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.

168,742 papers · 148 categories

Trend · papers per month

count% of corpus
0111 · Jan 202519922001200920172026
2 results for “ARFIMA-FIGARCH”
Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworksecon.EM

Study introduces AMVP and AMRR for dynamic portfolio optimization in volatile markets.

problem Optimizing portfolios in volatile and nonstationary financial markets.
method Adaptive Minimum-Variance Portfolio (AMVP) framework with ARFIMA-FIGARCH processes and non-Gaussian innovations.
result Demonstrated superior performance in risk reduction and portfolio stability during market breaks.
portfolio optimizationminimum-varianceARFIMA-FIGARCHnon-Gaussian innovationscryptocurrency
2025-01-27abs ↗pdf ↗
Long-Range Dependence in Financial Markets: Empirical Evidence and Generative Modeling Challengesq-fin.ST

Study finds long-range dependence in financial markets, but deep generative models struggle to replicate it.

problem Long-range dependence in financial markets and challenges of deep generative models.
method Empirical analysis of financial data from three sectors, including LRD through various statistical methods and deep learning models.
result Deep generative models can reproduce stylized features but fail to capture long-range dependence structures.
long-range dependencefinancial marketsdeep learninggenerative modelsempirical evidence
2025-09-24abs ↗pdf ↗