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[1] arXiv:2507.12501 [中文pdf, pdf, html, 其他]

标题： 从Pöschl-Teller势和双曲几何中的二次波动 显示英文标题

标题： Quadratic Volatility from the Pöschl-Teller Potential and Hyperbolic Geometry

Joel Saucedo

评论： 14页，3个附录

主题： 证券定价 (q-fin.PR) ; 微分几何 (math.DG) ; 量子物理 (quant-ph)

这项研究建立了在二次正态波动率（QNV）规范下广义Black-Scholes方程与双曲Pöschl-Teller势的定态薛定谔方程之间的形式等价性。 一系列规范变换将金融定价算子映射到量子哈密顿量，揭示了波动率微笑作为双曲流形上扩散的直接表现，其几何结构由QNV多项式的判别式分类。 我们对金融哈密顿量进行了完整的谱分析，推导出其离散和连续谱，并从得到的本征函数构造了定价核，这些本征函数由经典特殊函数给出。 这一基于规范场论视角的分析框架，为衍生品定价提供了非平凡的基准，并提供了市场异常现象的基本几何解释。 指出了通往可积系统和形式场论类比的未来研究方向。 显示英文摘要

This investigation establishes a formal equivalence between the generalized Black-Scholes equation under a Quadratic Normal Volatility (QNV) specification and the stationary Schr\"odinger equation for a hyperbolic P\"oschl-Teller potential. A sequence of canonical transformations maps the financial pricing operator to a quantum Hamiltonian, revealing the volatility smile as a direct manifestation of diffusion on a hyperbolic manifold whose geometry is classified by the discriminant of the QNV polynomial. We perform a complete spectral analysis of the financial Hamiltonian, deriving its discrete and continuous spectra and constructing the pricing kernel from the resulting eigenfunctions, which are given by classical special functions. This analytical framework, grounded in a gauge-theoretic perspective, furnishes a non-trivial benchmark for derivative pricing and provides a fundamental geometric interpretation of market anomalies. Future research trajectories toward integrable systems and formal field-theoretic analogies are identified.

[2] arXiv:2507.12616 [中文pdf, pdf, 其他]

标题： 第三方信用担保与债务成本：企业贷款的证据 显示英文标题

标题： Third-Party Credit Guarantees and the Cost of Debt: Evidence from Corporate Loans

Mehdi Beyhaghi

评论： 31页。发表于《金融评论》

期刊参考： 《金融评论》26卷第2期（2022年）：287-317

主题： 一般经济学 (econ.GN)

使用联邦储备局收集的全面数据，我发现美国银行发放的公司贷款中，超过三分之一由与借款公司分开的法律实体提供完全担保。 采用考虑随时间变化的公司和贷款人效应的实证策略，我发现第三方信用担保与贷款风险、贷款利率和贷款拖欠呈负相关。 第三方信用担保缓解了信贷市场中的抵押品约束效应。 经历资产价值负面冲击的公司（尤其是小型公司）在新的借贷中更不可能使用抵押品，而更可能使用信用担保。 显示英文摘要

Using a comprehensive dataset collected by the Federal Reserve, I find that over one-third of corporate loans issued by US banks are fully guaranteed by legal entities separate from borrowing firms. Using an empirical strategy that accounts for time-varying firm and lender effects, I find that the existence of a third-party credit guarantee is negatively related to loan risk, loan rate, and loan delinquency. Third party credit guarantees alleviate the effect of collateral constraints in credit market. Firms (particularly smaller firms) that experience a negative shock to their asset values are less likely to use collateral and more likely to use credit guarantees in new borrowings.

[3] arXiv:2507.12620 [中文pdf, pdf, 其他]

标题： 加拿大银行业的资金优势和市场纪律 显示英文标题

标题： Funding advantage and market discipline in the Canadian banking sector

Mehdi Beyhaghi, Chris D'Souza, Gordon S. Roberts

评论： 15页，发表于《银行与金融杂志》

期刊参考： 金融杂志 48 (2014): 396-410

主题： 一般经济学 (econ.GN)

