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.
New risk models use chaotic attractors to predict extreme events.
Society's drive toward ever faster socio-technical systems, means that there is an urgent need to understand the threat from 'black swan' extreme events that might emerge. On 6 May 2010, it took just five minutes for a spontaneous mix of human and machine interactions in the global trading cyberspace to generate an unp…
The paper shows how to construct non-Gaussian Martingales using hyperbolic diffusion.
We show that, under mild assumptions, some unimaginable events - which we refer to as Black Swan events - must necessarily occur. It follows as a corollary of our theorem that any computational model of decision-making under uncertainty is incomplete in the sense that not all events that occur can be taken into account…
We develop a simple test for deviations from power law tails, which is based on the asymptotic properties of the empirical distribution function. We use this test to answer the question whether great natural disasters, financial crashes or electricity price spikes should be classified as dragon kings or 'only' as black…
The cost-benefit analysis formulates the holy trinity of objectives of project management - cost, schedule, and benefits. As our previous research has shown, ICT projects deviate from their initial cost estimate by more than 10% in 8 out of 10 cases. Academic research has argued that Optimism Bias and Black Swan Blindn…
Improved forecasting of financial risk using Diffusion-Copula framework.
Out-of-control information technology (IT) projects have ended the careers of top managers, such as EADS CEO Noel Forgeard and Levi Strauss' CIO David Bergen. Moreover, IT projects have brought down whole companies, like Kmart in the US and Auto Windscreen in the UK. Software and other IT is now such an integral part o…
Study reveals jumps in crypto markets predict future prices.
Exact results on power-law distributions in systems with resets.
In the presence of a layer of metaprobabilities (from uncertainty concerning the parameters), the asymptotic tail exponent corresponds to the lowest possible tail exponent regardless of its probability. The problem explains "Black Swan" effects, i.e., why measurements tend to chronically underestimate tail contribution…
We present a non-naive version of the Precautionary (PP) that allows us to avoid paranoia and paralysis by confining precaution to specific domains and problems. PP is intended to deal with uncertainty and risk in cases where the absence of evidence and the incompleteness of scientific knowledge carries profound implic…
Study Swan modules and homotopy types, resolving Wall and Dyer questions.
Stablecoin system improves resilience to extreme market events.
Study detects endogenous bubbles in meme stocks using CI.
Study adds memory effect to Solow-Swan model for more accurate economic growth modeling.
The paper proves a Serre-Swan Theorem for coisotropic algebras.
Prior to the financial crisis mortgage securitization models increased in sophistication as did products built to insure against losses. Layers of complexity formed upon a foundation that could not support it and as the foundation crumbled the housing market followed. That foundation was the Gaussian copula which faile…
Extends Serre-Swan theorem to all finitely generated modules over smooth functions.
The Serre-Swan theorem provides the link between projective modules of finite rank and vector bundles over compact manifolds, and plays a prominent role in non-commutative geometry. Its extension to non-compact manifolds is discussed.
Deep-PrAE improves rare-event simulation for black-box systems.
This paper predicts stock prices during unusual events like the pandemic.
QTMRL uses RL with multi-indicators to improve trading adaptability.
Researchers extend microlocal analysis across event horizons of rotating black holes.
Proposes a method to ensure accurate estimation of rare events in AI systems.
The article discusses new horizons in black hole physics.
We construct an example of a spherically symmetric black hole interior in which there is NO (spherically symmetric) marginally trapped tube asymptotic to the event horizon. The construction uses a self-gravitating massive scalar field matter model, and the key condition we impose is that the scalar field be bounded…
Study gluing event horizons of Minkowski and Schwarzschild spacetimes.
Given a bundle gerbe on a compact smooth manifold or, more generally, on a compact étale Lie groupoid , we show that the corresponding category of gerbe modules, if it is non-trivial, is equivalent to the category of finitely generated projective modules over an Azumaya algebra on . This result can be seen as an …
Study finds 'Dragon Kings' in stock market volatility during major economic crises.
Classifies and analyzes the stability of black hole event horizon birth points using contact geometry.
New method estimates selection event for black-box models.
Develops differential K-theory for noncommutative algebras.
We show that a stationary asymptotically flat electro-vacuum solution of Einstein's equations that is everywhere locally "almost isometric" to a Kerr-Newman solution cannot admit more than one event horizon. Axial symmetry is not assumed. In particular this implies that the assumption of a single event horizon in Alexa…
The adaptation of numerical wind wave models to the local time-spatial conditions is a problem that can be solved by using various calibration techniques. However, the obtained sets of physical parameters become over-tuned to specific events if there is a lack of observations. In this paper, we propose a robust evoluti…
Stability of extremal Reissner-Nordström black holes proven in spherical symmetry.
New theorem shows black holes are real, with clearer event horizon.
Extreme black holes with $\SU(2)$ symmetry have a specific near horizon geometry.
Researchers create black holes isometric to extremal Reissner-Nordström.
The paper proves the existence of a horizon for certain spacetimes.
The present paper is a short survey on the mathematical basics of Classical Field Theory including the Serre-Swan' theorem, Clifford algebra bundles and spinor bundles over smooth Riemannian manifolds, Spin^C-structures, Dirac operators, exterior algebra bundles and Connes' differential algebras in the commutative case…
Reduces Lie (bi-)algebroids and Dirac manifolds using constraint vector bundles.
Study compares ZBDT model to BDT for financial derivatives valuation.
In this paper, we provide an elementary, unified treatment of two distinct blue-shift instabilities for the scalar wave equation on a fixed Kerr black hole background: the celebrated blue-shift at the Cauchy horizon (familiar from the strong cosmic censorship conjecture) and the time-reversed red-shift at the event hor…
In a recent paper (gr-qc/0509107) the author and Rick Schoen obtained a generalization to higher dimensions of a classical result of Hawking concerning the topology of black holes. It was proved that, apart from certain exceptional circumstances, cross sections of the event horizon, in the stationary case, and 'weakly …
The Serre-Swan theorem in differential geometry establishes an equivalence between the category of smooth vector bundles over a smooth compact manifold and the category of finitely generated projective modules over the unital ring of smooth functions. This theorem is here generalized to manifolds of bounded geometry. I…
Hawking's theorem on the topology of black holes asserts that cross sections of the event horizon in 4-dimensional asymptotically flat stationary black hole spacetimes obeying the dominant energy condition are topologically 2-spheres. This conclusion extends to outer apparent horizons in spacetimes that are not necessa…
A general theory of innovation and progress in human society is outlined, based on the combat between two opposite forces (conservatism/inertia and speculative herding "bubble" behavior). We contend that human affairs are characterized by ubiquitous ``bubbles'', which involve huge risks which would not otherwise be tak…