Research
On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,738 papers · 148 categories

Trend · papers per month

316293124 · May 202619922001200920172026
48 results for 20/60/20 rule

The 20/60/20 rule improves risk management and portfolio optimization in finance.

problem Understanding and managing financial data with heavy tails.
method Application of the 20/60/20 rule to stock market data, development of new measures for tail heaviness, and integration into portfolio optimization.
result The 20/60/20 rule enhances robustness and performance in portfolio optimization.

Pareto's 80/20 rule follows a Gaussian distribution with twice the mean standard deviation.

problem Understanding variations in the 80/20 rule across different contexts.
method Identifying the statistical distribution of the 80/20 rule and its variations.
result The 80/20 rule follows a Gaussian distribution with a standard deviation twice the mean.

For any positive integer r, we exhibit a knot Kr with (20 ×\times 2 r--1 + 1) crossings whose Jones polynomial V (Kr) is equal to 1 mod-ulo 2 r. Our construction rests on a certain 20-crossing tangle T 20 which is undetectable by the Kauffman bracket polynomial pair mod 2.

2016-10-18abs ↗pdf ↗

Hybrid framework predicts Arctic permafrost decline, risks infrastructure, and provides tools.

problem Tackles permafrost decline and infrastructure risk assessment in Arctic territories.
method Hybrid physics-machine learning framework integrating 2.9 million observations.
result Projects mean permafrost fraction decline of -20.3 pp under RCP8.5 forcing, with high-risk zones identified.

We empirically show the superiority of the equally weighted S\&P 500 portfolio over Sharpe's market capitalization weighted S\&P 500 portfolio. We proceed to consider the MaxMedian rule, a non-proprietary rule designed for the investor who wishes to do his/her own investing on a laptop with the purchase of only 20 stoc…

2016-02-02abs ↗pdf ↗

Let J1\mathcal{J}^1 be the real form of a complex simple Jordan algebra such that the automorphism group is F4(20)\mathrm{F}_{4(-20)}. By using some orbit types of F4(20)\mathrm{F}_{4(-20)} on J1\mathcal{J}^1, for F4(20)\mathrm{F}_{4(-20)}, explicitly, we give the Iwasawa decomposition, the Oshima--Sekiguchi's KεK_ε-Iwasawa decomp…

2011-09-05abs ↗pdf ↗

The definition of deposit substitutes in Philippine tax law fails to consider the maturity of a debt instrument. This makes it possible for long-term bonds to be considered as deposit substitutes if they meet the 20-lender rule, taxable at 20% final tax. However, long-term debt instruments cannot realistically function…

2017-12-28abs ↗pdf ↗

RL-Exec uses reinforcement learning to optimize BTC-USD liquidation, outperforming traditional methods.

problem Optimizing liquidation strategies on BTC-USD limit-order books with transient impact and latency.
method PPO agent trained on historical BTC-USD limit-order book replays, incorporating impact resilience and fees.
result RL-Exec significantly outperforms TWAP and a VWAP-like baseline on BTC-USD liquidation, with performance improving with longer execution horizons.

Enhances portfolio performance using deep reinforcement learning and future rewards.

problem Improving existing high-performing portfolio strategies through dynamic rebalancing.
method Proximal Policy Optimization (PPO) and Oracle agents for dynamic rebalancing; Regret-based Sharpe reward function; Transaction cost scheduler; Future-looking reward function; Circular block bootstrap training.
result Significantly enhanced portfolio performance compared to traditional strategies and baselines.

Understanding the behavior of a trained network and finding explanations for its outputs is important for improving the network's performance and generalization ability, and for ensuring trust in automated systems. Several approaches have previously been proposed to identify and visualize the most important features by…

2018-08-29abs ↗pdf ↗

Simple linear models outperform complex BO methods in high dimensions.

problem Overcoming the curse of dimensionality in Bayesian optimization.
method Bayesian linear regression with linear kernels, applied to high-dimensional search spaces.
result Simple linear models match or outperform state-of-the-art BO methods in high-dimensional tasks.

Bayesian neural networks update beliefs with soft evidence, improving accuracy and calibration.

problem Updating neural network weights with uncertain or soft evidence.
method Developed two algorithms to approximate Jeffrey's rule for updating neural network weights.
result Jeffrey-based methods outperform traditional approaches in accuracy and calibration, especially in noisy data.

The divergence theorem in its usual form applies only to suitably smooth vector fields. For vector fields which are merely piecewise smooth, as is natural at a boundary between regions with different physical properties, one must patch together the divergence theorem applied separately in each region. We give an elegan…

1994-04-02abs ↗pdf ↗

Connections between nodes of fully connected neural networks are usually represented by weight matrices. In this article, functional transfer matrices are introduced as alternatives to the weight matrices: Instead of using real weights, a functional transfer matrix uses real functions with trainable parameters to repre…

2017-10-28abs ↗pdf ↗

ARMS automates fraud detection rules to improve efficiency and accuracy.

problem Maintaining effective fraud detection rules over time and reducing manual review.
method ARMS uses heuristic search and a user-defined loss-function to optimize and manage rules.
result ARMS can maintain original systems' performance with only a fraction of the rules.

