Quant Letter: February 2024, Week-3

Weekly (35th Edition)

ArXiv

Finance

Optimal Execution Liquidity: Research shows Double Deep Q-learning, a Reinforcement Learning technique, can effectively learn optimal trading strategies in fluctuating liquidity conditions. (2024-02-19, shares: 5)

Price of Information Asset Prices: A study finds that investors decide to buy additional information about an asset's trajectory at a specific time, based on the indifference price of information. (2024-02-19, shares: 5)

RAGIC: Risk-Aware Stock Prediction: The RAGIC model, using a Generative Adversarial Network, accurately predicts future stock prices with a consistent 95% coverage. (2024-02-16, shares: 4)

Stackelberg Reinsurance MV Criterion: A study on reinsurance Stackelberg game suggests a single, one-time reinsurance contract is more beneficial than continuous or multiple discrete-time contracts. (2024-02-18, shares: 3)

Interbank Network Risk Analysis: A new method for reconstructing financial networks can enforce desired sparsity and link reciprocity, enhancing the prediction of various network properties. (2024-02-17, shares: 3)

Crypto & Blockchain

HighFrequency Bitcoin Price Analysis: An analysis of the Bitcoin market index from 2019 to 2022 reveals two periods of volatility, suggesting greater market efficiency at shorter time scales. (2024-02-19, shares: 4)

MARL Model for Crypto Market Simulation: A multi-agent reinforcement learning model simulates crypto markets using Binance's daily closing prices of 153 cryptocurrencies from 2018 to 2022, accurately emulating crypto market microstructure. (2024-02-16, shares: 4)

Blockchain Anomalies and Fraud Detection: A paper examines key definitions and properties of blockchain, analyzes anomalies and frauds that threaten these networks, and proposes detection and prevention strategies. (2024-02-17, shares: 2)

Ethereum 2.0 Reward Dynamics Analysis: A study of consensus reward data from the Ethereum Beacon chain offers insights into reward distribution and evolution, aiding in the assessment and refinement of blockchain systems' decentralization, security, and efficiency. (2024-02-17, shares: 2)

Historical Trending

Optimal Retirement Strategies with Jump Risks: A study suggests that immediate retirement is the optimal decision when de facto wealth surpasses a certain percentage of wage. (2020-11-20, shares: 74)