Quant Letter: April 2026, Week-3

120th Edition

Apr 17, 2026

ARXIV (q-fin) — 30 Papers

A. Most Recent (April 10-17, 2026)

1. Interpretable Systematic Risk around the Clock Interpretable framework for systematic risk measurement across global trading hours. (2026-04-16)

2. Counterfactual Diagnostic Framework for Explaining KS Deterioration in Credit Risk Validation Explainable AI approach for credit scoring model validation using counterfactual diagnostics. (2026-04-15)

3. Regime-Aware Specialist Routing for Volatility Forecasting Mixture-of-experts architecture with regime detection for improved volatility prediction. (2026-04-14)

4. Risk Contribution Structure via Leave-One-Out Decomposition Novel risk attribution methodology using LOO decomposition for portfolio risk budgeting. (2026-04-14)

5. Measuring Strategy-Decay Risk Framework for quantifying durability and decay of systematic investing strategies. (2026-04-11)

6. Climate-Aware Copula Models for Sovereign Rating Migration Risk Climate risk integration into sovereign credit rating transition models via copulas. (2026-04-10)

7. Temperature Anomalies & Climate Physical Risk in Portfolio Construction Physical climate risk factors for portfolio optimization and construction. (2026-04-15)

8. Lambda Rényi Entropic VaR Generalized risk measure combining Rényi entropy with Value-at-Risk. (2026-04-14)

9. What Happens When Institutional Liquidity Enters Prediction Markets: Identification, Measurement, and Synthetic Proof of Concept Analysis of institutional capital impact on prediction market microstructure. (2026-04-13)

10. Mandatory Disclosure in Oligopolistic Market Making Microstructure theory on information disclosure requirements for concentrated markets. (2026-04-14)

11. Which Voices Move Markets? Speaker Identity & Post-Earnings Returns NLP analysis of speaker effects on earnings call market reactions. (2026-04-17)

12. Against a Universal Trading Strategy No-arbitrage / no-free-lunch implications via adversarial diagonalization arguments. (2026-04-17)

13. Dynamic Programming vs RL in Finite-Horizon Dynamic Pricing Comparative analysis of DP and RL approaches for pricing problems. (2026-04-17)

14. Aharanov-Bohm Type Arbitrage & Homological Obstructions Topological finance: arbitrage detection via homological methods. (2026-04-14)

15. Long-Only Minimum Variance Portfolio in a One-Factor Market Theoretical asymptotics for constrained minimum variance optimization. (2026-04-13)

16. Quantum Computing for Financial Transformation Review covering quantum optimization, pricing, risk management, and ML applications. (2026-04-11)

17. Corporate Bond Factor Replication Crisis Replication study examining robustness of corporate bond factor models. (2026-04-10)

18. Skewness Dispersion & Stock Market Returns Cross-sectional skewness dispersion as predictor of market returns. (2026-04-10)

19. Reliability-Aware ETF Tail-Risk Monitoring Framework for ETF tail risk with reliability considerations. (2026-04-12)

20. PRAGMA: Revolut Foundation Model Large-scale foundation model for financial applications from Revolut. (2026-04-11)

21. Emergence of Statistical Financial Factors by a Diffusion Process Diffusion-based generative approach to financial factor emergence. (2026-04-16)

22. Persistent Homology Approach to Cryptocurrency Risk Topological data analysis for crypto market complexity and stability. (2026-04-17)

23. OOM-RL: Out-of-Money Reinforcement Learning Market-Driven Alignment for LLM-Based Multi-Agent Systems Novel dual-loop adversarial architecture using market friction for MAS alignment. Sharpe 2.06, IR 2.66 after 20-month study. (2026-04-15)

24. Global Persistence, Local Residual Structure: Forecasting Heterogeneous Investment Panels Econometric framework for investment panel forecasting with replication package. (2026-04-13)

25. Bitcoin Hedge vs Central Banking Using AI-Driven Monetary Policy Expectations ML-based monetary policy expectation modeling for Bitcoin hedging analysis. (2026-04-12)

26. When Forecast Accuracy Fails: Rank Correlation and Decision Quality in Multi-Market Battery Storage Optimization Forecast accuracy metrics vs decision quality in energy storage optimization. (2026-04-16)

