Information, geometry, and pricing
Probability-valued information links firm representations to financial dependence.
Ask AI about our research:
Language models can place heterogeneous documents in a common space. The next question is not only whether those representations predict a scalar outcome, but what mathematical structure they can provide for co-movement, peer interaction, and portfolio risk.
This research retains firm information as probability distributions and uses Wasserstein geometry to reveal the structure of financial dependence.
Read the blog postFirms leave different information footprints. Their geometry can describe how firms relate, respond to one another, and move together in a portfolio. The papers develop these ideas across statistical bounds, peer structure, strategic positioning, and portfolio risk.
Research
Explore how observable firm information gives structure to financial dependence.
Quadratic Wasserstein geometry turns distributional separation into sharp conditional bounds on attainable systematic covariance under explicit information-to-exposure restrictions.
Target-anchored transport and simplex reconstruction turn distributions of firm information into a directed, bandwidth-free peer field for spatial exposure adjustment.
Multi-firm Wasserstein-2 dispersion yields a one-sided portfolio-risk certificate and an allocation rule that does not require cross-asset return covariances.
A rational-share game separates opportunity effects from strategic crowding, while corpus-scale evidence shows that peer structure can persist as firms' absolute positions move.
Animated companion
A narrated animation of the programme.
Narrated video · 05:40
The video moves from firms as probability distributions to couplings, covariance envelopes, target-anchored reconstruction, coherent multi-firm dispersion, and portfolio risk certificates.
Podcast explainer
A NotebookLM-generated podcast-style explainer of firms as news and probability distributions.
NotebookLM-generated podcast · 36:11
Researchers
Work timeline
From language models to distributional geometry.
The programme takes shape around firm information, geometry, and pricing.
The first manuscript develops distributional geometry for systematic covariance.
Read the pre-printThe work reaches its first conference proceeding in Malta.
World Finance ConferenceResearcher
Department of Finance and Tax · University of Cape Town
Research at the intersection of quantitative finance, distributional geometry, language-model representations, and mathematical foundations.
Associate Professor
Department of Finance and Tax · University of Cape Town
Research in quantitative finance, financial econometrics, computational finance, stochastic processes, and financial risk management.
