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, page 4
Principal component error in high-dimensional factor models
In a statistical factor model, principal components (or eigenvectors) of a sample covariance matrix serve as estimates of {\it principal directions}, the true drivers of co-movement of a collection…WaVeFuse: Regime-Adaptive Equity Index Forecasting via Channel-Wise Wavelet Denoising and Vertical Attention Fusion
Hybrid Deep Learning for equity index forecasting is limited by three problems: propagation of OHLCV noise into derived technical indicators (TIs), channel-indiscriminate multi-scale decomposition…Special Markowitz: Thermodynamic Formalism for the Joint Regularisation of Returns and Covariance
Special Markowitz (SM) regularises returns and covariance jointly, relative to a reference state (mu_ref, Sigma_ref).VertiFuseX: Generalizable Financial Forecasting via Multi-Stream Temporal Fusion
Stock price prediction remains challenging due to the non-stationary and noisy nature of financial time series.Seasonal Trading in Commodity Futures: Evidence from Regression and Singular Spectrum Signals
Commodity futures are shaped by harvest cycles, weather shocks, storage conditions, and seasonal demand, but it remains unclear whether recurring patterns yield robust out-of-sample trading profits.The Elliptically Optimal Confidence Interval: A Bivariate Extension of Wilson's Score Method
Constructing a confidence interval for the difference between two independent binomial proportions involves a nuisance direction that is not identified by the estimand.Nyström Attention Matches Full Attention for Cross-Sectional Stock Prediction
MASTER's inter-stock multi-head attention -- the module responsible for modeling cross-sectional stock relationships -- accounts for 42.5% of model parameters and 25% of predictive value.The Log S-fBM model: Statistical analysis
The Log S-fBM model, introduced by Wu et al., is a stochastic volatility model whose log volatility is a stationary fractional Brownian motion (S-fBM): a stationary Gaussian process with…Filtering without recursion and some of its uses in financial economics
We develop a filter for time series, defined at each time $t$ as the minimizer of a discounted convex combination of observed and expected losses.Regimes in the Order Flow
Financial markets alternate between periods of relative stability and instability, with structural breaks marking the transitions between these regimes.Pre-game paired-comparison modeling of professional League of Legends map outcomes
We build and evaluate a pre-game win-probability forecaster for individual maps (``games'') in professional \emph{League of Legends} (LoL).Asymmetric Long-Memory GARCH: Sign-Dependent Kernel Injection in a Two-Dimensional Markov Chain
We introduce ALM-GARCH, an asymmetric long-memory GARCH model in which positive and negative innovations enter conditional variance with different injection amplitudes and kernel offsets.