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2 papers in the last four weeks, down 33% on the four weeks before. 0.0% of all new papers.

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Latest papers 59

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PPO-HRAP: Proximal Policy Optimization with a Hybrid Regime-Aware Policy for Risk-Controlled Trading
Oct 1, 2026Duong Hien Chi Kien, Thanh Trung HuynhProximal Policy Optimization Trading
College of Engineering and Computer Science, VinUniversity Ha Noi, Viet Nam
UQ-LOB: Uncertainty-Aware Limit Order Book Mid-Price Forecasting
Sep 25, 2026Derrick Gilchrist Edward Manoharan, Eljas Linna, Kestutis Baltakys +2Limit Order Book Algorithmic Trading
Data Science Research Centre Tampere University Tampere, Finland
Latent-Space No-Arbitrage Geometry of Generative Models for Implied Volatility Surfaces
Aug 31, 2026Jing Wang, Shuaiqiang Liu, Cornelis VuikVolatility Conditional Variational Autoencoder
Delft Institute of Applied Mathematics, Delft University of Technology
Regime-Gated Residual Mixture-of-Experts for Cross-Sectional Volatility Forecasting
Aug 12, 2026Junyi Ye, Gargi Vijay BordeVolatility Heteroskedasticity
School of Computing, Montclair State University · Montclair, New Jersey, USA
Beyond Forecasting: Recasting Volatility Control as a Routing Problem
Aug 11, 2026Hongji Pu, Leyang ZhouVolatility Conditional-Value-At-Risk
University of Illinois, Urbana-Champaign Urbana, Illinois, USA
QFCQT: A Chaotically Gated Quantformer Framework for Volatile Time-Series Forecasting
Aug 7, 2026Junkai Lin, Siqi Hou, Raymond LeeForecasting Backbone Volatility
Faculty of Science and Technology, Beijing Normal-Hong Kong Baptist University, Zhuhai, China · Guangdong Provincial Key Lab of Interdisciplinary Research and Application for Data Science (BNBU), Zhuhai, China
Velocity- and Regime-Aware Detection of Intraday Options Market Manipulation, with Explainable Attribution
Aug 5, 2026Alex Chen, Maria HybinetteVolatility Fraud Detection
University of Georgia · Athens, GA, USA
Robust Control under Stationary Ambiguity
Aug 5, 2026Konrad J. Mueller, Amira Akkari, Ben Wood +1Stochastic Optimal Control Robust Control
1Imperial College London · 2JPMorgan Chase & Co.† · University of St. Gallen
Latent-Regime Bias Auditing for Volatility Forecasting
Aug 3, 2026Arthur Chagas, Pedro Bento, Yan Aquino +3Volatility Model Auditing
Department of Computer Science Universidade Federal de Minas Gerais – UFMG Belo Horizonte, Brazil
Amortizing the Calibration Triple: A Projection-Consistent Neural Operator for Local-Stochastic Volatility
Aug 2, 2026Xiaozhen Wang, Anaïs Després, Martin Dureau +1Volatility Stochastic Differential Equations
1CEREMADE, Université Paris Dauphine-PSL · 2LaMME, Université Évry Paris-Saclay · 3AIML Global Markets, Barclays
Emergent Latent-State Computation under Stochastic Volatility
Jul 28, 2026Xiaoyu Huang, Lulu WangLatent States Intermediate Latent States
Department of Mathematics Temple University Philadelphia, PA, USA · Department of Data Analytics Dickinson College Carlisle, PA, USA
LLM-Based vs. Lexicon-Based Sentiment Signals for Tail-Risk Detection in Meme Stocks
Jul 27, 2026Paul Kilian, Markus KleffmannFinancial Sentiment Analysis Sentiment
IU International University of Applied Sciences, Erfurt, Germany
Extreme Volatility Warning under Label Scarcity via Multi-Source Anomaly Fusion
Jul 26, 2026Jin Qian, Zhangzhi Xiong, Mingrui Li +1Volatility Time-Series Anomaly Detection
ShanghaiTech University, Shanghai, China
Bitcoin Price Direction Prediction via Regime-Aware Multi-Modal Fusion of Social Sentiment and Technical Features
Jul 25, 2026Muhammad Abdullah HaroonFinancial Sentiment Analysis Decentralized Finance
Department of Computer Science, FAST National University of Computer and Emerging Sciences (FAST-NUCES), Lahore, Pakistan
Neural Network-Driven Volatility Drag Mitigation under Aggressive Leverage
Jul 25, 2026Christian Bongiorno, Efstratios Manolakis, Rosario Nunzio MantegnaVolatility Portfolio Optimization
Université Paris-Saclay, CentraleSupélec, Mathématiques et Informatique pour la Complexité et les Systèmes, 91190, Gif-sur-Yvette, France · Dipartimento di Fisica e Astronomia “Ettore Majorana” Catania, Italy · Dipartimento di Fisica e Chimica Palermo, Italy +1
Predictive Extrema, Unprofitable Policies: An AI-Assisted Audit of Candle-Based Binance Spot Timing Models
Jul 21, 2026Ayoub JadouliDecentralized Finance Volatility
Computer Science and Smart Systems, Faculty of Sciences and Technology Abdelmalek Essaâdi University, Tangier, Morocco
Volatility-Aware Extreme Event Detection in High-Frequency Financial Markets
Jul 20, 2026Maorufa Zaman, Haris Md SahedVolatility Limit Order Book
Department of Digital Business & Innovation
VAIOM: Continuous-Input, Discrete-Output Decoder-Only Financial Sequence Modeling
Jul 15, 2026Yiming Ma, Xinyu ChenVolatility Autoregressive Model
How Much of a 10-K Matters? Aggregation-Dependent Value of Full-Text versus Risk-Factor Sentiment