27. Neural HMM with Adaptive Granularity Attention for High-Frequency Order Flow Modeling Deep learning architecture for HFT order flow with attention mechanisms. (2026-03-26)

28. Bridging the Reality Gap in Limit Order Book Simulation Sim-to-real transfer methods for LOB simulation environments. (2026-03-31)

29. Forecasting Duration in High-Frequency Financial Data Using a Self-Exciting Flexible Residual Point Process Point process model for HFT duration forecasting. (2026-04-01)

30. Micro & Macro Perspectives on Production-Based Markups Finance-adjacent macro/IO analysis of markup dynamics. (2026-04-17)

B. April 1-9, 2026 (q-fin recent submissions)

1. The Self Driving Portfolio: Agentic Architecture for Institutional Asset Management Autonomous multi-agent system for institutional portfolio management. (2026-04-03)

2. Hedging Market Risk and Uncertainty via a Robust Portfolio Approach Robust optimization for portfolio hedging under Knightian uncertainty. (2026-04-03)

3. Reinforcement Learning for Speculative Trading under Exploratory Framework Novel RL formulation for exploration-exploitation in speculative strategies. (2026-04-02)

4. Do Prediction Markets Forecast Cryptocurrency Volatility? Evidence from Kalshi Macro Contracts Predictive power of prediction markets for crypto volatility. (2026-04-02)

5. Pricing Lookback Options on a Quantum Computer Quantum algorithm for path-dependent option pricing. (2026-04-01)

6. Valuation of Variable Annuities under the Volterra Mortality and Rough Heston Models Rough volatility + stochastic mortality for insurance product valuation. (2026-04-01)

7. Decomposable Reward Modeling and Realistic Environment Design for RL-Based Forex Trading Modular reward decomposition for FX trading RL. (2026-04-01)

8. Forecast Collapse of Transformer-Based Models under Squared Loss in Financial Time Series Critical analysis of Transformer failure modes in financial forecasting. (2026-04-01)

9. On the Mean-Variance Problem Through the Lens of Multivariate Fake Stationary Affine Volterra DynamicsMean-variance optimization extended to rough volatility settings. (2026-04-02)

10. Bridging Classical and Martingale Schrödinger Bridges MF cross-list: mathematical foundations for financial applications. (2026-04-02)

C. Late March 2026 (q-fin recent submissions)

1. Bridging Stochastic Control and Deep Hedging: Structural Priors for No-Transaction Band Networks WW-NTBN architecture embedding Whalley-Wilmott formula as structural prior. (2026-03-31)

2. Option Pricing on Automated Market Maker Tokens Derivatives pricing framework for AMM LP tokens in DeFi. (2026-03-30)

3. Common Risk Factors in Decentralized AI Subnets Factor model for decentralized AI compute markets (Bittensor-style). (2026-03-30)

4. Model Predictive Control for Trade Execution MPC framework for optimal execution with market impact. (2026-03-28)

5. Nonlinear Factor Decomposition via Kolmogorov-Arnold Networks: A Spectral Approach to Asset Return Analysis KAN architecture for nonlinear factor model estimation. (2026-03-27)

6. From Volatility to Variance: A Skew-Enhanced SABR Model for the Chinese Options Market Modified SABR for CSI 300 and SSE 50 options. (2026-03-27)

7. Rough Volatility Dynamics in Commodity Markets Rough volatility modeling for commodity derivatives. (2026-03-26)

8. Capital-Allocation-Induced Risk Sharing How capital allocation rules affect systemic risk distribution. (2026-03-26)

9. STN-GPR: A Singularity Tensor Network Framework for Efficient Option Pricing Tensor network methods for computationally efficient option pricing. (2026-03-26)

D. Mid-March 2026 (Category lists: RM/TR/MF/PR/ST)

1. Environmental CVA with K-Robust Wrong-Way Risk Climate-adjusted CVA with robust wrong-way risk modeling. (2026-03-24)

2. Proxy-Reliance Control in Conformal Recalibration of One-Sided Value-at-Risk Conformal prediction methods for VaR recalibration. (2026-03-24)

