamic correlation analysis linking trade policy shocks to asset class co-movements. (2026-03-25) https://arxiv.org/abs/2603.25285

25. Robust Investment-Driven Insurance Pricing and Liquidity Management Optimization framework for insurance pricing with investment constraints. (2026-03-19) https://arxiv.org/abs/2603.18962

26. Generative Adversarial Regression (GAR): Learning Conditional Risk Scenarios GAN-based framework for scenario generation in risk management applications. (2026-03-08) https://arxiv.org/abs/2603.08553

27. Semi-Structured Multi-State Delinquency Model for Mortgage Default Hybrid statistical-ML model for mortgage credit risk with interpretable structure. (2026-03-26) https://arxiv.org/abs/2603.26309

28. Pricing and Hedging for Liquidity Provision in Constant Function Market Making Complete analytical framework for LP positions in CFMMs (Uniswap-style AMMs). (2026-03-01) https://arxiv.org/abs/2603.01344

29. Deep Learning for Financial Time Series: A Large-Scale Benchmark of Risk-Adjusted PerformanceComprehensive benchmark across architectures. xLSTM achieves Sharpe 1.79 (2010-2025), 1.99 in recent period. Zohren et al. (2026-03-03) https://arxiv.org/abs/2603.01820

30. Stock Market Prediction Using Node Transformer Architecture Integrated with BERT Sentiment AnalysisGraph neural network with BERT sentiment for equity prediction. (2026-03-05) https://arxiv.org/abs/2603.05917

SSRN — Top 30 Papers

April 2026

1. Transformer Uncertainty and the Cross-Section of Stock Returns Uncertainty measures from Transformer attention patterns as pricing factors. (Posted: 2 Apr 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6412360

2. Geopolitical Risk and Equity Returns: Evidence From Global Markets Cross-country analysis of geopolitical risk premia. (Posted: 2 Apr 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6426223

Late March 2026

3. How Do Cryptocurrencies Price Economic News? Event-study analysis of macro news impact on crypto returns. (Posted: 31 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6447644

4. Every Seed, Every Result: Intent-to-Treat Reporting for Financial Reinforcement Learning Methodological framework for reproducible RL backtesting in finance. (Posted: 31 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6382938

5. Assessing the Benefits of Optimized Agentic AI Systems for Asset Pricing Evaluates multi-agent AI architectures for factor model estimation. (Posted: 30 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6474601

6. Transformer-Based Sentiment, Alpha Decay, and Market Efficiency (NIFTY 50) Sentiment-driven alpha analysis in Indian equity markets. (Posted: 30 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6299459

7. Robust Reinforcement Learning for Market Making under Model Uncertainty RL market-making with adversarial robustness to model misspecification. (Posted: 28 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6487270

8. Machine Learning Models for Loan Default Prediction Using Borrower Financial Attributes Comparative ML study for consumer credit risk. (Posted: 26 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6424158

9. Identification via Heteroskedasticity when Attention is Endogenous Econometric methodology for causal inference in attention-driven markets. (Posted: 26 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6350358

10. Arrow-Debreu Meets Kyle: Price Discovery Across Derivatives Unified microstructure model spanning spot and derivatives markets. (Posted: 26 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6361238

11. Enhancing RL for Stock Trading Through Combinatorial Optimization Hybrid RL-combinatorial optimization for portfolio selection. (Posted: 25 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6469180

12. Machine Learning and AI in Market Risk Management: A Review Comprehensive survey of ML applications in market risk. (Posted: 25 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6423478

13. The Sound of Silence: Policy Signals and Risk Premia How absence of policy communication affects asset pricing. (Posted: 24 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6191779

14. Asset Pricing with Endogenous Default Equilibrium model with strategic default and credit risk premia. (Posted: 24 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6336038

15. ScoreMatchingRiesz for Automatic Debiased Machine Learning Novel debiasing technique for ML-based causal inference in finance. (Posted: 24 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6337458

16. Flexible Information Acquisition in the Kyle Model Extended Kyle model with endogenous information choice. (Posted: 24 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6456438

17. Beyond the Hype: A Multi-Layer ML Framework for Crypto Return Forecasting Ensemble ML architecture for cryptocurrency prediction. (Posted: 23 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6320138

18. Machine Learning Portfolio Choice under Parameter Uncertainty Bayesian-ML hybrid for portfolio optimization with estimation risk. (Posted: 20 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6359140

19. Empirical Asset Pricing via Learning-to-Rank Ranking-based ML for cross-sectional return prediction. (Posted: 20 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6348379

20. Reward Inference for Portfolio Optimization via Multi-Expert Inverse RL Inverse RL for learning portfolio objectives from expert allocations. (Posted: 20 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6446236

