AI × QuantPPR-01
DeepUnfolding Agent: Externalizing Deep-Unfolded Adaptive Control as an API Service
The work decouples deep-unfolded adaptive control logic from task-specific training scripts and exposes it as a standalone FastAPI service, allowing external executors to call the controller via strategy registration and round-level feedback. Its value lies in improving reusability, traceability, and cross-environment comparability for heterogeneous optimization workflows, covering classical, quantum-aware, hybrid, and IBM quantum hardware execution paths.
#deep unfolding#adaptive control#API service
AI × QuantPPR-02
Time-partitioning Gaussian Process Mixture Model for Persistent Regime Identification in Time Series
TPGPMM is a Bayesian nonparametric framework combining an adaptive Pitman-Yor prior on contiguous segmentations with regime-specific Gaussian processes to identify persistent regimes and model nonstationary dependence without Markovian assumptions. Simulations recover regime structure; applications to VIX and 10-year Treasury yield identify regimes aligned with market events.
#Bayesian nonparametrics#Gaussian process#change point detection
AI × QuantPPR-03
System1-Arena: Which Decisions Can Be Left to Single-Pass System 1 Models?
Novelty: a unified probability-scoring benchmark with 105 tasks and 138 closed-loop environments to directly compare System-1 models, open LLMs, and closed LLMs on decision-making. Utility: it shows where System-1 can replace fast LLMs in non-agentic settings and where closed-loop control still needs large models.
#System-1 models#decision benchmark#probability calibration
AI 研究PPR-04
Knowledge Graphs as Files: An Agent Harness Where Tool Creation and Tool Use Co-Evolve
Introduces direct knowledge graph interaction (DKGI), a harness where language model agents write and revise graph access tools directly over complete node and edge files, allowing tool creation and tool use to co-evolve during search. This bypasses the evidence-access limits of predefined graph interfaces and offers a flexible new approach for searching text-rich knowledge graphs.
#knowledge graph#agent#tool creation
AI 研究PPR-05
ARIA: Runtime Inspection and Amendment Framework for Multi-Agent Systems
This work presents ARIA, a framework that constructs the first large-scale dataset pairing failed multi-agent trajectories with execution-verified repairs, and trains a compact model to detect and repair errors at runtime in LLM-based multi-agent systems, preventing error propagation from causing task failure.
#multi-agent systems#runtime repair#error propagation
Quantitative ResearchPPR-06
Pricing American Commodity Options Under the Schwartz Two-Factor Model Using ADE
This study applies the double-sweep Alternating Direction Explicit (ADE) method to price American commodity options under the Schwartz two-factor model and compares it with Saul'yev's single-sweep variant; its value lies in an unconditionally stable (for diffusion) finite difference scheme with explicit marching efficiency, extended to exercise on futures prices and seasonal parameters.
#American options#commodity options#Schwartz two-factor model
其他研究PPR-07
Verifiability Discount in Crypto Protocols: Ambiguity and Turnstile Runs
This study introduces the 'verifiability discount'—the potential value reduction when privacy-preserving protocols repair a vulnerability without establishing prior exploitation—and uses a turnstile model and the VDISC framework to analyze directional market responses around Orchard and related events.
#verifiability discount#privacy protocols#turnstile runs
金融研究PPR-08
Impact of Collateral Currency Choice on Valuation and Hedging of Differential Swaps
This paper decouples collateral currency from contractual cash flow currency and derives explicit pricing and hedging strategies for differential swaps referencing backward-looking overnight rate averages (including SOFR swaps as a special case) amid the LIBOR-to-RFR transition, showing that collateral currency choice has non-trivial effects on valuation and risk management through discounting adjustments and payment-date weights.
#differential swaps#collateral currency#SOFR swaps
AI × QuantPPR-09
LLM Financial Forecasts: Momentum and Commentary Tone Influence Earnings Surprise
The study independently manipulates 20-day momentum, commentary tone, and whether actual EPS beats a manipulated consensus using synthetic earnings announcements. It provides 2,016 prompts each to six instruction/chat checkpoint models across different families and sizes. The novelty lies in systematically identifying input reliance in LLM financial forecasts, helping understand model sensitivity to non-fundamental information.
#language models#financial forecasting#momentum effect
AI 研究PPR-10
Algorithmic Collusion in Q-Learning Pricing Agents May Not Rest on Punishment
After replicating a classic Bertrand duopoly Q-learning pricing experiment, the study audits the punishment mechanism on frozen policies and finds supracompetitive prices can be explained by a single attractor basin rather than selective retaliation. Its value lies in revising how the standard test of algorithmic collusion is interpreted.
#algorithmic collusion#Q-learning#pricing agents
金融研究PPR-11
Loss-versus-Rebalancing under External Proportional Transaction Costs
The study introduces proportional transaction costs in the external market for liquidity provision in automated market makers, examining separately collected fees and fees retained in reserves, and redefines loss-versus-rebalancing against a self-financing strategy holding the same total risky inventory and trading at external bid and ask. Its usefulness lies in showing that under continuous external prices and pure arbitrage, pool and benchmark have identical liquidation wea
#automated market makers#liquidity provision#transaction costs