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.
Author reflects on econophysics, a 30-year-old field.
Winterization of Texas power system profitable but risky, estimated at $11.74bn over 30 years.
The study proposes a new interest rate model that captures long-term periodicity in U.S. Treasury yields.
We present an intriguing question about lattice points in triangles where Pick's formula is "almost correct". The question has its origin in knot theory, but its statement is purely combinatorial. After more than 30 years the topological question was recently solved, but the lattice point problem is still open.
Detailed study of the financial empirical correlation matrix of the 30 companies comprised by DAX within the period of the last 11 years, using the time-window of 30 trading days, is presented. This allows to clearly identify a nontrivial time-dependence of the resulting correlations. In addition, as a rule, the draw d…
We give a short solution to one of the main open problems in subriemannian geometry. Namely, we prove that length minimizers do not have corner-type singularities. With this result we solve Problem II of Agrachev's list, and provide the first general result toward the 30-year-old open problem of regularity of subrieman…
This is a survey paper on several aspects of differential geometry for the last 30 years, especially in those areas related to non-linear analysis. It grew from a talk I gave on the occasion of seventieth anniversary of Chinese Mathematical Society. I dedicate the lecture to the memory of my teacher S.S. Chern who had …
We compare three network portfolio selection methods; hierarchical clustering trees, minimum spanning trees and neighbor-Nets, with random and industry group selection methods on twelve years of data from the 30 Dow Jones Industrial Average stocks from 2001 to 2013 for very small private investor sized portfolios. We f…
Each year, roughly 30% of first-year students at US baccalaureate institutions do not return for their second year and over $9 billion is spent educating these students. Yet, little quantitative research has analyzed the causes and possible remedies for student attrition. Here, we describe initial efforts to model stud…
In this paper we provide compelling evidence of cyclical mean reversion and multiperiod stock return predictability over horizons of about 30 years with a half-life of about 15 years. This implies that the US stock market follows a long-term rhythm where a period of above average returns tends to be followed by a perio…
This paper investigates the dynamics of in the S&P500 index from daily returns for the last 30 years. Using a stochastic geometry technique, each S&P500 yearly batch of data is embedded in a subspace that can be accurately described by a reduced number of dimensions. Such feature is understood as empirical evidence for…
Survey on biharmonic Riemannian submersions, a dual concept of biharmonic submanifolds.
We aim to predict whether an employee of a company will leave or not, using the k-Nearest Neighbors algorithm. We use evaluation of employee performance, average monthly hours at work and number of years spent in the company, among others, as our features. Other approaches to this problem include the use of ANNs, decis…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an approximate scaling and heavy tails of the return distributions, long-ranged volat…
Deep learning predicts one-year mortality from ECGs, even in 'normal' cases.
Firms having similar business activities are correlated. We analyze two different cross-correlation matrices C constructed from (i) 30-min price fluctuations of 1000 US stocks for the 2-year period 1994-95 and (ii) 1-day price fluctuations of 422 US stocks for the 35-year period 1962-96. We find that the eigenvectors o…
In this paper we quantitatively investigate the statistical properties of an ensemble of {\it stock prices}. We selected 1200 stocks traded in the Tokyo Stock Exchange and formed a statistical ensemble of daily stock prices for each trading day in the 5 year period from January 4, 1988 to December 30, 1992. We found th…
Researchers have used from 30 days to several years of daily returns as source data for clustering financial time series based on their correlations. This paper sets up a statistical framework to study the validity of such practices. We first show that clustering correlated random variables from their observed values i…
We prove that curves indicated in the title exist. This results answers to a question posed by A.G.Vitushkin about 30 years ago. We also discuss the minimal number of boundary components of a curve in the unit ball passing through the center, under the condition that all these components are shorter than a given number…
We prove that each non-separable completely metrizable convex subset of a Frechet space is homeomorphic to a Hilbert space. This resolves an old (more than 30 years) problem of infinite-dimensional topology. Combined with the topological classification of separable convex sets due to Klee, Dobrowoslki and Torunczyk, th…
Generative AI predicts Arctic sea ice dynamics over decades.
Researchers solved a 30-year-old conjecture about exceptional symmetric spaces.
We extend the Frank-Wolfe (FW) optimization algorithm to solve constrained smooth convex-concave saddle point (SP) problems. Remarkably, the method only requires access to linear minimization oracles. Leveraging recent advances in FW optimization, we provide the first proof of convergence of a FW-type saddle point solv…
Neural networks outperform logistic regression for predicting HF readmission.
The growing conflicts in and about oil exporting regions and speculations about volatile oil prices during the last decade have renewed the public interest in predictions for the near future oil production and consumption. Unfortunately, studies from only 10 years ago, which tried to forecast the oil production during …
Study on academic finance evolution over 30 years.
We develop a maximum penalized quasi-likelihood estimator for estimating in a nonparametric way the diffusion function of a diffusion process, as an alternative to more traditional kernel-based estimators. After developing a numerical scheme for computing the maximizer of the penalized maximum quasi-likelihood function…
Invasive interventions did not significantly shorten ICU patients' time to death.
This article reviews ML applications in wireless networks over 30 years.
Empirical analysis of financial market trends and reversions across various time scales.
The paper predicts and explains the decay of stock anomaly performance over time.
In this paper we present an analysis of power law statistics on land markets. There have been no other studies that have analyzed power law statistics on land markets up to now. We analyzed a database of the assessed value of land, which is officially monitored and made available to the public by the Ministry of Land, …
Variable projection solves structured optimization problems by completely minimizing over a subset of the variables while iterating over the remaining variables. Over the last 30 years, the technique has been widely used, with empirical and theoretical results demonstrating both greater efficacy and greater stability c…
In general, homeowners refinance in response to a decrease in interest rates, as their borrowing costs are lowered. However, it is worth investigating the effects of refinancing after taking the underlying costs into consideration. Here we develop a synthetic mortgage calculator that sufficiently accounts for such cost…
Cancer patients admitted to ICU had improved survival over 10 years.
We prove that no -connected (resp. -connected) stably parallelizable manifold (resp. ) of dimension (resp. ) with the Arf-Kervaire invariant 1 can be smoothly embedded into (resp. ).
Bayesian Black-Litterman model updated to use market data for latent variables.
Study on financial impacts of zombie outbreak on economy.
This paper investigates the dynamics of stocks in the S&P500 index for the last 30 years. Using a stochastic geometry technique, we investigate the evolution of the market space and define a new measure for that purpose, which is a robust index of the dynamics of the market structure and provides information on the int…
We present the census of all non-orientable, closed, connected 3-manifolds admitting a rigid crystallization with at most 30 vertices. In order to obtain the above result, we generate, manipulate and compare, by suitable computer procedures, all rigid non-bipartite crystallizations up to 30 vertices.
New algorithms benchmarked for multivariate time series classification.
The paper validates a classifier for identifying intraday regime shifts in MNQ futures.
Financial markets provide a natural quantitative lab for understanding some of the most advanced human behaviours. Among them is the use of mathematical tools known as financial instruments. Besides money, the two most fundamental financial instruments are bonds and equities. More than 30 years ago Mehra and Prescott f…
This study uses ARM to analyze pedestrian crashes under different lighting conditions.
Study the landscape of Lipschitz functions between manifolds using persistent homology.
Researchers prove a 30-year-old cosmological conjecture about spacetime.
Transformer model predicts stock trends using technical data and sentiment analysis.
Technical trading rules have a long history of being used by practitioners in financial markets. Their profitable ability and efficiency of technical trading rules are yet controversial. In this paper, we test the performance of more than seven thousands traditional technical trading rules on the Shanghai Securities Co…