谛听Diting Lab

Quantitative Finance · Mon, Oct 26, 2026

arXiv Quantitative Finance (q-fin).

arXiv q-fin.CP

Scenario Matching for Credit Dependence Stress Tests: Temporal correlation constraints and empirical risk bounds

In briefScenario matching for credit dependence stress tests with correlation constraints and empirical risk bounds

SummaryThe paper pairs two sets of simulated market and credit paths by minimizing the absolute error in temporal correlation relative to a target, with each market path matched to exactly one credit path so both full-scenario distributions are preserved. A perfect-matching test checks whether a uniform correlation-error tolerance is feasible and finds its smallest value, and further assignments yield exact empirical bounds on mean loss and exceedance probability. A synthetic bond-forward credit stress test illustrates matching precision and tail results. The method does not depend on the scenario generator and can be used to examine dependence assumptions in existing risk engines.

Naoufal Nifa

arXiv q-fin.CP

Det-MASO: Diversity-Regularized Multi-Agent Sequential Optimization for Factor Generation

In briefDet-MASO: Diversity-Regularized Multi-Agent Sequential Optimization for Factor Generation

SummaryThis paper proposes Det-MASO, a framework for generating alpha factors in quantitative investing. It adds a differentiable log-determinant penalty on the inter-agent correlation matrix to the joint objective, discouraging agents from producing similar outputs while keeping computational cost linear in the number of assets. The authors report that the method outperforms baselines and improves the Sharpe ratio by 0.33.

Tiantian Wu, Peng Yang

arXiv q-fin.TR · q-fin.ST

Do Round Numbers Hold Prices? Occupation Densities and Depth-Conditioned Hazards in the Limit Order Book

In briefDo round-number prices act as barriers? Order book study of liquidity and price departures

SummaryPrices often cluster at round numbers, which is sometimes read as evidence those levels act as barriers. This paper uses limit order book data and a tick-grid framework to separate barrier effects from a mechanical explanation, where deeper resting liquidity makes prices slower to leave. Analyzing five Nasdaq stocks throughout 2025, it finds round levels attract more liquidity but do not show longer depth-adjusted durations. Intel and SoFi show directional effects, with departures biased away from round levels.

Jiwon Jung, Kiseop Lee