21. An Infinite-Dimensional Insider Trading Game Continuous-time game theory for informed trading with function-space strategies. (Posted: 20 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6361218

22. Behavioral Factors in Asset Pricing: An Approach Through Machine Learning ML-based behavioral factor construction and pricing tests. (Posted: 18 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6439412

23. Autonomous AI Agents for Option Hedging Multi-agent system for automated delta-gamma hedging. (Posted: 17 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6339420

24. Stagflation Risk and Financial Markets: A Real-Time Composite Index Nowcasting index for stagflation with market implications. (Posted: 17 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6426799

25. The Price of the Queue: RL and the Cross-Section of Limit Order Values RL valuation of limit order placement across queue positions. (Posted: 16 Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6322361

26. A Microstructure Perspective on Prediction Markets Liquidity provision and price discovery in prediction market design. (Posted: Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6325658

27. High-Frequency Market Microstructure Analysis using Transformer-Encoder Networks and GNNs Deep learning for HFT microstructure patterns. (Posted: Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6301320

28. Explainable Deep Learning for Financial Volatility Forecasting: LSTM-Attention-SHAP Interpretable volatility prediction with attention-based explanations. (Posted: Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6301119

29. Two-Time-Scale Transfer Learning for Market-by-Order Data Transfer learning for MBO data across different timescales. (Posted: Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6424798

30. Default Risk and Liquidity Provision of Sovereign Debt Sovereign credit risk and bond market liquidity dynamics. (Posted: Mar 2026) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6412039

RePEc/NEP — Top 30 Papers

NEP-RMG Issue 2026-03-23

1. Calibrated Credit Intelligence: Shift-Robust and Fair Risk Scoring with Bayesian Uncertainty and Gradient Boosting Combines Bayesian uncertainty with XGBoost for robust credit scoring under distribution shift.https://nep.repec.org/nep-rmg/2026-03-23

2. Exploratory Randomization for Discrete-Time Risk-Sensitive Benchmarked Investment Management with Reinforcement Learning Novel RL framework for portfolio management under risk-sensitive objectives.https://nep.repec.org/nep-rmg/2026-03-23

3. Repo and the Liquidity Risk Premium Analysis of repo market dynamics and liquidity premia in short-term funding. https://nep.repec.org/nep-rmg/2026-03-23

4. Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle? Redux Revisits idiosyncratic risk explanations for the equity premium. https://nep.repec.org/nep-rmg/2026-03-23

5. One Rising Ship Sinks Other Ships: Cross-Chain Negative Spillovers in Crypto Markets Cross-chain contagion analysis in cryptocurrency ecosystems. https://nep.repec.org/nep-rmg/2026-03-23

6. Can Ethereum Survive a Run? Hidden Fragility in Crypto’s Proof-of-Stake Model Stress testing Ethereum’s PoS mechanism under adverse scenarios. https://nep.repec.org/nep-rmg/2026-03-23

7. Pricing Protection: Credit Scores, Disaster Risk, and Home Insurance Affordability ML analysis of climate risk pricing in insurance markets. https://nep.repec.org/nep-rmg/2026-03-23

8. Securitization, Bank Regulation, and the Macroeconomy DSGE model with securitization and capital requirements. https://nep.repec.org/nep-rmg/2026-03-23

9. Why People Disagree About What Drives Stock Prices Behavioral analysis of heterogeneous investor beliefs.https://nep.repec.org/nep-rmg/2026-03-23

NEP-RMG Issue 2026-03-16

10. SPX-VIX Risk Computations Via Perturbed Optimal Transport Optimal transport methods for SPX-VIX joint risk modeling. https://nep.repec.org/nep-rmg/2026-03-16

11. Adaptive Window Selection for Financial Risk Forecasting Dynamic window optimization for VaR and ES estimation. https://nep.repec.org/nep-rmg/2026-03-16

12. Uncertainty-Aware Deep Hedging Deep hedging with explicit uncertainty quantification.https://nep.repec.org/nep-rmg/2026-03-16

13. Pricing and Hedging for Liquidity Provision in Constant Function Market Making Complete analytical framework for LP positions in CFMMs. https://nep.repec.org/nep-rmg/2026-03-16

14. Single-Asset Adaptive Leveraged Volatility Control Dynamic leverage adjustment for volatility targeting strategies. https://nep.repec.org/nep-rmg/2026-03-16

15. Deep Learning for Financial Time Series: A Large-Scale Benchmark of Risk-Adjusted PerformanceComprehensive architecture benchmark (xLSTM Sharpe 1.79-1.99). https://nep.repec.org/nep-rmg/2026-03-16

