arXiv research

Proposes using Banzhaf power indices for feature importance and pruning in machine learning.

Random forests are a type of ensemble method which makes predictions by combining the results of several independent trees. However, the theory of random forests has long been outpaced by their application. In this paper, we propose a novel random forests algorithm based on cooperative game theory. Banzhaf power index …

Mathematical analysis shows Brexit affects EU voting power in unexpected ways.

Proposes a new method to explain complex machine learning models.

The paper introduces the Banzhaf value for robust data valuation in machine learning, addressing stochastic model performance.

ProxySHAP approximates Shapley and Banzhaf interactions efficiently.

This research simplifies computation of feature attribution methods under certain conditions.

Proposes a method to interpret linguistic data models using parse trees and least-squares scores.

This paper studies robust payoff allocation in submodular games, especially against replication.

New measure of feature influence in classification problems considering feature dependencies.

Dimofte, Gaiotto and Gukov introduced a powerful invariant, the 3D-index, associated to a suitable ideal triangulation of a 3-manifold with torus boundary components. The 3D-index is a collection of formal power series in $q^{1/2}$ with integer coefficients. Our goal is to explain how the 3D-index is a generating serie…

The paper studies power subgroups of Dehn twists in hyperelliptic mapping class groups.

The paper proves an index theorem for loop spaces of compact manifolds.

The study introduces a high-dimensional tail index model for viral post analysis.

We report empirical studies on the personal income distribution, and clarify that the distribution pattern of the lognormal with power law tail is the universal structure. We analyze the temporal change of Pareto index and Gibrat index to investigate the change of the inequality of the income distribution. In addition …

We study the statistical properties of volatility---a measure of how much the market is likely to fluctuate. We estimate the volatility by the local average of the absolute price changes. We analyze (a) the S&P 500 stock index for the 13-year period Jan 1984 to Dec 1996 and (b) the market capitalizations of the largest…

In the spirit of the emergent field of econophysics, a goodness-of-fit test for the Power-Law distribution, based on the Empirical Distribution Function (EDF) is presented, and related problems are discussed. An analysis of the tail behaviour of the daily logarithmic variation of the Mexican Stock Market Index (IPC), s…

The paper examines the stability of binary choice models using Gini index and scoring indicators.

Study of quotient groups of mapping class groups by power subgroups.

The so-called Pareto-Levy or power-law distribution has been successfully used as a model to describe probabilities associated to extreme variations of worldwide stock markets indexes data and it has the form $Pr(X>x) ~ x**(-alpha) for gamma< x <infinity. The selection of the threshold parameter gamma$ from empirical d…

The study uses the Merton model to estimate PD and finds a phase transition affecting convergence speed.

In this paper we show that the normal closure of the mth power of a half-twist has infinite index in the mapping class group of a punctured sphere. Furthermore, in some cases we prove that the quotient of the mapping class group of the punctured sphere by the normal closure of a power of a half-twist contains a free ab…

The 3D Index is extended to meromorphic functions on triangulated 3-manifolds.

The paper explores how the probability of default estimation changes with temporal correlation decay.

Study finds power-law tails in order imbalance distributions of Chinese stocks.

Distributions derived from non-extensive Tsallis statistics are closely connected with dynamics described by a nonlinear Fokker-Planck equation. The combination shows promise in describing stochastic processes with power-law distributions and superdiffusive dynamics. We investigate intra-day price changes in the S&P500…

We study the volatility of the S&P500 stock index from 1984 to 1996 and find that the volatility distribution can be very well described by a log-normal function. Further, using detrended fluctuation analysis we show that the volatility is power-law correlated with Hurst exponent $α\cong0.9$.

The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with previous relevant work, we have defined main financial shocks based on large volatilities rather than large crashes. We find th…

We investigate the waiting-time distribution of the absolute return in the Korean stock-market index KOSPI. We define the waiting time as a time interval during which the normalized absolute return remains continuously below a threshold $r_c$. Through an exponential bin plot, we observe that the waiting-time distributi…

New method for cohomological Conley index simplifies complex dynamics.

Sentiment analysis of DAX40 stocks improves performance by 5.38% annually.

Develops a new trend power indicator using DSP techniques.

The Financial Chaos Index models stock market volatility across three regimes based on mutual price fluctuations.

We use elementary skein theory to prove a version of a result of Stylianakis who showed that under mild restrictions on m and n, the normal closure of the m-th power of a half-twist has infinite index in the mapping class group of a sphere with 2n punctures.

This paper extends the single index model to handle nonlinear relationships.

The correlation function of a financial index of the New York stock exchange, the S&P 500, is analyzed at 1 min intervals over the 13-year period, Jan 84 -- Dec 96. We quantify the correlations of the absolute values of the index increment. We find that these correlations can be described by two different power laws wi…

Predicts stock market crashes using rational bubble model.

We analyse the dynamics of the Warsaw Stock Exchange index WIG at a daily time horizon before and after its well defined local maxima of the cusp-like shape decorated with oscillations. The rising and falling paths of the index peaks can be described by the Mittag-Leffler function superposed with various types of oscil…

Labour productivity distribution (dispersion) is studied both theoretically and empirically. Superstatistics is presented as a natural theoretical framework for productivity. The demand index $κ$ is proposed within this framework as a new business index. Japanese productivity data covering small-to-medium to large firm…

Let G be a finitely presented group, and let p be a prime. Then G is 'large' (respectively, 'p-large') if some normal subgroup with finite index (respectively, index a power of p) admits a non-abelian free quotient. This paper provides a variety of new methods for detecting whether G is large or p-large. These relate t…

Tree Index evaluates cluster quality by creating decision trees from data.

The paper examines short-term volatilities in equity indexes using a ranking procedure.

Develops a categorified excision principle for elliptic symbol families.

One of the principal statistical features characterizing the activity in financial markets is the distribution of fluctuations in market indicators such as the index. While the developed stock markets, e.g., the New York Stock Exchange (NYSE) have been found to show heavy-tailed return distribution with a characteristi…

We discuss the statistical properties of index returns in a financial market just after a major market crash. The observed non-stationary behavior of index returns is characterized in terms of the exceedances over a given threshold. This characterization is analogous to the Omori law originally observed in geophysics. …

The Hype Index measures media attention to equities using NLP.

Study reveals the 2020 U.S. stock crash was endogenous, not caused by COVID.

In this paper, we studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, we found that while the index during the late 1990s showed a power-law distribution, the distribution in the early 2000s was exponential. This…