Jul 15, 2026Sanggyu Sean ChoiFinancial Sentiment Analysis Sentiment
Artificial Intelligence and its Application Institute · University of Edinburgh
When Directional Accuracy Lies: A Base-Rate-Honest Benchmark for LoRA-Adapted TimesFM on Equity Forecasting
Jul 14, 2026Taizhen CheungFinance Benchmarks Volatility
When Does Order Flow Matter? State-Dependent L2 Liquidity-State Transitions in Crypto Futures
Jul 10, 2026Joohyoung JeonLimit Order Book Volatility
Korea University · Seoul, South Korea
SHARC: SHAP-Based Interpretability in Machine Learning Risk Models for Regulatory Capital under ICAAP and CCAR
Jul 6, 2026Ujjwala VadrevuShapley Additive Explanations Regulation
Trading Confidence: Comprehensive Uncertainty Estimation in Algorithmic Trading
Jul 3, 2026Lin Li, Li Rong Wang, Hsuan Fu +1Volatility Cnn-Lstm
Nanyang Technological University 50 Nanyang Avenue, Singapore · Nanyang Technological University Centre for Frontier AI Research, A*STAR 50 Nanyang Avenue, Singapore · Laval University Quebec, Canada
Weighted Conformal Prediction for Lab-to-Track Thermal Transfer in EV Motorsport Powertrains
Jul 2, 2026Varshith Roy KotlaOnline Conformal Prediction Hybrid Powertrain
Department of CSE, Faculty of Science and Technology, The ICFAI Foundation for Higher Education, Hyderabad, India
Heads, Not Backbones: Output Heads Dominate Architectures on Fat-Tailed Returns
Jun 29, 2026Sichao He, Yansong ZhangLong-Tailed Distribution Volatility
Peking University · Academy for Advanced Interdisciplinary Studies · Beijing, China +2
Deployment-Side Adaptiveness in Multi-Horizon Volatility Forecasting
Jun 26, 2026Riku Green, Zahraa S. Abdallah, Telmo M Silva FilhoVolatility Post-Deployment Adaptation
The University of Bristol Bristol, UK
Quant Convergence: Bridging Classical Value Investing and Modern Factor Models for Systematic Equity Selection
Jun 23, 2026Augusto Eiji Yamazaki, Hugo Garrido-Lestache BelinchonValue Volatility
Milwaukee School of Engineering Milwaukee, WI US
RAVEN: A Regime-Aware Variable-context Expert Network for Financial Time Series Forecasting
Jun 23, 2026Cheng He, Zhenyu Guan, Xijie Liang +6Time Series Forecasting Volatility
University of Science and Technology of China, China · Shanghai Black Wing Asset Management Co., Ltd., China · College of Sciences, Shanghai University, China +2
Beyond the Smile: A Hybrid Convolutional VAE for Crypto Volatility Surfaces
Jun 15, 2026Sadanand Singh, Allam Reddy, Manan ChopraVolatility Conditional Variational Autoencoder
Jasper Research, USA
PIVOT: Bridging Black-Scholes Implied-Volatility and Price Objectives via Differentiable Jäckel Operator
Jun 4, 2026Raeid Saqur, Yannick Limmer, Anastasis Kratsios +2Mathematical Finance Volatility
Mathematical Institute, University of Oxford · Vector Institute for AI · DRW +1
FinStressTS: A Parametric Synthetic Benchmark for Time-Series Forecasting in Finance
Jun 2, 2026Jiaze Sun, Kelvin J. L. Koa, Ruiyang Ni +3Time Series Forecasting Finance Benchmarks
National University of Singapore Singapore · National University of Singapore Asian Institute of Digital Finance Singapore · Nanyang Technological University Singapore
ProbRes: Volatility Learning for Probabilistic Time-Series Forecasting
Jun 1, 2026Tingting Wang, Yunyi Zhang, Benyou WangProbabilistic Forecasting Volatility
School of Data Science, The Chinese University of Hong Kong, Shenzhen
State-Coupled Volatility in Latent Dynamical Systems: Recovery Under Partial Observation
Jun 1, 2026Imani BeckettLatent States Volatility
The Herbert Wertheim School of Public Health and Human Longevity Science University of California San Diego
Kalimati Vegetable Price Index Forecasting with a Momentum Corrected Online Stacking Ensemble
May 29, 2026Sahaj Raj MallaNormalized Difference Vegetation Index Volatility
Department of Mathematics, Kathmandu University, Dhulikhel, Nepal
Triangular-Reference Schrödinger Bridges for Time Series Generation
May 26, 2026Gabriele BocchiSchrödinger Bridges Time-Series Generation
Arakne S.r.l., Roma.
Volatility Surface Reconstruction using Deep Learning under No-Arbitrage Constraints
May 20, 2026Pablo Rodriguez ManziVolatility Deep Learning
Universidad de Buenos Aires Facultad de Ingenier´ıa
Scalable Reinforcement Learning via Adaptive Batch Scaling
May 20, 2026Jongchan ParkBatch Plasticity
Hyundai Motor Company
Do Better Volatility Forecasts Lead to Better Portfolios? Evidence from Graph Neural Networks
May 19, 2026Rylan WadeVolatility Portfolio Construction
University of Southern California
Not all uncertainty is alike: volatility, stochasticity, and exploration
May 19, 2026Payam PirayStochastic Exploration Exploration
Department of Psychology, University of Southern California
Sequential Structure in Intraday Futures Data: LSTM vs Gradient Boosting on MNQ
May 18, 2026Mathias MesfinCnn-Lstm Forecasting Backbone
Independent Researcher