3. Modeling and Forecasting Tail Risk Spillovers: A Component-Based CAViaR Approach Component CAViaR for tail risk transmission analysis. (2026-03-25)

4. Shifting Correlations: How Trade Policy Uncertainty Alters Stock-T bill Relationships Trade policy uncertainty effects on asset correlations. (2026-03-25)

5. Robust Investment-Driven Insurance Pricing and Liquidity Management Integrated insurance pricing and liquidity optimization. (2026-03-20)

6. Generative Adversarial Regression (GAR): Learning Conditional Risk Scenarios GAN-based conditional risk scenario generation. (2026-03-08)

7. Semi-Structured Multi-State Delinquency Model for Mortgage Default Multi-state model for mortgage delinquency transitions. (2026-03-26)

8. Pricing and Hedging for Liquidity Provision in Constant Function Market Making CFMM liquidity provision pricing framework. (2026-03-03)

9. Deep Learning for Financial Time Series: A Large-Scale Benchmark of Risk-Adjusted PerformanceComprehensive benchmark: xLSTM achieves Sharpe 1.79 (2010-2025), 1.99 (2020-2025). (2026-03-03)

10. Stock Market Prediction Using Node Transformer Architecture Integrated with BERT Sentiment AnalysisGraph Transformer + BERT sentiment for stock prediction. (2026-03-07)

SSRN — 30 Papers

All items have “Pages Posted” in Mar 16 → Apr 16, 2026. Filtered for finance/quant/ML relevance.

April 10-16, 2026

1. Bank Failure Prediction from News Sentiment + ML (US Banking) Sentiment-based ML for bank failure early warning. (Posted: 15 Apr 2026)

2. Order Book Dynamics During the “Liberation Day” Tariff Announcement High-frequency microstructure analysis of tariff shock impact. (Posted: 14 Apr 2026)

3. DiceStock: Emergent Market Microstructure from Stochastic Dice Mechanics Agent-based model with emergent microstructure properties. (Posted: 14 Apr 2026)

4. From Micro to Macro: Learning Real-Time Economic Signals from Firm-Level Accounting Data ML for nowcasting macro indicators from firm data. (Posted: 14 Apr 2026)

5. Anticipatory Portfolio Optimisation via SigSwap + Path Signatures Path signature methods for forward-looking portfolio construction. (Posted: 13 Apr 2026)

6. Disclosure Incentives & Bondholder Bargaining Power Corporate disclosure and debt market dynamics. (Posted: 13 Apr 2026)

7. Crypto Exposure, Relevance & Return Dynamics via Textual Analysis NLP-based crypto exposure measurement and return prediction. (Posted: 12 Apr 2026)

8. Reshuffling of Human Capital in Financial Intermediation Labor market dynamics in financial services. (Last revised: 12 Apr 2026)

9. A Machine-Learning Framework for Real-Time Financial Anomaly Detection Real-time ML anomaly detection for financial markets. (Posted: 11 Apr 2026)

10. Risk-Aware Multi-Agent Reinforcement Learning for Portfolio Management Multi-agent RL with explicit risk constraints. (Posted: 11 Apr 2026)

April 6-9, 2026

11. Skilled Liquidity Provision in Prediction Markets: Evidence from 150M Trades Large-scale analysis of liquidity provider skill in prediction markets. (Posted: 10 Apr 2026)

12. Reinforcement Learning Portfolio Optimization (RLPO): Markowitz to Risk-Sensitive Control Unified RL framework bridging classical and modern portfolio theory. (Posted: 10 Apr 2026)

13. Geometry of Risk: Path-Dependent Regulation & Anticipatory Hedging via SigSwap Signature-based hedging instruments for regulatory compliance. (Posted: 10 Apr 2026)

14. AI & Algorithmic Trading in Stock Markets: Systematic Literature Review Comprehensive survey of AI trading applications. (Posted: 10 Apr 2026)

15. Financing the AI Buildout Capital markets perspective on AI infrastructure investment. (Posted: 9 Apr 2026)

16. Predicting Adverse Selection in High-Frequency Crypto Markets Using Gradient Boosting XGBoost for adverse selection detection in crypto HFT. (Posted: 9 Apr 2026)

