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 quantifies uncertainty in comparing treatments using RCTs with before-and-after measures.
Using the tools developed for statistical physics, we simultaneously analyze statistical properties of the Jakarta and Kuala Lumpur Stock Exchange indices. In spite of the small number of data used in the analysis, the result shows the universal behavior of complex systems previously found in the leading stock indices.…
There is a small number of case studies of automatic land cover classification on the coastal area. Here, I test extraction of seagrass beds, sandy area, oyster farming rafts at Mangoku-ura Lagoon, Miyagi, Japan by comparing manual tracing, simple image segmentation, and image transformation using deep learning. The re…
Study examines cryptocurrency risk spillover effects before and after pandemic.
Breiman discusses two statistical cultures, advocating for more research on 'before' and 'after' the black box.
Study investor attention using search volume data before and after mobile device popularity.
We give definitions of cohomology determinants for compact, connected, orientable 3-manifolds. We also give formulae relating cohomology determinants before and after gluing a solid torus along a torus boundary component. Cohomology determinants are related to Turaev torsion, though the author hopes that they have othe…
New approach avoids restrictive assumptions for optimal portfolio in default risk scenarios.
Improved language models with talking-heads attention.
We study the behavior of U.S. markets both before and after U.S. Federal Open Market Committee (FOMC) meetings, and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the announcement is described by an analogue of the Omori earthquake law. We quantify th…
This paper investigates uncertainty calibration in multimodal large language models.
Study analyzes impact of concentrated liquidity on trading fees and provider returns.
In the present paper, we study deformations of polar weighted homogeneous polynomials which are also polar weighted homogeneous polynomials. We describe a round handle decomposition of the Milnor fibration of a deformation of a polar weighted homogeneous polynomial concretely and give the number of round handles by the…
Optimal pre-processing reduces disparate impact by minimizing total variation distance.
This article extends, in a stochastic environment, the Yagil (1987) model which establishes, in a deterministic dividend discount model, a range for the exchange ratio in a stock-for-stock merger agreement. Here, we generalize Yagil's work letting both pre- and post-merger dividends grow randomly over time. If Yagil fo…
We define the local periodic linking number, LK, between two oriented closed or open chains in a system with three-dimensional periodic boundary conditions. The properties of LK indicate that it is an appropriate measure of entanglement between a collection of chains in a periodic system. Using this measure of linking …
To continuously improve quality and reflect changes in data, machine learning applications have to regularly retrain and update their core models. We show that a differential analysis of language model snapshots before and after an update can reveal a surprising amount of detailed information about changes in the train…
We analyze the multifractal spectra of daily foreign exchange rates for Japan, Hong-Kong, Korea, and Thailand with respect to the United States Dollar from 1991 to 2005. We find that the return time series show multifractal spectrum features for all four cases. To observe the effect of the Asian currency crisis, we als…
We implement a market microstructure model including informed, uninformed and heuristic-driven investors, which latter behave in line with loss-aversion and mental accounting. We show that the probability of informed trading (PIN) varies significantly during 2008. In contrast, the probability of heuristic-driven tradin…
Are expansions and recessions more likely to end as their magnitude increases? In this paper we apply parametric hazard models to investigate this issue in a sample of 16 countries from 1881 to 2000. For the total sample we find evidence of positive magnitude dependence for recessions, while for expansions we are not a…
We investigate the large-volatility dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volatilities is characterized by a power law, and the exponents usually vary with the strength of the large vo…
We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by a power law, and the exponents usually vary with the strength of the lar…
Level set flow's singularities are type I under 2-convexity, leading to specific curvature blow-up rates.
Hypothesis tests are a crucial statistical tool for data mining and are the workhorse of scientific research in many fields. Here we present a differentially private analogue of the classic Wilcoxon signed-rank hypothesis test, which is used when comparing sets of paired (e.g., before-and-after) data values. We present…
We use a recent, high-quality data set from Nasdaq to perform an empirical analysis of order flow in a limit order book (LOB) before and after the arrival of a market order. For each of the stocks that we study, we identify a sequence of distinct phases across which the net flow of orders differs considerably. We note …
Study examines how mergers and acquisitions affect Indian banks' financial performance and capital structure.
PCA is often used in anomaly detection and statistical process control tasks. For bivariate data, we prove that the minor projection (the least varying projection) of the PCA-rotated data is the most sensitive to distributional changes, where sensitivity is defined by the Hellinger distance between distributions before…
We present two deep generative models based on Variational Autoencoders to improve the accuracy of drug response prediction. Our models, Perturbation Variational Autoencoder and its semi-supervised extension, Drug Response Variational Autoencoder (Dr.VAE), learn latent representation of the underlying gene states befor…
We investigate deep Bayesian neural networks with Gaussian weight priors and a class of ReLU-like nonlinearities. Bayesian neural networks with Gaussian priors are well known to induce an L2, "weight decay", regularization. Our results characterize a more intricate regularization effect at the level of the unit activat…
Weak supervision enables learning causal representations from unstructured data.
Navigation in Lorentz Finsler geometry induces isoparametric hypersurfaces.
Estimate collapsibility of causal effects in CPDAGs via strong d-convex hulls.
Crypto-assets perform better than gold as safe-havens during market crashes.
New model predicts financial connectedness via COVID-19 spread.
In this paper we introduce evidence transfer for clustering, a deep learning method that can incrementally manipulate the latent representations of an autoencoder, according to external categorical evidence, in order to improve a clustering outcome. By evidence transfer we define the process by which the categorical ou…
The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work out the price impacts across a correlated financial market. We quantify the asymmetries of the distributions and of the market structures of …
We consider uncorrelated Stein-Stein, Heston, and Hull-White models and their perturbations by compound Poisson processes with jump amplitudes distributed according to a double exponential law. Similar perturbations of the Black-Scholes model were studied by S. Kou. For perturbed stochastic volatility models, we obtain…
Changepoints are abrupt variations in the generative parameters of a data sequence. Online detection of changepoints is useful in modelling and prediction of time series in application areas such as finance, biometrics, and robotics. While frequentist methods have yielded online filtering and prediction techniques, mos…
Persistent Legendrian contact homology distinguishes knots using height functional.
Changes in the capital structure before and after the global financial crisis for SMEs are studied, emphasizing their financing problems, distinguishing between internal financing and external financing determinants. The empirical research bears upon 158 small and medium-sized firms listed on Shenzhen and Shanghai Stoc…
Study shows post-COVID commodity futures returns and volatility changed for different products.
Singularities of the mean curvature flow of an embedded surface in R^3 are expected to be modelled on self-shrinkers that are compact, cylindrical, or asymptotically conical. In order to understand the flow before and after the singular time, it is crucial to know the uniqueness of tangent flows at the singularity. In …
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on the ratio between the …
Study uses Bayesian regression to analyze consumer behavior changes in restaurants post-COVID-19.
A method compares AI corrections to a base model for explaining predictions.
New framework identifies causal models with arbitrary interventions, improving realism.
In this paper, we deal with the problem of curves clustering. We propose a nonparametric method which partitions the curves into clusters and discretizes the dimensions of the curve points into intervals. The cross-product of these partitions forms a data-grid which is obtained using a Bayesian model selection approach…
We study the optimal investment-consumption problem for a member of defined contribution plan during the decumulation phase. For a fixed annuitization time, to achieve higher final annuity, we consider a variable consumption rate. Moreover, to have a minimum guarantee for the final annuity, a safety level for the wealt…