A model-free pipeline using iterative arbitrage removal and entropic smoothing to recover risk-neutral densities from short-dated option bid-ask quotes.
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LLM filtering of embedding-based stock networks raises long-short Sharpe ratio from 0.742 to 0.820 and cuts max drawdown from -10.47% to -7.85% in 2011-2019 S&P 500 backtests.
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From Arbitrage Removal to Density Extraction: A Model-Free Framework for Short-Dated Options
A model-free pipeline using iterative arbitrage removal and entropic smoothing to recover risk-neutral densities from short-dated option bid-ask quotes.
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Cross-Stock Predictability via LLM-Augmented Semantic Networks
LLM filtering of embedding-based stock networks raises long-short Sharpe ratio from 0.742 to 0.820 and cuts max drawdown from -10.47% to -7.85% in 2011-2019 S&P 500 backtests.