Author

Namid R Stillman

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Preprint Aug 2026

Financial Tail Risk Beyond Lipschitz Continuity via Semi-Discrete Optimal Transport

Financial returns are heavy-tailed, and accurate tail risk estimation is central to portfolio risk management. Modern neural generators sample by pushing a simple base distribution through a learned map, and for training stability that map is built from Lipschitz components. This is the binding constraint: a Lipschitz...

Ryan M. Engel, Kibaek Lee, Namid R. Stillman · 0 citations

Preprint Aug 2026

LOB-ID: Evaluating Synthetic Market Data by Inception Distances

This work introduces LOB-ID, an embedding-based framework that adapts the Fr\'echet Inception Distance and Monge Inception Distance to LOB data, and scores five generative LOB models, spanning stochastic baselines and deep learning approaches, and finds that LOB-ID ranks them in line with the joint temporal and cross-l...

Andreea Bacalum, Zhuo-Han Wang, Ollie Olby et al. · 0 citations