arXiv research

This paper applies Thompson Sampling to asymmetric $\alpha$-stable bandits for financial and wireless data.

We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in the presence of price series level shifts which are not accurately modeled in the standard Gaussian error correction mo…

The real homology of a compact, n-dimensional Riemannian manifold M is naturally endowed with the stable norm. The stable norm of a homology class is the minimal Riemannian volume of its representatives. If M is orientable the stable norm on H_{n-1}(M,R) is a homogenized version of the Riemannian (n-1)-volume. We study…

We propose a new blind source separation algorithm based on mixtures of alpha-stable distributions. Complex symmetric alpha-stable distributions have been recently showed to better model audio signals in the time-frequency domain than classical Gaussian distributions thanks to their larger dynamic range. However, infer…

Upper bound on withdrawal success for geometric Levy alpha-stable wealth process.

Paper examines costs of using wrong price impact models in trading.

An explicit expression is obtained for the sectional curvature in the plane spanned by two stationary flows, cos(k, x) and cos(l, x). It is shown that for certain values of the wave vectors k and l the curvature becomes positive for alpha > alpha_0, where 0 < alpha_0 < 1 is of the order 1/k. This suggests that the flow…

Modeling risk and performance with Levy-stable distributions.

The study assesses how financial markets' efficiency changed during the COVID-19 crisis.

We give a purely algebro-geometric proof that if the alpha-invariant of a Q-Fano variety X is greater than dim X/(dim X+1), then (X,O(-K_X)) is K-stable. The key of our proof is a relation among the Seshadri constants, the alpha-invariant and K-stability. It also gives applications concerning the automorphism group.

Tian's criterion for K-stability states that a Fano variety of dimension $n$ whose alpha invariant is greater than $\frac{n}{n+1}$ is K-stable. We show that this criterion is sharp by constructing singular Fano varieties with alpha invariants $\frac{n}{n+1}$ that are not K-polystable for sufficiently large $n$. We also…

Statistic dynamics of financial systems is investigated, basing on a model of randomly coupled equation system driven by stochastic Langevin force. It is found that in stable regime the noise power spectrum of the system is of 1/f^alpha form, with the exponent alpha=3/2 in case of Hermitian coupling matrices, or slight…

A new distribution family extends the $\alpha$-stable distribution with a degree of freedom parameter.

We show that any $n$-dimensional Fano manifold $X$ with $α(X)=n/(n+1)$ and $n\geq 2$ is K-stable, where $α(X)$ is the alpha invariant of $X$ introduced by Tian. In particular, any such $X$ admits Kähler-Einstein metrics and the holomorphic automorphism group of $X$ is finite.

We provide a sufficient condition for polarisations of Fano varieties to be K-stable in terms of Tian's alpha invariant, which uses the log canonical threshold to measure singularities of divisors in the linear system associated to the polarisation. This generalises a result of Odaka-Sano in the anti-canonically polari…

We prove that every birationally superrigid Fano variety whose alpha invariant is greater than (resp. no smaller than) $\frac{1}{2}$ is K-stable (resp. K-semistable). We also prove that the alpha invariant of a birationally superrigid Fano variety of dimension $n$ is at least $\frac{1}{n+1}$ (under mild assumptions) an…

PPO optimizes LLM-generated alpha weights for better trading performance.

Adaptive estimation of alpha-Stable distribution and Hurst exponent for nonstationary time series.

This paper focuses on single-channel semi-supervised speech enhancement. We learn a speaker-independent deep generative speech model using the framework of variational autoencoders. The noise model remains unsupervised because we do not assume prior knowledge of the noisy recording environment. In this context, our con…

Study shows mutual funds add little value for uninformed investors.

