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.
Researchers study spectral asymmetry using pseudodifferential projections on the massless Dirac operator.
Develops a new approach to spectral asymmetry using microlocal analysis.
Research builds an index measuring analysts' perception of informational asymmetry.
By decomposing asset returns into potential maximum gain (PMG) and potential maximum loss (PML) with price extremes, this study empirically investigated the relationships between PMG and PML. We found significant asymmetry between PMG and PML. PML significantly contributed to forecasting PMG but not vice versa. We furt…
The paper tackles multi-player information asymmetry bandits in metric spaces.
Bayesian analysis reveals asymmetry in financial data.
Study finds time-varying volatility and multifractality in Bitcoin, with asymmetry weakening as market efficiency increases.
Research shows that information asymmetry affects how quickly companies adjust their capital structure and expected returns.
The Finslerian extension of the Euclidean metric is proposed and studied under rigorous conditions that the associated indicatrix is regular and convex. The relativistic pseudo-Euclidean metric is extended, too. The extensions show distinct violation of the parity, so that the future-past asymmetry of the physical …
Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a predefined level of return is obtained from (often detrended) historic asset prices. Such a distribution typically goes t…
Python package cegpy models processes with asymmetries.
The study reveals asymmetries in US financial shocks' international impacts.
The percolation model of stock market speculation allows an asymmetry (in the return distribution) leading to fast downward crashes and slow upward recovery. We see more small upturns and more intermediate downturns.
Asymmetry PRISM outperforms CPU and GPU solvers for institutional rebalancing.
Investment horizon approach has been used to analyze indexes of Polish stock market.Optimal time horizon for each return value is evaluated by fitting appropriate function form of the distribution. Strong asymmetry of gain-loss curves is observed for WIG index, whereas gain and loss curves look similar for WIG20 and fo…
This paper tackles online strategic decision making with asymmetry and knowledge transportability.
New method automates asymmetric choice for better skill transfer in reinforcement learning.
We define a measure of spectral asymmetry for G_2 and Spin(7) manifolds. We show that this invariant can be computed in terms of characteristic classes and the covariant constant form defining the G_2 or Spin(7) structure.
In this paper we study the spectral asymmetry of (possibly nonselfadjoint) elliptic PsiDO's in terms of the difference of zeta functions coming from different cuttings. Refining previous formulas of Wodzicki in the case of odd class elliptic PsiDO's, our main results have several consequence concerning the local indepe…
We demonstrate that the gain/loss asymmetry observed for stock indices vanishes if the temporal dependence structure is destroyed by scrambling the time series. We also show that an artificial index constructed by a simple average of a number of individual stocks display gain/loss asymmetry - this allows us to explicit…
Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill asymmetries. We show that certain properties of the conditional dynamics at a sing…
Previous research has shown that for stock indices, the most likely time until a return of a particular size has been observed is longer for gains than for losses. We establish that this so-called gain/loss asymmetry is present also for individual stocks and show that the phenomenon is closely linked to the well-known …
Gradient-based methods can be biased by distributional asymmetries in bivariate categorical data.
Study examines asymmetry impacts on Japanese stock market volatility modeling and forecasting.
The abstract discusses financial irreversibility using quantum mechanics and projective geometry.
New algorithms learn and interpret asymmetry-labeled DAGs for COVID-19 fear.
Study shows gain-loss asymmetry in stock indices using a q-spin Potts model.
Researchers have studied the first passage time of financial time series and observed that the smallest time interval needed for a stock index to move a given distance is typically shorter for negative than for positive price movements. The same is not observed for the index constituents, the individual stocks. We use …
Recent studies have revealed a number of striking dependence patterns in high frequency stock price dynamics characterizing probabilistic interrelation between two consequent price increments x (push) and y (response) as described by the bivariate probability distribution P(x,y) [1,2,3,4]. There are two properties, the…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend. These empirical asymmetries predict that stock index drops are more common on a…
There are some statistical anomalies in the Chinese stock market, i.e., positive return skewness, anti-leverage effect (positive returns induce higher volatility than negative returns); and reverse volatility asymmetry (contemporaneous return-volatility correlation is positive). In this paper, we first confirm the exis…
New method calculates eta invariant without analytic continuation.
Directed graphs have asymmetric connections, yet the current graph clustering methodologies cannot identify the potentially global structure of these asymmetries. We give a spectral algorithm called di-sim that builds on a dual measure of similarity that correspond to how a node (i) sends and (ii) receives edges. Using…
Paper uses bipartite graph to forecast cross-market returns, revealing asymmetry.
Optimally estimates stability in Lorentzian isoperimetric inequalities.
Quantum walk model captures asymmetry and bimodality in long-term financial returns.
Bayesian networks are simplified for categorical variables using staged trees and asymmetry-labeled DAGs.
New proofs and inequalities for capillarity problems quantify asymmetries.
Entropy asymmetry affects regularization in ERM, leading to biased solutions.
The paper improves inequalities for nearly spherical sets using quermassintegrals.
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and Conditional Value…
Modified Jones-Faddy skew t-distribution captures asymmetry in stock returns.
In recent publications, the authors have considered inverse statistics of the Dow Jones Industrial Averaged (DJIA) [1-3]. Specifically, we argued that the natural candidate for such statistics is the investment horizons distribution. This is the distribution of waiting times needed to achieve a predefined level of retu…
We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis of data from the NYSE order book points out that traders' strategies contribute to this asymmetry. We also investigate this phenomenon in th…
We detect and quantify asymmetries in volatility spillovers using the realized semivariances of petroleum commodities: crude oil, gasoline, and heating oil. During the 1987--2014 period we document increasing spillovers from volatility among petroleum commodities that substantially change after the 2008 financial crisi…
The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up-down asymmetry, which, surprisingly, is not observed for the individual stocks composing that index. To explain this, we introduce a market model consisting of randomly fluctuating stocks that occas…
Optimal contracts help principals delegate data collection in decentralized ML.
We reinvestigate the "rockets and feathers" effect between retail gasoline and crude oil prices in a new framework of fractional integration, long-term memory and borderline (non-)stationarity. The most frequently used error-correction model is examined in detail and we find that the prices return to their equilibrium …