我们使用全面的数据集和多种方法，提供关于加拿大大型银行在资金方面的优势程度的证据，以及加拿大银行发行的不同证券中市场纪律存在的程度。 加拿大的银行业部门提供了一个独特的环境，用于研究市场纪律以及拟议改革的前景，因为加拿大没有政府救助的历史，自20世纪20年代以来一直存在隐性政府担保。 我们在控制了银行特定和市场风险因素后发现，大型银行在资金方面优于小型银行。 大型银行平均在存款和次级债务上分别少支付80个基点和70个基点。 结合手工收集的大型银行债务发行的市场数据，我们还发现市场纪律存在于次级债务中，而不存在于高级债务中。 显示英文摘要

We employ a comprehensive data set and a variety of methods to provide evidence on the magnitude of large banks' funding advantage in Canada in addition to the extent to which market discipline exists across different securities issued by the Canadian banks. The banking sector in Canada provides a unique setting in which to examine market discipline along with the prospects of proposed reforms because Canada has no history of government bailouts, and an implicit government guarantee has been in effect consistently since the 1920s. We find that large banks have a funding advantage over small banks after controlling for bank-specific and market risk factors. Large banks on average pay 80 basis points and 70 basis points less, respectively, on their deposits and subordinated debt. Working with hand-collected market data on debt issues by large banks, we also find that market discipline exists for subordinated debt and not for senior debt.

[4] arXiv:2507.12657 [中文pdf, pdf, html, 其他]

标题： 路径依赖型期权上的分布强化学习 显示英文标题

标题： Distributional Reinforcement Learning on Path-dependent Options

Ahmet Umur Özsoy

主题： 数学金融 (q-fin.MF) ; 机器学习 (cs.LG)

我们重新解释并提出了一种框架，通过使用分布强化学习（DistRL）来估计收益的完整分布，以对路径依赖型金融衍生品进行定价。 与传统方法侧重于预期期权价值不同，我们的方法对收益的整个条件分布进行建模，从而实现风险感知定价、尾部风险估计和增强的不确定性量化。 我们在亚式期权上展示了该方法的有效性，使用基于分位数的价值函数近似器。 显示英文摘要

We reinterpret and propose a framework for pricing path-dependent financial derivatives by estimating the full distribution of payoffs using Distributional Reinforcement Learning (DistRL). Unlike traditional methods that focus on expected option value, our approach models the entire conditional distribution of payoffs, allowing for risk-aware pricing, tail-risk estimation, and enhanced uncertainty quantification. We demonstrate the efficacy of this method on Asian options, using quantile-based value function approximators.

[5] arXiv:2507.12848 [中文pdf, pdf, html, 其他]

标题： 企业间贸易中的双边市场力量 显示英文标题

标题： Two-Sided Market Power in Firm-to-Firm Trade

Alviarez Vanessa, Fioretti Michele, Kikkawa Ken, Morlacco Monica

主题： 一般经济学 (econ.GN)

本文发展了一种关于企业间贸易中双边市场力量的议价理论。 该框架能够适应灵活的市场结构，得出针对特定配对的加价和传递弹性分析表达式。 在美国进口数据中，我们估计到强大的进口商议价能力以及向上倾斜的出口供给曲线，这与寡头买方力量一致。 在企业间关系中，2018年关税的传递是不完全的，这与产品层面的研究相反，主要是由于主导买家需求下降导致的出口商成本减少。 我们的研究强调了议价和网络刚性如何影响价格结果，对全球价值链中的加价差异和冲击传播具有意义。 显示英文摘要

This paper develops a theory of bargaining in firm-to-firm trade with two-sided market power. The framework accommodates flexible market structures, yielding analytical expressions for pair-specific markups and pass-through elasticities. In U.S. import data, we estimate strong importer bargaining power and an upward-sloping export supply curve, consistent with oligopsony power. Pass-through of the 2018 tariffs in firm-to-firm relationships is incomplete, in contrast to product-level studies, primarily due to exporter cost reductions driven by falling demand from dominant buyers. Our study highlights how bargaining and network rigidities shape price outcomes, with implications for markup dispersion and shock propagation in global value chains.