Alpha-based performance evaluation may fail to capture correlated residuals due to model errors. This paper proposes using the Generalized Information Ratio (GIR) to measure performance under misspecified benchmarks. Motivated by the theoretical link between abnormal returns and residual covariance matrix, GIR is deriv…

Financial time series typically exhibit strong fluctuations that cannot be described by a Gaussian distribution. In recent empirical studies of stock market indices it was examined whether the distribution P(r) of returns r(tau) after some time tau can be described by a (truncated) Levy-stable distribution L_{alpha}(r)…

We prove that a stable minimal hypersurface of an open ball having a singular set of locally finite codimension 2 Hausdorff measure which is weakly close to a multiplicity 2 hyperplane is a 2-valued C^{1, alpha} graph in the interior. Applications including a compactness theorem for a class of immersed stable minimal h…

This study shows ESG ratings reduce equity crash risk during market downturns.

Study on non-negative solutions for stochastic Volterra equations with jumps.

Approximate algorithms for structured prediction problems---such as LP relaxations and the popular alpha-expansion algorithm (Boykov et al. 2001)---typically far exceed their theoretical performance guarantees on real-world instances. These algorithms often find solutions that are very close to optimal. The goal of thi…

The global log canonical threshold (or Tian's alpha-invariant) plays an important role in the geometry of Fano varieties. Tian showed that Fano manifolds with big alpha-invariant can be equipped with a Kahler-Einstein metric. In recent years Donaldson drafted a programme to determine when a smooth Fano variety X admits…

Improved image translation using asymmetric gradient guidance.

This paper models cryptocurrencies using $\alpha$-stable distributions, outperforming other models.

Benchmark detects decision-time leakage in financial backtests.

Alpha2 discovers logical formulaic alphas using deep reinforcement learning.

We introduce an affine extension of the Heston model where the instantaneous variance process contains a jump part driven by $α$-stable processes with $α\in(1,2]$. In this framework, we examine the implied volatility and its asymptotic behaviors for both asset and variance options. Furthermore, we examine the jump clus…

Alpha-GPT mines new trading signals with human-AI interaction.

Corporate bond factor research is flawed due to measurement errors and ex-post filtering.

We give an explicit algorithm and source code for extracting expected returns for stocks from expected returns for alphas. Our algorithm altogether bypasses combining alphas with weights into "alpha combos". Simply put, we have developed a new method for trading alphas which does not involve combining them. This yields…

Paper proposes a new framework to mine synergistic formulaic alphas for better stock trend forecasting.

Alpha-R1 uses LLMs to reason about economic factors and news for better alpha screening.

A new privacy-preserving deep learning scheme for asymmetrically collaborative machine learning.

Framework mitigates overfitting in quantitative trading strategies.

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has however become well accepted to utlise a Loss Distributional Approach (LDA) paradigm to model the individual OpRisk loss…

We propose a framework for constructing factor models for alpha streams. Our motivation is threefold. 1) When the number of alphas is large, the sample covariance matrix is singular. 2) Its out-of-sample stability is challenging. 3) Optimization of investment allocation into alpha streams can be tractable for a factor …

We compute the analytic expression of the probability distributions F{FTSE100,+} and F{FTSE100,-} of the normalized positive and negative FTSE100 (UK) index daily returns r(t). Furthermore, we define the alpha re-scaled FTSE100 daily index positive returns r(t)^alpha and negative returns (-r(t))^alpha that we call, aft…

In terms of the stock exchange returns, we compute the analytic expression of the probability distributions F{DAX,+} and F{DAX,-} of the normalized positive and negative DAX (Germany) index daily returns r(t). Furthermore, we define the alpha re-scaled DAX daily index positive returns r(t)^alpha and negative returns (-…

Alpha-GPT 2.0 integrates human insights into AI-driven investment research.

It is well known that combining multiple hedge fund alpha streams yields diversification benefits to the resultant portfolio. Additionally, crossing trades between different alpha streams reduces transaction costs. As the number of alpha streams increases, the relative turnover of the portfolio decreases as more trades…

New $\alpha$-divergence loss function improves neural density ratio estimation.

RiskMiner discovers formulaic alphas using MCTS for better performance.

Internal crossing of trades between multiple alpha streams results in portfolio turnover reduction. Turnover reduction can be modeled using the correlation structure of the alpha streams. As more and more alphas are added, generally turnover reduces. In this note we use a factor model approach to address the question o…