17. Market Microstructure and Conditional Volatility (”Underneath the ARCH”) Microstructure foundations of ARCH-type volatility models. (Posted: 8 Apr 2026)

18. Forecasting the Treasury Yield Curve: Distributionally Robust ML for IR Risk Management DRO methods for yield curve forecasting. (Posted: 8 Apr 2026)

19. Markets as Trading Systems: Intraday LOB without Market Makers LOB dynamics in absence of designated market makers. (Posted: 8 Apr 2026)

20. Geometry of Risk: Navigating FRTB with the SigSwap Basis Path signatures for FRTB regulatory capital optimization. (Posted: 8 Apr 2026)

April 1-5, 2026

21. Dual-Buffer Straddle: Fill Rates + Ensemble ML Prediction Options execution with ML fill rate prediction. (Posted: 5 Apr 2026)

22. SigSwap: Unified Framework for Path-Geometry Trading & Algebraic Pricing Theory Mathematical foundations for signature-based trading. (Posted: 6 Apr 2026)

23. Geometry of Alpha: Trading the Path with SigSwaps Alpha generation via path signature decomposition. (Posted: 6 Apr 2026)

24. Data-Driven Portfolio Prediction with ML + Big Data Large-scale ML for portfolio return prediction. (Posted: 6 Apr 2026)

25. Stochastic Asset Price Model with Adaptive/Asymmetric Mean Reversion Regime-dependent mean reversion modeling. (Posted: 6 Apr 2026)

March 16-31, 2026

26. Transformer Uncertainty and the Cross-Section of Stock Returns Transformer attention uncertainty as pricing factor. (Posted: 2 Apr 2026)

27. Every Seed, Every Result: Intent-to-Treat Reporting for Financial Reinforcement Learning Reproducibility framework for RL backtesting. (Posted: 31 Mar 2026)

28. Robust Reinforcement Learning for Market Making under Model Uncertainty Adversarially robust RL for market making. (Posted: 28 Mar 2026)

29. Arrow-Debreu Meets Kyle: Price Discovery Across Derivatives Unified microstructure model for spot and derivatives. (Posted: 26 Mar 2026)

30. Machine Learning Portfolio Choice under Parameter Uncertainty Bayesian-ML hybrid for portfolio optimization. (Posted: 20 Mar 2026)

RePEc/NEP — 30 Papers

Sources: NEP-RMG (Risk Management) 2026-03-23 & 2026-03-16; NEP-MST (Microstructure) 2026-04-13 & 2026-04-06; NEP-FDG (Financial Development) 2026-04-06.

NEP-MST (Market Microstructure) — April 2026

1. Crowdedness, Mispricing, Crashes, and Spikes Crowded trade dynamics and flash crash mechanics.

2. Capital in the Capitol: Congressional Trades Resemble Uninformed Retail Trading Analysis of congressional trading patterns vs retail flow.

3. ETF Settlement Clocks in Cryptocurrency Markets Settlement timing effects in crypto ETF markets.

4. Neural HMM with Adaptive Granularity Attention for High-Frequency Order Flow Modeling Deep learning for HFT order flow with attention.

5. Effectiveness of Trading Pauses: Evidence from the Tokyo Stock Exchange Circuit breaker effectiveness analysis.

6. Market Transparency and Dealer Behavior (MiFID II/MiFIR) Transparency regulation effects on dealer markets.

7. Forecasting Duration in High-Frequency Financial Data Using Self-Exciting Flexible Residual Point ProcessPoint process models for HFT duration.

8. Bridging the Reality Gap in Limit Order Book Simulation Sim-to-real transfer for LOB environments.

9. Breaking News: Market Microstructure Effects of News Arrival High-frequency news impact on market microstructure.

NEP-RMG (Risk Management) — March 2026

10. Calibrated Credit Intelligence: Shift-Robust and Fair Risk Scoring with Bayesian Uncertainty and Gradient Boosting Bayesian XGBoost for robust credit scoring under distribution shift.

11. Exploratory Randomization for Discrete-Time Risk-Sensitive Benchmarked Investment Management with RL RL for risk-sensitive portfolio management.