[6] arXiv:2507.13084 [中文pdf, pdf, html, 其他]

标题： 政府会回应公共债务积累吗？ 跨国分析 显示英文标题

标题： Do Governments React to Public Debt Accumulation? A Cross-Country Analysis

Paolo Canofari, Alessandro Piergallini, Marco Tedeschi

主题： 一般经济学 (econ.GN)

政府是否会调整预算政策以应对不断上升的公共债务，从而避免财政不可持续性？ 使用自1990年以来52个工业化和新兴经济体的预算数据，我们应用了考虑横截面依赖性和异质财政行为的面板方法。 我们发现，具有税收平滑动机并响应债务的初级平衡规则在描述财政行为方面具有稳健的解释力。 控制临时产出、临时支出和经常账户余额后，债务与国内生产总值比率每增加10个百分点，长期初级盈余与国内生产总值比率平均增加0.5个百分点。 纠正性调整在高债务和低债务国家以及工业化和新兴经济体中均成立。 我们的结果表明，许多政府追求里卡德政策设计，避免庞氏型融资。 显示英文摘要

Do governments adjust budgetary policy to rising public debt, precluding fiscal unsustainability? Using budget data for 52 industrial and emerging economies since 1990, we apply panel methods accounting for cross-sectional dependence and heterogeneous fiscal conduct. We find that a primary-balance rule with tax-smoothing motives and responsiveness to debt has robust explanatory power in describing fiscal behavior. Controlling for temporary output, temporary spending, and the current account balance, a 10-percentage-point increase in the debt-to-GDP ratio raises the long-run primary surplus-to-GDP ratio by 0.5 percentage points on average. Corrective adjustments hold across high- and low-debt countries and across industrial and emerging economies. Our results imply many governments pursue Ricardian policy designs, avoiding Ponzi-type financing.

[7] arXiv:2507.13099 [中文pdf, pdf, 其他]

标题： 治理、生产率和经济发展 显示英文标题

标题： Governance, productivity and economic development

Cuong Le Van (CNRS, PSE, CES), Ngoc-Sang Pham (EM Normandie), Thi Kim Cuong Pham (EconomiX), Binh Tran-Nam (RMIT)

主题： 计算金融 (q-fin.CP)

本文使用一个具有异质性代理和政府的一般均衡模型，探讨了转移政策、研发、腐败和经济发展之间的相互作用。 政府征收税收，再分配财政收入，并进行公共投资（如研发、基础设施等）。 腐败被建模为从税收收入中抽取并从经济中移除的一部分。 我们首先建立了政治经济均衡的存在性。 然后，利用一个具有两个私人代理的解析可处理框架，我们研究了腐败的影响，并评估了各种政策的影响，包括再分配和创新引领策略。 显示英文摘要

This paper explores the interplay between transfer policies, R\&D, corruption, and economic development using a general equilibrium model with heterogeneous agents and a government. The government collects taxes, redistributes fiscal revenues, and undertakes public investment (in R\&D, infrastructure, etc.). Corruption is modeled as a fraction of tax revenues that is siphoned off and removed from the economy. We first establish the existence of a political-economic equilibrium. Then, using an analytically tractable framework with two private agents, we examine the effects of corruption and evaluate the impact of various policies, including redistribution and innovation-led strategies.

[8] arXiv:2507.13124 [中文pdf, pdf, html, 其他]

标题： 异质性贿赂、技术选择与资本积累 显示英文标题

标题： Heterogeneous Bribery, Technology Choice, and Capital Accumulation

Jafar M. Olimov, Yi-Chan Tsai, Hao-Yu Yang

主题： 一般经济学 (econ.GN)

我们研究了在存在贿赂的情况下企业的生产、进入和技术决策。我们发现，即使在官僚效率不存在低下的情况下，贿赂也可能被证明是合理的。我们在148个国家中记录了贿赂的显著技术特定异质性，并将其纳入一个一般均衡模型中，其中企业使用资本密集型或劳动密集型技术。当贿赂更严重地影响效率较低的劳动密集型企业时，资源会流向更高效的资本密集型企业，从而导致更高的资本积累和总体产出。在较贫穷的国家，仅消除资本密集型企业的贿赂，会使资本存量增加18.7%，总体产出增加3.4%，比完全消除贿赂的效果更大。在较富裕的国家，仅消除资本密集型企业的贿赂，会使资本存量增加44.4%，总体产出增加15.4%，比完全消除贿赂的效果更大。我们的研究结果挑战了将贿赂视为普遍有害的既有观点。 显示英文摘要

We study the production, entry, and technological decisions of firms in the presence of bribery. We find that bribery can be justified even in the absence of bureaucratic inefficiencies. We document substantial technology-specific heterogeneity in bribery in 148 countries and incorporate it into a general equilibrium model, where firms use capital-intensive or labor-intensive technology. When bribery more heavily affects less efficient labor-intensive firms, resources move toward more efficient capital-intensive firms, resulting in higher capital accumulation and aggregate output. In poorer countries, the elimination of bribery only for capital-intensive firms increases the capital stock by 18.7% more and the aggregate output by 3.4% more than the complete elimination of bribery. In wealthier countries, the elimination of bribery only for capital-intensive firms increases the capital stock by 44.4% more and the aggregate output by 15.4% more than the complete elimination of bribery. Our findings challenge the established view of bribery as uniformly harmful.