16. Multivariate Stochastic Volatility Model with Block Correlations Block-structured MSV for large portfolio applications. https://nep.repec.org/nep-rmg/2026-03-16

17. A Stochastic Correlation Extension of the Vasicek Credit Risk Model Time-varying correlation in structural credit models. https://nep.repec.org/nep-rmg/2026-03-16

18. Budgeted Robust Intervention Design for Financial Networks with Common Asset Exposures Network intervention optimization under budget constraints. https://nep.repec.org/nep-rmg/2026-03-16

19. Environmental CVA with K-Robust Wrong-Way Risk Climate-adjusted CVA with robust WWR modeling.https://arxiv.org/abs/2603.23842

20. Proxy-Reliance Control in Conformal Recalibration of One-Sided Value-at-Risk Conformal VaR with proxy dependence control. https://arxiv.org/abs/2603.22569

21. Modeling and Forecasting Tail Risk Spillovers: A Component-Based CAViaR Approach Component CAViaR for tail risk contagion. https://arxiv.org/abs/2603.25217

22. Generative Adversarial Regression (GAR): Learning Conditional Risk Scenarios GAN-based scenario generation for risk management. https://arxiv.org/abs/2603.08553

23. Semi-Structured Multi-State Delinquency Model for Mortgage Default Hybrid statistical-ML mortgage credit model. https://arxiv.org/abs/2603.26309

24. Rough Volatility Dynamics in Commodity Markets Rough volatility in energy and agricultural commodities.https://arxiv.org/abs/2603.26514

25. STN-GPR: A Singularity Tensor Network Framework for Efficient Option Pricing Tensor network methods for multi-asset options. https://arxiv.org/abs/2603.26318

26. Capital-Allocation-Induced Risk Sharing Capital allocation rules and systemic risk distribution.https://arxiv.org/abs/2603.26491

27. The Geometry of Risk: Path-Dependent Regulation and Anticipatory Hedging via the SigSwap Signature-based path-dependent hedging instruments. https://nep.repec.org/nep-rmg/2026-03-16

28. Asymptotics of Ruin Probabilities in a Subordinated Cramér-Lundberg Model Asymptotic analysis for time-changed insurance risk processes. https://nep.repec.org/nep-rmg/2026-03-16

29. Endogenous Distress Contagion in a Dynamic Interbank Model Dynamic network model for banking contagion.https://nep.repec.org/nep-rmg/2026-03-16

30. Submodular Risk Measures Axiomatic foundation for submodular risk aggregation. https://nep.repec.org/nep-rmg/2026-03-16

Additional Notable Papers (Highly Relevant from Prior Sessions)

LLM Detection of Structural Market Patterns: Obfuscation Testing for Dealer Hedging Constraints Novel methodology for validating LLM detection of gamma positioning, stock pinning, 0DTE hedging. 71.5% detection rate with unbiased prompts, 91.2% materialization accuracy. (2025-12-27) https://arxiv.org/abs/2512.17923

Taming Tail Risk in Financial Markets: Conformal Risk Control for Nonstationary Portfolio VaR Regime-weighted conformal risk control (RWC) for sequential VaR under nonstationarity. Finite-sample coverage under weighted exchangeability. Schmitt. (2026-02-03) https://arxiv.org/abs/2602.03903

Same Error, Different Function: The Optimizer as an Implicit Prior in Financial Time Series MIT/Cortesi et al. demonstrate how optimizer choice acts as implicit regularization in financial ML. 39 pages. (2026-03-04)https://arxiv.org/abs/2603.02620

Bridging the Reality Gap in Limit Order Book Simulation Noble, Rosenbaum & Souilmi address sim-to-reality transfer for LOB agents. (2026-03-25) https://arxiv.org/abs/2603.24137

Finance-Informed Neural Network (FINN) for Option Pricing Self-supervised deep hedging achieving Black-Scholes recovery. Put-call parity emerges endogenously. (Updated Dec 2025) https://arxiv.org/abs/2412.12213

Generative AI for Finance: Risk Premia BERT (RPBERT) BERT-based architecture encoding cross-sectional equity structure. Outperforms ML and factor-pricing benchmarks. Chai, Jiang, Meng, You & Zhou. (Posted Mar 2026)https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6276278

Homo Silicus is Hyper-Rational: Why LLM Agents Fail to Replicate Attention-Driven Trading 96 GPT-4 agents show LLMs reduce buying propensity for attention stocks by 11.67pp. Garcia. (Posted Dec 2025)https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5901742

Machine Learning Meets Markowitz Harvey et al. end-to-end ML framework unifying return prediction with portfolio optimization. (Posted Dec 2025) https://papers.ssrn.com/sol3/papers.cfm?abstract_id=59477

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