12. Repo and the Liquidity Risk Premium Repo market dynamics and liquidity premia.

13. Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle? Redux Revisiting idiosyncratic risk and equity premium.

14. One Rising Ship Sinks Other Ships: Cross-Chain Negative Spillovers in Crypto Markets Cross-chain contagion in cryptocurrency ecosystems.

15. Can Ethereum Survive a Run? Hidden Fragility in Crypto’s Proof-of-Stake Model Stress testing Ethereum PoS under adverse scenarios.

16. Pricing Protection: Credit Scores, Disaster Risk, and Home Insurance Affordability Climate risk pricing in insurance markets.

17. Securitization, Bank Regulation, and the Macroeconomy Macro-financial effects of securitization regulation.

18. Why People Disagree About What Drives Stock Prices Behavioral heterogeneity in return expectations.

19. SPX-VIX Risk Computations Via Perturbed Optimal Transport Optimal transport for SPX-VIX joint risk modeling.

20. Adaptive Window Selection for Financial Risk Forecasting Dynamic window optimization for VaR/ES estimation.

21. Uncertainty-Aware Deep Hedging Deep hedging with uncertainty quantification.

22. Pricing and Hedging for Liquidity Provision in Constant Function Market Making CFMM LP position valuation and hedging.

23. Single-Asset Adaptive Leveraged Volatility Control Dynamic leverage for volatility targeting.

24. Deep Learning for Financial Time Series: A Large-Scale Benchmark of Risk-Adjusted PerformanceComprehensive deep learning benchmark; xLSTM Sharpe 1.99.

25. Multivariate Stochastic Volatility Model with Block Correlations Block-structured MSV for large portfolios.

26. A Stochastic Correlation Extension of the Vasicek Credit Risk Model Time-varying correlation in structural credit models.

27. Budgeted Robust Intervention Design for Financial Networks with Common Asset Exposures Network intervention under budget constraints.

28. The Geometry of Risk: Path-Dependent Regulation and Anticipatory Hedging via the SigSwap Signature-based path-dependent hedging.

29. Endogenous Distress Contagion in a Dynamic Interbank Model Dynamic network model for banking contagion.

30. Submodular Risk Measures Axiomatic foundation for submodular risk aggregation.

GitHub

Finance

Alpha Stock Factors via RL: The article explores how reinforcement learning can be applied to develop stock prediction factors. (2022-07-05, shares: 1069)

Financial Features: It compiles 300 features and factors drawn from both research and industry perspectives. (2026-04-09, shares: 72)

Feature Engineering for Quant: The paper outlines effective methods for feature and target engineering, utilizing a Rust core with a Python interface. (2026-03-23, shares: 14)

Science Agent Skills: It presents practical skills for agents to improve tasks in research, engineering, finance, and writing. (2025-10-19, shares: 18128)

Open Source AI Trading Agent: The article introduces an autonomous open-source AI trading agent capable of trading in various markets and managing risk. (2026-01-26, shares: 159)

Paper with Code

Rising

KnowUBench: Mobile Agent Evaluation: KnowUBench assesses how well personalized mobile agents can understand user preferences and provide helpful assistance in real-world graphical user interfaces. (2026-04-10, shares: 46)

KnowRL: LLM Reasoning Enhancement: KnowRL improves the reasoning abilities of language models through a framework that uses reinforcement learning to provide better, guided interactions. (2026-04-15, shares: 41)

OnPolicy Distillation in Language Models: Effective distillation in large language models depends on matching thought processes between teacher and student models, with teachers needing to impart new skills. (2026-04-15, shares: 35)

Parallel Decoding for Diffusion Models: DMax introduces a new technique for diffusion language models that reduces mistakes in parallel decoding. (2026-04-10, shares: 34)

Autonomous ML with AiScientist: AiScientist develops a system that boosts long-term machine learning research by improving coordination and project management. (2026-04-15, shares: 33)

Benchmarking LLMs for Human Behavior Simulation: The OmniBehavior benchmark reveals that large language models have difficulty mimicking complex human behaviors due to biases and limited diversity. (2026-04-10, shares: 22)

Machine Learning & Quant Finance

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