[9] arXiv:2507.13186 [中文pdf, pdf, html, 其他]

标题： 快速余弦方法的非均匀快速傅里叶变换 显示英文标题

标题： NUFFT for the Fast COS Method

Fabien LeFloc'h

主题： 计算金融 (q-fin.CP) ; 证券定价 (q-fin.PR)

COS方法是在Lévy模型或仿射随机波动率模型下计算欧式期权价格的一种非常高效的方法，基于密度的傅里叶余弦展开，涉及特征函数。 此说明展示了如何使用非均匀快速傅里叶变换计算COS方法公式，从而以前所未有的速度对同一到期日但不同执行价格的许多期权进行定价。 显示英文摘要

The COS method is a very efficient way to compute European option prices under L\'evy models or affine stochastic volatility models, based on a Fourier Cosine expansion of the density, involving the characteristic function. This note shows how to compute the COS method formula with a non-uniform fast Fourier transform, thus allowing to price many options of the same maturity but different strikes at an unprecedented speed.

[10] arXiv:2507.13324 [中文pdf, pdf, html, 其他]

标题： 一种基于仿真不确定性建模的瀑布定价框架 显示英文标题

标题： A Framework for Waterfall Pricing Using Simulation-Based Uncertainty Modeling

Nicola Jean, Giacomo Le Pera, Lorenzo Giada, Claudio Nordio

评论： 9页，5图

主题： 证券定价 (q-fin.PR)

我们提出了一种新的框架，通过模拟底层资产产生的现金流在价值、时间和置信水平方面的不确定性来定价水道结构。 我们的方法结合了在初始时根据各档证券的市场价格校准的各种概率分布。 该框架完全在PyTorch中实现，利用其计算效率和通过伴随算法微分（AAD）自动微分功能。 这使得风险敏感性分析和优化的梯度计算更加高效。 所提出的方法为在不确定性下定价复杂的结构化金融工具提供了一个灵活且可扩展的解决方案。 显示英文摘要

We present a novel framework for pricing waterfall structures by simulating the uncertainty of the cashflow generated by the underlying assets in terms of value, time, and confidence levels. Our approach incorporates various probability distributions calibrated on the market price of the tranches at inception. The framework is fully implemented in PyTorch, leveraging its computational efficiency and automatic differentiation capabilities through Adjoint Algorithmic Differentiation (AAD). This enables efficient gradient computation for risk sensitivity analysis and optimization. The proposed methodology provides a flexible and scalable solution for pricing complex structured finance instruments under uncertainty

替换提交 (展示 2 之 2 条目 )

[11] arXiv:2507.13023 (替换) [中文pdf, pdf, html, 其他]

标题： 衡量CEX-DEX提取价值和搜索者盈利能力：MEV暗森林中最黑暗的部分 显示英文标题

标题： Measuring CEX-DEX Extracted Value and Searcher Profitability: The Darkest of the MEV Dark Forest

Fei Wu, Danning Sui, Thomas Thiery, Mallesh Pai

评论： 被AFT 2025接受

主题： 密码学与安全 (cs.CR) ; 交易与市场微观结构 (q-fin.TR)

本文提供了对以太坊上集中式和去中心化交易所（CEX-DEX）之间套利的经济学和动态机制的全面实证分析。 我们改进了启发式方法，以从链上数据中识别套利交易，并引入了一个稳健的实证框架，在不知道CEX上交易者实际行为的情况下估计套利收益。 利用从2023年8月至2025年3月共19个月的广泛数据集，我们估计了19个主要CEX-DEX搜索者从7,203,560次识别出的CEX-DEX套利中提取的总计2.338亿美元。 我们的分析显示，随着三个搜索者捕获了交易量和提取价值的四分之三，出现了日益集中的趋势。 我们还证明了搜索者的盈利能力与其与区块构建者的整合程度有关，并揭示了独特的搜索者-构建者关系及其市场影响。 最后，我们纠正了之前低估的与搜索者垂直整合的区块构建者的盈利能力。 这些见解揭示了MEV领域的最黑暗角落，并强调了CEX-DEX套利对以太坊去中心化的重要影响。 显示英文摘要

