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.
The paper uses data science to predict stock trends of Amazon, Apple, Google, and Microsoft.
Modeling stock price fluctuations using Brownian motion and stochastic differential equations.
This study improves stock price prediction for Apple Inc. using feature selection and regression models with technical indicators.
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…
Introduces an asymmetric model for measuring market risk.
This paper predicts stock prices using BERT for sentiment analysis and GAN for technical indicators.
This paper studies how social media posts, especially by executives, affect stock prices.
FinALBERT predicts stock prices using labelled Stocktwits data.
Study evaluates stock price forecasting models during the pandemic.
Stock prediction has always been attractive area for researchers and investors since the financial gains can be substantial. However, stock prediction can be a challenging task since stocks are influenced by a multitude of factors whose influence vary rapidly through time. This paper proposes a novel approach (Word2Vec…
Quantum algorithms improve stock price prediction accuracy.
Novel TM-vector model predicts stock market direction using Twitter and market data.
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…
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.
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.…
Modeling trading volume curves using hierarchical Poisson processes.
GPT-4 improves stock price prediction from microblogging sentiments.
Study shows Twitter sentiments predict stock price fluctuations.
This paper investigates optimal portfolio strategies in a market where the drift is driven by an unobserved Markov chain. Information on the state of this chain is obtained from stock prices and expert opinions in the form of signals at random discrete time points. As in Frey et al. (2012), Int. J. Theor. Appl. Finance…
A deterministic apple tasting learner is developed, confirming a conjecture and providing tight bounds for mistake bounds.
The Kalman filter and Heston model are used to estimate asset prices and trading performance.
GRU models with Adam optimizer outperform other combinations in stock market forecasting.
Study finds no significant impact of US sovereign credit rating downgrade on equity market.
Mamba outperforms Reformer in minute-level stock prediction using LLM sentiment scores.
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…
Sentiment analysis from LLMs improves financial trading performance.
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 […
Why do a market's prices move up or down? Claims about causes are made without actual information, and accepted or dismissed based upon poor or non-existent evidence. Here we investigate the price movements that ended with Apple stock closing at \$500.00 on January 18, 2013. There is a ready explanation for this price …
Smart watches can identify smoking gestures with high accuracy.
Study rough volatility models using path-dependent PDEs and fractional Brownian motions.
The paper shows how overreactions in stock prices can be predicted and used for trading.
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 …
Modeling financial returns as conditionally independent random variables explains power-law tails.
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.
R. Cont and A. de Larrard (SIAM J. Finan. Math, 2013) introduced a tractable stochastic model for the dynamics of a limit order book, computing various quantities of interest such as the probability of a price increase or the diffusion limit of the price process. As suggested by empirical observations, we extend their …
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.
The paper tackles auction market design flaws by randomizing closing times and optimizing transaction fees.
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).
We confirm the square-root law of market impact on Apple Inc. using a large dataset.
Detects jumps in financial asset prices with U-shape volatility.
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.