In Peña (2007), MCMC sampling is applied to approximately calculate the ratio of essential graphs (EGs) to directed acyclic graphs (DAGs) for up to 20 nodes. In the present paper, we extend that work from 20 to 31 nodes. We also extend that work by computing the approximate ratio of connected EGs to connected DAGs, of …

2013-01-30abs ↗pdf ↗

The training phases of Deep neural network~(DNN) consumes enormous processing time and energy. Compression techniques utilizing the sparsity of DNNs can effectively accelerate the inference phase of DNNs. However, it can be hardly used in the training phase because the training phase involves dense matrix-multiplicatio…

2018-05-23abs ↗pdf ↗

This paper combines a node transformer with BERT sentiment analysis for more accurate stock market predictions.

problem Challenges in predicting stock markets due to noise, non-stationarity, and behavioral dynamics.
method Integrates a node transformer architecture with BERT sentiment analysis to forecast stock prices.
result The integrated model reduces prediction error by 10% overall and 25% during earnings announcements.

This study provides an independent, outside-in estimate of the cost and schedule risks of nuclear waste storage projects. Based on a reference class of 216 past, comparable projects, risk of cost overrun was found to be 202% or less, with 80% certainty, i.e., 20% risk of an overrun above 202%. Based on a reference clas…

2019-01-13abs ↗pdf ↗

Relational Networks (RN) as introduced by Santoro et al. (2017) have demonstrated strong relational reasoning capabilities with a rather shallow architecture. Its single-layer design, however, only considers pairs of information objects, making it unsuitable for problems requiring reasoning across a higher number of fa…

2018-11-05abs ↗pdf ↗

For any discrete, torsion-free subgroup ΓΓ of Sp(n,1)\mathrm{Sp}(n,1) (resp.\ F420\mathrm{F}_4^{-20}) with no parabolic elements, we prove that H4n1(Γ;V)=0H_{4n-1}(Γ;V)=0 (resp.\ Hi(Γ;V)=0H_i(Γ;V)=0 for i=13,14,15i=13,14,15) for any ΓΓ--module VV. The main technical advance is a new bound on the pp--Jacobian of the barycenter map of Besson--Cour…

2015-06-11abs ↗pdf ↗

The early layers of a deep neural net have the fewest parameters, but take up the most computation. In this extended abstract, we propose to only train the hidden layers for a set portion of the training run, freezing them out one-by-one and excluding them from the backward pass. Through experiments on CIFAR, we empiri…

2017-06-15abs ↗pdf ↗

This is lecture notes of a talk I gave at the Morningside Center of Mathematics on June 20, 2006. In this talk, I survey on Poincare and geometrization conjecture.

2006-07-31abs ↗pdf ↗

A graph is 2-apex if it is planar after the deletion of at most two vertices. Such graphs are not intrinsically knotted, IK. We investigate the converse, does not IK imply 2-apex? We determine the simplest possible counterexample, a graph on nine vertices and 21 edges that is neither IK nor 2-apex. In the process, we s…

2009-10-08abs ↗pdf ↗

We prove the following: there are infinitely many finite-covolume (resp. cocompact) Coxeter groups acting on hyperbolic space H^n for every n < 20 (resp. n < 7). When n=7 or 8, they may be taken to be nonarithmetic. Furthermore, for 1 < n < 20, with the possible exceptions n=16 and 17, the number of essentially distinc…

2009-03-01abs ↗pdf ↗

Germany's tax admin costs likely exceed 20% of total revenue, requiring system improvement.

problem High tax administrative costs in Germany and other jurisdictions.
method Statistical data, surveys, and a novel approach to measure total administrative cost as a percentage of total tax revenue.
result Germany's 2021 tax administrative costs likely exceeded 20% of total tax revenue.

The study classifies complex parallelisable nilmanifolds with unobstructed deformations.

problem Characterizing complex parallelisable nilmanifolds with unobstructed deformations.
method Analyzing Lie algebras associated with nilmanifolds and their verbal ideals.
result There are finitely many complex homotopy types of unobstructed complex parallelisable nilmanifolds up to dimension 19, and infinitely many in dimension 20.

We address the question of the growth of firm size. To this end, we analyze the Compustat data base comprising all publicly-traded United States manufacturing firms within the years 1974-1993. We find that the distribution of firm sizes remains stable for the 20 years we study, i.e., the mean value and standard deviati…

1997-02-10abs ↗pdf ↗