This paper provides a comprehensive empirical analysis of the economics and dynamics behind arbitrages between centralized and decentralized exchanges (CEX-DEX) on Ethereum. We refine heuristics to identify arbitrage transactions from on-chain data and introduce a robust empirical framework to estimate arbitrage revenue without knowing traders' actual behaviors on CEX. Leveraging an extensive dataset spanning 19 months from August 2023 to March 2025, we estimate a total of 233.8M USD extracted by 19 major CEX-DEX searchers from 7,203,560 identified CEX-DEX arbitrages. Our analysis reveals increasing centralization trends as three searchers captured three-quarters of both volume and extracted value. We also demonstrate that searchers' profitability is tied to their integration level with block builders and uncover exclusive searcher-builder relationships and their market impact. Finally, we correct the previously underestimated profitability of block builders who vertically integrate with a searcher. These insights illuminate the darkest corner of the MEV landscape and highlight the critical implications of CEX-DEX arbitrages for Ethereum's decentralization.

[12] arXiv:2507.13100 (替换) [中文pdf, pdf, html, 其他]

标题： 通过按需共享出行实现的可及性提升量化 显示英文标题

标题： Quantifying the Improvement of Accessibility achieved via Shared Mobility on Demand

Severin Diepolder, Andrea Araldo, Tarek Chouaki, Santa Maiti, Sebastian Hörl, Constantinos Antoniou

主题： 计算机与社会 (cs.CY) ; 一般经济学 (econ.GN)

共享出行服务（SMS），例如按需交通或拼车，可以改善低密度地区的交通状况，这些地区通常由传统公共交通（PT）服务不足。 这种改善通常通过基本性能指标来衡量，例如等待时间或行程时间。 然而，这些基本指标没有考虑到SMS对地区最重要的贡献，即增加用户到达周围机会（如工作、学校、企业等）的潜力。 这种潜力可以通过基于等时线的可达性指标来衡量，这些指标计算在有限时间内可到达的机会数量，因此对公众来说很容易理解。 % SMS对可达性的影响已被定性讨论，关于公平性的含义也已通过实证研究进行了探讨。 然而，到目前为止，还没有定量方法来计算通过SMS实现的基于等时线的可达性指标。 本研究通过提出一种首次计算由传统PT和SMS组成的PT系统等时线可达性的方法来填补这一空白，该系统作为进出PT枢纽的接驳交通。 该方法基于空间时间统计分析，通过克里金法进行。 它以观察到的SMS行程作为输入，并将其汇总为一个图。 在该图上，计算等时线可达性指标。 我们将所提出的方法应用于一个关于将按需交通整合到PT中的MATSim模拟研究，在巴黎-萨克雷郊区进行。 显示英文摘要

Shared Mobility Services (SMS), e.g., demand-responsive transport or ride-sharing, can improve mobility in low-density areas, which are often poorly served by conventional Public Transport (PT). Such improvement is generally measured via basic performance indicators, such as waiting or travel time. However, such basic indicators do not account for the most important contribution that SMS can provide to territories, i.e., increasing the potential, for users, to reach surrounding opportunities, such as jobs, schools, businesses, etc. Such potential can be measured by isochrone-based accessibility indicators, which count the number of opportunities reachable in a limited time, and are thus easy for the public to understand. % The potential impact of SMS on accessibility has been qualitatively discussed and implications on equity have been empirically studied. However, to date, there are no quantitative methods to compute isochrone-based indicators of the accessibility achieved via SMS. This work fills this gap by proposing a first method to compute isochrone accessibility of PT systems composed of conventional PT and SMS, acting as a feeder for access and egress trips to/from PT hubs. This method is grounded on spatial-temporal statistical analysis, performed via Kriging. It takes as input observed trips of SMS and summarizes them in a graph. On such a graph, isochrone accessibility indicators are computed. We apply the proposed method to a MATSim simulation study concerning demand-responsive transport integrated into PT, in the suburban area of Paris-Saclay.