Economics & Finance · Interdisciplinary & Society
Statistical Finance
The newest papers in Statistical Finance that ReadSearch has read, newest first. Each links to its own page, with its authors, date, where it was published and the original.
72 papers, from 6 September 2026 to 5 November 2026: 72 arXiv preprints.
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Newest papers
Neural Realized Measures: Forecast-Supervised Intraday Aggregation for Volatility Forecasting
High-frequency volatility forecasting typically separates measurement from prediction: intraday observations are first compressed into a daily realized measure using a fixed aggregation rule, and…A general technique for explicit quantile representations
This work proves existence of contours independent of probability level for exact quantile integrals of strictly positive real-analytic densities.Decomposing Rank Reversals under Temporal Nonstationarity: Alignment, Aggressiveness, and Instability
Under temporal nonstationarity, model performance rankings reverse across training horizons due to heterogeneous sensitivities to memory.Aggregate Calibration Can Mask Stress-State Undercoverage: Bounded-Memory Forecast Intervals under Recurrent Financial Stress
Sequential forecast intervals are often evaluated by aggregate coverage even when calibration memory is bounded.How market volatility responds to a preceding price trend: a lag-resolved measurement in cryptocurrencies and equities
We quantify the response of market volatility to a preceding price trend as a function of lag at minute resolution.Beyond Anonymous Order Flow: Wallet Identity as a Feature for Short-Horizon Return Prediction
Conventional public order-book data summarize trading without identifying the accounts behind it.TensorLOB: Structure-Preserving Tensor Learning for Limit Order Book Forecasting
The limit order book (LOB) records outstanding buy and sell orders across multiple price levels.EventGPT: Next-Event Pretraining on Banking Customer Histories
A model pretrained to predict a customer's next event can estimate the probability of future events without training on their labels and provide a reusable representation for supervised downstream…Can We Stop the Backtest Yet? Anytime-Valid Promotion Tests for Adaptive Financial Research Agents
Financial research agents can generate and monitor trading rules faster than a human can document the resulting selection process.Honest Small Decision Models for Finance: Scale, Specialization Collapse, and Mixed-Corpus Remediation
Financial workflows need fast, calibrated, auditable decisions, not just generated text.Hardware-Aware Design and Layout Selection in Quantum Reservoir Computing for Insurance Claims Forecasting
Quantum reservoir computing (QRC) processes temporal information through quantum dynamics, but it remains unclear whether small QRC models can forecast real data competitively with classical models…Thinking Fast, Trading Late: System One Decision Models vs the Market
Large language models (LLMs) read company news at scale, and backtests suggest that their readings predict stock returns.PanelGP: A Probabilistic Factor Model for Asset-Return Panels
We develop PanelGP, a conditional factor model for large panels of stock returns in which firm characteristics determine the factor loadings and economic conditions determine the expected factors.Are LLM Research Agents Reliable Judges of Predictability? Evidence from Planted-Signal Worlds
Researchers ask large language model (LLM) research agents whether a forecasting model beats a static benchmark, a verdict that real data cannot check.Boom-Busty Marketron as a Model of Market Dynamics: How Investor-Market Reflexivity Amplifies Non-Equilibrium
We introduce the Boom-Busty Marketron, a model of a multi-asset market in which the demand of a single collective investor moves prices and itself depends on market performance.Sparse Autoencoders as Implicit Diversification Regularisers for Cross-Sectional Cryptocurrency Returns
Factor models are central to asset pricing and portfolio construction, but neural factors are often difficult to interpret, and their effect on portfolio risk is unclear.Calibration of Passive Market Impact with a Queue-Sensitive Propagator Model
We develop a framework for calibrating passive market impact, defined as the price response to liquidity-providing limit orders, in contrast to the impact of liquidity-consuming market orders.Contemporaneous Transmission Networks and Systemic Risk in European Banking
We study how contemporaneous equity-return transmission shapes systemic exposure among 51 listed European banks.Do Round Numbers Hold Prices? Occupation Densities and Depth-Conditioned Hazards in the Limit Order Book
Prices cluster at round numbers, a pattern often interpreted as evidence that these levels act as price barriers.Weekend Crypto Volatility and Monday Market Risk
Cryptocurrencies trade continuously while major traditional markets close over the weekend.