A Hybrid Gaussian Process Regression Framework for Stable Volatility-Covariance Estimation: Evidence from Global Equity Indices
May 17, 2026Ujjwala VadrevuVolatility Conditional-Value-At-Risk
Layer-wise Derivative Controlled Networks
May 14, 2026Rowan Martnishn, Sean AndersonDifferentiable Optimization Regularization
1Sentivity AI · 2Virginia Tech
Synthetic American Option Pricing via Jump-HMM-Driven Heston Implied Volatility
May 13, 2026Julia Sun, Zheyu Jin, Jiawei Zhang +1Mathematical Finance Volatility
Robert Frederick Smith School of Chemical and Biomolecular Engineering Cornell University, Ithaca, NY 14853
Yield Curves Dynamics Using Variational Autoencoders Under No-arbitrage
May 12, 2026Fusheng Luo, H'elyette GemanVolatility Autoregressive Model
Department of Applied Mathematics and Statistics, Johns Hopkins University, USA
DeepLévy: Learning Heavy-Tailed Uncertainty in Highly Volatile Time Series
May 11, 2026Yang Yang, Du Yin, Hao Xue +1Probabilistic Forecasting Long-Tailed Distribution
University of New South Wales Australia NSW Sydney · The Hong Kong University of Science and Technology (Guangzhou)
Jacobian-Velocity Bounds for Deployment Risk Under Covariate Drift
May 6, 2026Jonathan R. LandersJacobian Covariance
Independent Researcher · New York, NY, USA
Retrieval Mechanisms Surpass Long-Context Scaling in Time Series Forecasting
May 6, 2026Rishi Ahuja, Kumar Prateek, Simranjit Singh +1Time Series Foundation Models Retrieval-Augmented Forecasting
Department of Information Technology, Dr. B.R. Ambedkar National Institute of Technology Jalandhar, Punjab, 144008, India.
Learning Time-Inhomogeneous Markov Dynamics in Financial Time Series via Neural Parameterization
May 6, 2026Jan Rovirosa, Jesse SchmolzeMarkov Neural Dynamics
University of Wisconsin – Madison, Madison, WI, USA
Bi-Level Chaotic Fusion Based Graph Convolutional Network for Stock Market Prediction Interval
May 5, 2026Eshwar Sai Kandimalla, Sravan Chowdary Kankanala, Sumana Bhimineni +2Volatility Chaos
Department of Computer Science & Engineering, SRM University AP, India
AI-Driven Controlled Environment Agriculture as Resilient Infrastructure for U.S. Fresh-Produce Supply Chains
May 4, 2026Andrii VakhnovskyiMediterranean Greenhouses Safety-Critical Infrastructure
IOGRU LLC, New York, NY 10022, USA
On Stable Long-Form Generation: Benchmarking and Mitigating Length Volatility
May 2, 2026Zhitao He, Haolin Yang, Rui Min +2Long-Form Generation Large Language Model Generation
Hong Kong University of Science and Technology
Robust volatility updates for Hierarchical Gaussian Filtering
May 1, 2026Christoph Mathys, Nicolas Legrand, Peter Thestrup Waade +2Volatility Covariance
Interacting Minds Centre, Aarhus University, 8000 Aarhus C, Denmark · Centre for Humanities Computing, Aarhus University, 8000 Aarhus C, Denmark · Translational Neuromodeling Unit, University of Zurich & ETH Zurich, 8032 Zurich, Switzerland +1
Optimal Spatio-Temporal Decoupling for Bayesian Conformal Prediction
May 1, 2026Yu-Hsueh Fang, Chia-Yen LeeOnline Conformal Prediction Spatiotemporal
Department of Information Management, National Taiwan University, No. 1, Sec. 4, Roosevelt Rd., Da’an Dist., Taipei, 106216, Taiwan.
Early Detection of Latent Microstructure Regimes in Limit Order Books
Apr 22, 2026Prakul Sunil Hiremath, Vruksha Arun HiremathLimit Order Book Early Warning
Department of Computer Science and Engineering Visvesvaraya Technological University, Belagavi · Department of Business Administration K.L.E. Society’s College of Business Administration
Option Pricing on Noisy Intermediate-Scale Quantum Computers: A Quantum Neural Network Approach
Apr 20, 2026Sebastian Zając, Rafał PrachtQuantum Neural Networks Mathematical Finance
finQbit Warsaw, Poland
In-Context Learning Under Regime Change
Apr 18, 2026Carson Dudley, Yutong Bi, Xiaofeng Liu +1Time Series Foundation Models Change-Point Detection
Department of Mathematics, University of Michigan · Department of Electrical Engineering and Computer Science, University of Michigan · Michigan Institute for AI and Data in Society, University of Michigan
High Volatility and Action Bias Distinguish LLMs from Humans in Group Coordination
Apr 2, 2026Sahaj Singh Maini, Robert L. Goldstone, Zoran TiganjAdaptive Coordination Human Agency
Department of Computer Science, Indiana University Bloomington · Cognitive Science Program, Indiana University Bloomington · Department of Psychological and Brain Sciences, Indiana University Bloomington
WebCryptoAgent: Agentic Crypto Trading with Web Informatics
Jan 8, 2026Ali Kurban, Wei Luo, Liangyu Zuo +5Decentralized Finance Volatility
1AI Geeks · 2CUHK · 3Peking University +2
Realised Volatility Forecasting: Machine Learning via Financial Word Embedding
Aug 1, 2021Eghbal Rahimikia, Stefan Zohren, Ser-Huang PoonVolatility Financial Sentiment Analysis
Alliance Manchester Business School at the University of Manchester · Department of Engineering Science, University of Oxford · Alliance Manchester Business School, University of Manchester

