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.
This study improves stock price prediction for Apple Inc. using feature selection and regression models with technical indicators.
The paper analyzes robustness and sensitivity of rough Volterra stochastic volatility models.
We confirm the square-root law of market impact on Apple Inc. using a large dataset.
This paper predicts stock prices using BERT for sentiment analysis and GAN for technical indicators.
In this paper we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate the hypothesis on importance of the jump part in the underlying model dynamics. Also an impact of the long memory para…
Sentiment analysis from LLMs improves financial trading performance.
"Which Generative Adversarial Networks (GANs) generates the most plausible images?" has been a frequently asked question among researchers. To address this problem, we first propose an \emph{incomplete} U-statistics estimate of maximum mean discrepancy to measure the distribution discrepancy betwee…
GRU models with Adam optimizer outperform other combinations in stock market forecasting.
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…
The paper shows how overreactions in stock prices can be predicted and used for trading.
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…
Detects jumps in financial asset prices with U-shape volatility.
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 […
Study detects endogenous bubbles in meme stocks using CI.
Mamba outperforms Reformer in minute-level stock prediction using LLM sentiment scores.
A new multi-phase approach improves supply chain forecasting accuracy.
Smart watches can identify smoking gestures with high accuracy.
Modeling stock price fluctuations using Brownian motion and stochastic differential equations.
We present Tanaka's prolongation procedure for filtered structures on manifolds discovered in [Tanaka N., J. Math. Kyoto. Univ. 10 (1970), 1-82] in a spirit of Singer-Sternberg's description of the prolongation of usual G-structures [Singer I.M., Sternberg S., J. Analyse Math. 15 (1965), 1-114; Sternberg S., Prentice-H…
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…
We consider the eigenvalue equation for the Laplace-Beltrami operator acting on scalar functions on the non-compact Eguchi-Hanson space. The corresponding differential equation is reducible to a confluent Heun equation with Ince symbol [0,2,1_2]. We construct approximations for the eigenfunctions and their asymptotic s…
In this paper the multivariate fractional trading ansatz of money management from Ralph Vince (Portfolio Management Formulas: Mathematical Trading Methods for the Futures, Options, and Stock Markets, John Wiley & Sons, Inc., 1990) is discussed. In particular, we prove existence and uniqueness of an optimal f of the res…
The majority of data scientists and machine learning practitioners use relational data in their work [State of ML and Data Science 2017, Kaggle, Inc.]. But training machine learning models on data stored in relational databases requires significant data extraction and feature engineering efforts. These efforts are not …
In this study, we establish a network structure of the Korean stock market, one of the emerging markets, with its minimum spanning tree through the correlation matrix. Base on this analysis, it is found that the Korean stock market doesn't form the clusters of the business sectors or of the industry categories. When th…
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.
System states that are anomalous from the perspective of a domain expert occur frequently in some anomaly detection problems. The performance of commonly used unsupervised anomaly detection methods may suffer in that setting, because they use frequency as a proxy for anomaly. We propose a novel concept for anomaly dete…
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…
Let be either a Bernoulli random walk or a Brownian motion with drift, and let , . 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 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 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 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.
Investigates quantum vs classical portfolio optimization of 60 stocks.
We present a system that enables rapid model experimentation for tera-scale machine learning with trillions of non-zero features, billions of training examples, and millions of parameters. Our contribution to the literature is a new method (SA L-BFGS) for changing batch L-BFGS to perform in near real-time by using stat…
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.
Quantum computer helps optimize stock portfolios.
In this paper we prove two sharp inequalities involving the normalized scalar curvature and the generalized normalized -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.