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Les publications des régulateurs européens et internationaux et les nouveaux travaux de recherche, collectés automatiquement. ⭐ signale ce qui touche directement la banque, l'assurance et la finance.
arXiv — gestion des risques
Agentic AI in Automated Markets
arXiv:2610.22522v1 Announce Type: cross Abstract: Automated markets increasingly host autonomous, learning trading agents and are powered by formulaic automated market makers (AMMs). We study how heterogeneous agent behavior shapes stress, risk-adjusted performance, liquidity, and volatility in these types of markets. Three behavioral archetypes are modeled as agentic reinforcement learning (RL) systems: a rational arbitrageur, a manipulator, and a retail herd-follower. Each archetype is defined by its reward function within a common, asset-agnostic exposure-control environment, and each is tr
arXiv — gestion des risques
Requested, Executed and Recoverable Credit: Shared Action Ordering among LLM Borrowers in a Simulated Lending Market
arXiv:2610.15973v2 Announce Type: replace Abstract: We test whether shared action ordering changes executed credit in a simulated collateralized lending market. Three small open-weight language models face a borrowing cap that values collateral at the pool price; only two of the three model families traded. A validation campaign, hash-locked locally before its first model call, pairs 12 common-order markets with 12 balanced-order markets under a revised interface. An exact randomization test rejects the sharp null that common-market net debt is invariant to complete-order assignment (two-sided
arXiv — finance statistique
Reading the News Without Hindsight: NoLBERT Topics and the Cross-Section of Stock Returns
arXiv:2610.22745v1 Announce Type: new Abstract: Language models that read financial news are usually trained on text from the same years used to test them, so a backtest can reward hindsight. We build news topics from NoLBERT, an encoder pretrained only on text published between 1976 and 1995, adapted into a sentence encoder by contrastive fine-tuning on passages of the same article, with no labels or returns. We compare it with LDA, MiniLM and FinBERT readers on 1.26 million articles from 2012 to 2024, convert each reader's topics into attention shocks and stock exposures, and forecast the re
arXiv — finance statistique
Market Efficiency in a Changing Asset Population: Mobility, Entry, and Survival over Cryptocurrency's Full History
arXiv:2610.23283v1 Announce Type: new Abstract: Weak-form efficiency implies symmetry restrictions on the Markov chain governing movement across the cryptocurrency capitalisation distribution. We test them on the full listed population: 8,970 assets, 690 weekly cross-sections, 2013 to 2026, with entry, exit and survival observed rather than inferred. Symmetry is rejected in every era, but the asymmetry falls by seventy percent, and what converged is entry-driven compositional churn rather than coins' own valuations. The bottom decile earns 27.5% per week on paper and nothing among assets that
arXiv — finance statistique
Inverse Learning of Latent Risk-Neutral Densities from Irregular Option Quotes
arXiv:2607.27188v3 Announce Type: replace-cross Abstract: Accurate option prices do not imply accurate recovery of the latent risk-neutral density. We study this distinction with two complementary benchmarks. A controlled benchmark exposes simulator-truth densities for latent evaluation, while a chronological NIFTY benchmark tests only held-out market prices. A two-component lognormal mixture has the lowest aggregate price, $L^1$, Wasserstein, and fixed-tail errors on the synthetic benchmark. Learned operators retain narrower strengths: DeepONet reduces 1% quantile and variance error by 39.0%
