arXiv research

In high-dimensional data analysis, penalized likelihood estimators are shown to provide superior results in both variable selection and parameter estimation. A new algorithm, APPLE, is proposed for calculating the Approximate Path for Penalized Likelihood Estimators. Both the convex penalty (such as LASSO) and the nonc…

Study apple tasting feedback in online binary classification, providing new insights into minimax expected mistakes.

A deterministic apple tasting learner is developed, confirming a conjecture and providing tight bounds for mistake bounds.

The paper uses data science to predict stock trends of Amazon, Apple, Google, and Microsoft.

We consider the problem of maximizing expected power utility from consumption over an infinite horizon in the Black-Scholes model with proportional transaction costs, as studied in Shreve and Soner [Ann. Appl. Probab. 4 (1994) 609-692]. Similar to Kallsen and Muhle-Karbe [Ann. Appl. Probab. 20 (2010) 1341-1358], we der…

The present paper deals with the characterization of no-arbitrage properties of a continuous semimartingale. The first main result, Theorem \refMainTheoremCharNA, extends the no-arbitrage criterion by Levental and Skorohod [Ann. Appl. Probab. 5 (1995) 906-925] from diffusion processes to arbitrary continuous semimartin…

The purpose of this article is to provide, with the help of a fluctuation identity, a generic link between a number of known identities for the first passage time and overshoot above/below a fixed level of a Levy process and the solution of Gerber and Shiu [Astin Bull. 24 (1994) 195-220], Boyarchenko and Levendorskii […

Smart watches can identify smoking gestures with high accuracy.

This study improves stock price prediction for Apple Inc. using feature selection and regression models with technical indicators.

Modeling stock price fluctuations using Brownian motion and stochastic differential equations.

We show that the shortfall risk of binomial approximations of game (Israeli) options converges to the shortfall risk in the corresponding Black--Scholes market considering Lipschitz continuous path-dependent payoffs for both discrete- and continuous-time cases. These results are new also for usual American style option…

Lung cancer continues to be a major healthcare challenge with high morbidity and mortality rates among both men and women worldwide. The majority of lung cancer cases are of non-small cell lung cancer type. With the advent of targeted cancer therapy, it is imperative not only to properly diagnose but also sub-classify …

We prove a conjecture formulated by Pablo M. Chacon and Guillermo A. Lobos in [Pseudo-parallel Lagrangian submanifolds in complex space forms, Differential Geom. Appl.] stating that every Lagrangian pseudo-parallel submanifold of a complex space form of dimension at least 3 is semi-parallel.

We present an axiomatic/synthetic account of the Huygens Principle of wave fronts. The primitive notions are "touching", and (a weak notion of ) metric. The paper simplifies some of the exposition of the author's "Metric spaces and SDG", Theory and Appl. of Categories 32 (2017), 803-822

The paper mentioned in the title introduces the entropic value at risk. I give some extra comments and using the general theory make a relation with some commonotone risk measures.

Barrieu, Rouault, and Yor [J. Appl. Probab. 41 (2004)] determined asymptotics for the logarithm of the distribution function of the Hartman-Watson distribution. We determine the asymptotics of the density. This refinement can be applied to the pricing of Asian options in the Black-Scholes model.

The paper analyzes robustness and sensitivity of rough Volterra stochastic volatility models.

Using the result by D.Gessler (Differential Geom. Appl. 7 (1997) 303-324, DIPS-9/98, http://diffiety.ac.ru/preprint/98/09_98abs.htm), we show that any invariant variational bivector (resp., variational 2-form) on an evolution equation with nondegenerate right-hand side is Hamiltonian (resp., symplectic).

Introduces an asymmetric model for measuring market risk.

We introduce a model for the short-term dynamics of financial assets based on an application to finance of quantum gauge theory, developing ideas of Ilinski. We present a numerical algorithm for the computation of the probability distribution of prices and compare the results with APPLE stocks prices and the S&P500 ind…

We confirm the square-root law of market impact on Apple Inc. using a large dataset.

Let $(B_t)_{0\leq t\leq T}$ be either a Bernoulli random walk or a Brownian motion with drift, and let $M_t:=\max\{B_s: 0\leq s\leq t\}$, $0\leq t\leq T$. This paper solves the general optimal prediction problem \sup_{0\leqτ\leq T}\sE[f(M_T-B_τ)], where the supremum is over all stopping times $τ$ adapted to the natural…

We use the energy gap result of pure Yang-Mills equation [Feehan P.M.N., Adv. Math. 312 (2017), 547-587, arXiv:1502.00668] to prove another energy gap result of complex Yang-Mills equations [Gagliardo M., Uhlenbeck K., J. Fixed Point Theory Appl. 11 (2012), 185-198, arXiv:1401.7366], when Riemannian manifold $X$ of dim…

In this article, we give the non-integrated defect relations for the Gauss map of a complete minimal surface with finite total curvature in $\mathbb R^m.$ This is a continuation of previous work of Ha-Trao [J. Math. Anal. Appl., \textbf{430} (2015), 76-84.], which we extend here to targets of higher dimension.

