Quant Letter: March 2024, Week-2

Weekly (37th Edition)

ArXiv

Finance

Rank Volatility Models: A new model for large equity markets over long periods of time has been introduced, using rank volatility stabilized models, which aligns well with empirical data and allows for relative arbitrage. (2024-03-07, shares: 7)

Debt Security Framework: A new framework for pricing debt securities under varying short-rate diff…