Oct 1, 2026, cs.AIJ/K move · Enter open · S save

PPO-HRAP: Proximal Policy Optimization with a Hybrid Regime-Aware Policy for Risk-Controlled Trading

Duong Hien Chi Kien, Thanh Trung Huynh

College of Engineering and Computer Science, VinUniversity Ha Noi, Viet Nam

Proximal Policy Optimization Trading Volatility

Open paper AskPDF arXiv

Reinforcement learning for trading often struggles to balance upside participation with drawdown control. Profit-only policies can collapse toward passive long exposure on upward-drifting assets, while aggressively risk-penalized rewards can become too defensive during volatile periods. This paper proposes PPO-HRAP, a hybrid regime-aware policy that combines Proximal Policy Optimization with an interpretable regime prior. The agent observes both market features and portfolio-state variables, receives a reward combining portfolio log return, VIX-conditioned drawdown-increase penalty, target-exposure deviation, and turnover cost, and executes a blended action between the PPO actor output and a regime-derived target exposure. On the held-out 2020-2022 SPY test window, PPO-HRAP achieves 27.62% total return, 8.48% annualized return, 0.6447 Sharpe ratio, 0.8588 Sortino ratio, and 0.4592 Calmar ratio, while reducing maximum drawdown from 34.10% for Buy and Hold to 18.47%. Across five SPY seeds, PPO-HRAP remains stable with mean total return

0.2725 \pm 0.0109

and mean Sharpe ratio

0.6219 \pm 0.0565

. Single-run cross-asset tests on QQQ and DIA further show that the proposed method ranks first on total return and Sharpe ratio for all three reported assets. These results suggest that blending learned actions with a volatility-aware regime prior is a practical way to improve risk-adjusted trading behavior, although the current policy still incurs high turnover and cross-asset robustness beyond SPY remains limited to single-run evidence.

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