ALMANACS benchmarks explainability methods on simulatability.

Bucketed PCA-NN outperforms DNNs by 96% on MNIST.

Paper proves minimizing movements match smooth droplet flow in 3D.

In this paper we prove two sharp inequalities involving the normalized scalar curvature and the generalized normalized $δ$-Casorati curvatures for slant submanifolds in quaternionic space forms. We also characterize those submanifolds for which the equality cases hold. These results are a generalization of some recent …

Study compares 29 emulators across 60 test functions and 40 datasets.

New method controls renewable energy storage and portfolio selection with probabilistic constraints.

In this paper we study complete manifolds equipped with smooth measures whose spectrum of the weighted Laplacian has an optimal positive lower bound and the $m$-dimensional Bakry-Émery Ricci curvature is bounded from below by some negative constant. In particular, we prove a splitting type theorem for complete smooth m…

This paper resolves a question proposed in Kardaras and Robertson [Ann. Appl. Probab. 22 (2012) 1576-1610]: how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying assets is unavailable. Among an appropriate class of admissible covariance structures…

We formulate a sufficient condition for the existence of a consistent price system (CPS), which is weaker than the conditional full support condition (CFS) introduced by Guasoni, Rasonyi, and Schachermayer [Ann. Appl. Probab., 18(2008), pp. 491-520] . We use the new condition to show the existence of CPSs for certain p…

Using the scalar curvature of the product manifold S^{2}X R and the complete group classification of nonlinear Poisson equation on (pseudo) Riemannian manifolds, we extend the previous results on symmetry analysis of homogeneous wave equation obtained by H. Azad and M. T. Mustafa [H. Azad and M. T. Mustafa, Symmetry an…

Bayesian model estimates feature values of premium products.

In this paper we present an overview of the connection between completely integrable systems and the background geometry of the flow. This relation is better seen when using a group-based concept of moving frame introduced by Fels and Olver in [Acta Appl. Math. 51 (1998), 161-213; 55 (1999), 127-208]. The paper discuss…

This paper addresses the question of how to invest in a robust growth-optimal way in a market where the instantaneous expected return of the underlying process is unknown. The optimal investment strategy is identified using a generalized version of the principal eigenfunction for an elliptic second-order differential o…

Opers were introduced by Beilinson-Drinfeld [arXiv:math.AG/0501398]. In [J. Math. Pures Appl. 82 (2003), 1-42] a higher rank analog was considered, where the successive quotients of the oper filtration are allowed to have higher rank. We dedicate this paper to introducing and studying generalized $B$-opers (where "$B$"…

We prove that a vector bundle $π: E \to M$ is characterized by the Lie algebra generated by all differential operators on $E$ which are eigenvectors of the Lie derivative in the direction of the Euler vector field. Our result is of Pursell-Shanks type but it is remarkable in the sense that it is the whole fibration tha…

Let $\mathcal{D}$ be a Hermitian symmetric space of tube type, and let $S$ be its Shilov boundary. We give a realization of the universal covering $\widetilde{S}$ of $S$. Then we describe on $\widetilde{S}$ a primitive for the generalized Maslov cocycle as defined in [{\it Transform. Groups} {\bf 6} (2001), 303-320] an…

Using neural networks, we compute bounds on the prices of multi-asset derivatives given information on prices of related payoffs. As a main example, we focus on European basket options and include information on the prices of other similar options, such as spread options and/or basket options on subindices. We show tha…

We aim to construct a general framework for portfolio management in continuous time, encompassing both stocks and bonds. In these lecture notes we give an overview of the state of the art of optimal bond portfolios and we re-visit main results and mathematical constructions introduced in our previous publications (Ann.…

We examine the topology of various spaces of locally homogeneous affine manifolds which arise from the classification result of Opozda [B. Opozda, A classification of locally homogeneous connections on 2-dimensional manifolds, Differential Geom. Appl. 21 (2004), 173-198.] as orbits of the action of $GL(2,\mathbb{R})$ (…

The paper considers a general semi-Markov model for Limit Order Books with two states, which incorporates price changes that are not fixed to one tick. Furthermore, we introduce an even more general case of the semi-Markov model for LimitOrder Books that incorporates an arbitrary number of states for the price changes.…

A spacelike surface in the Minkowski 3-space is called a constant slope surface if its position vector makes a constant angle with the normal at each point on the surface. These surfaces completely classified in [J. Math. Anal. Appl. 385 (1) (2012) 208-220]. In this study, we give some relations between split quaternio…

We present applications of the notion of isomorphic vector fields to the study of nonlinear stability of relative equilibria. Isomorphic vector fields were introduced by Hepworth [Theory Appl. Categ. 22 (2009), 542-587] in his study of vector fields on differentiable stacks. Here we argue in favor of the usefulness of …

Study on droplet flow on uneven surfaces, proving existence and properties.

We give a new short self-contained proof of the result of Opozda [B. Opozda, A classification of locally homogeneous connections on 2-dimensional manifolds, Differential Geom. Appl. 21 (2004), 173-198.] classifying the locally homogeneous torsion free affine surfaces and the extension to the case of surfaces with torsi…