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 paper builds a recommendation system for borrowers on P2PL platforms to lower interest rates.
We discuss a possible solution to an unintended consequence of having grades, certificates, rankings and other diversions in the act of transferring knowledge; and zoom in specifically to the topic of having grades, on a curve. We conduct a thought experiment, taking a chapter (and some more?) from the financial market…
We construct an infinite family of homology theories of framed links in thickened surfaces, as well as a homology theory whose graded Euler characteristic is exactly the Kauffman bracket of the link in the surface. Both theories are based on ideas coming from Asaeda, Przytycki and Sikora's categorification of the Kauff…
A new neural network model reduces features in high-dimensional sequential data.
Study identifies two borrowing patterns in UK payday loan users.
Proposes dynamic borrowing method for historical data in clinical trials.
For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of the credit-worthiness of borrowers are indispensable. These assessments are expressed in terms of probabilities of default (PD) that should incorporate a certain degree of…
This work examines the effects of allowing borrowing in betting-based hypothesis testing.
Study on optimal portfolio selection with varying borrowing and saving rates in continuous-time markets.
This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending rates. In particular, we allow for constraints on both investment and consumption strategies, and model uncertainty on both drift and volatil…
This paper provides a framework for modeling financial contagion in a network subject to fire sales and price impacts, but allowing for firms to borrow to cover their shortfall as well. We consider both uncollateralized and collateralized loans. The main results of this work are providing sufficient conditions for exis…
New algorithm borrows future randomness to stabilize model-free control.
Through a short sale, a person borrows a share of stock from a lender, sells the borrowed share to a third person at the current price, and purchases an identical share in the market at a future date and at a future price to replace the borrowed share of stock. This only makes sense if the short seller anticipates a do…
This research investigated the potential for improving Peer-to-Peer (P2P) credit scoring by using "private information" about communications and travels of borrowers. We found that P2P borrowers' ego networks exhibit scale-free behavior driven by underlying preferential attachment mechanisms that connect borrowers in a…
Constructive approach to Lie algebra gradings, computing maximal and enumerating all gradings.
The geometry of graded principal bundles is discussed in the framework of graded manifold theory of Kostant-Berezin-Leites. In particular, we prove that a graded principal bundle is globally trivial if and only if it admits a global graded section and, further, that the sheaf of vertical derivations on such a bundle co…
We propose a simple model of inter-bank borrowing and lending where the evolution of the log-monetary reserves of banks is described by a system of diffusion processes coupled through their drifts in such a way that stability of the system depends on the rate of inter-bank borrowing and lending. Systemic risk is ch…
The paper examines smoothness of value function in consumption-investment models with borrowing constraints.
DeFi lending protocols faced challenges during Ethereum's merge, but avoided major liquidations.
Paper uses BERT to assess P2P borrowers' credit risk from loan descriptions.
Three definitions of graded vector bundles are shown to be equivalent.
Study optimal consumption and portfolio strategies with no-borrowing constraint in financial markets.
The paper integrates DGLA to DGLG using HCPs and Hopf algebras.
The study calculates securities lending haircuts and indemnification costs.
Three new types of graded Lie groups are constructed and analyzed.
We propose an in-depth study of lending behaviors in Kiva using a mix of quantitative and large-scale data mining techniques. Kiva is a non-profit organization that offers an online platform to connect lenders with borrowers. Their site, kiva.org, allows citizens to microlend small amounts of money to entrepreneurs (bo…
We review the concept of a graded bundle as a natural generalisation of a vector bundle. Such geometries are particularly nice examples of more general graded manifolds. With hindsight there are many examples of graded bundles that appear in the existing literature. We start with a discussion of graded spaces, passing …
This article aims to explore an empirical approach to analyze the macroeconomicsdeterminants of default of borrowers. For this purpose, we have measured the impact of the adverse economic conditions on the degradation of the credit portfolio quality.In our paper, we have shed more light on the question of the aggravati…
Corrects technical error in change of measure for HTB models.
Study quantifies information borrowing in hierarchical Bayesian models.
This paper develops a theory of graded manifolds in differential geometry.
We develop a deep learning model of multi-period mortgage risk and use it to analyze an unprecedented dataset of origination and monthly performance records for over 120 million mortgages originated across the US between 1995 and 2014. Our estimators of term structures of conditional probabilities of prepayment, forecl…
Graded Transformers embed algebraic structure in neural networks through graded transformations.
Combines generalized and graded geometry to explore new structures.
We determine the optimal investment strategy of an individual who targets a given rate of consumption and who seeks to minimize the probability of going bankrupt before she dies, also known as {\it lifetime ruin}. We impose two types of borrowing constraints: First, we do not allow the individual to borrow money to inv…
Interbank markets are fundamental for bank liquidity management. In this paper, we introduce a model of interbank trading with memory. Our model reproduces features of preferential trading patterns in the e-MID market recently empirically observed through the method of statistically validated networks. The memory mecha…
Zero-Liquidation loans protect ETH borrowers from liquidation risks.
This paper aims at setting out the basics of -graded manifolds theory. We introduce -graded manifolds from local models and give some of their properties. The requirement to work with a completed graded symmetric algebra to define functions is made clear. Moreover, we define vector fields and ex…
The paper examines smoothness in graded skew Clifford algebras.
Enhances early risk assessments for pediatric outcomes using contrastive learning.
This study measures liquidity risks in Aave, a blockchain lending protocol.
The paper defines Z-graded hom-Lie superalgebras and explores their properties.
In this paper, we construct a canonical grading on bordered Heegaard Floer homology by homotopy classes of nonvanishing vector fields. This grading is a generalization of our construction of an absolute grading on Heegaard Floer homology and it extends the well-known grading with values in a noncommutative group define…
Characterizes fundamental groups of disjointly tree-graded spaces.
A pseudo -type Lie algebra naturally gives rise to a conformal pseudo-subriemannian fundamental graded Lie algebras. In this paper we investigate the prolongations of the associated fundamental graded Lie algebra and the associated conformal pseudo-subriemannian fundamental graded Lie algebra. In particular, we show…
Given a unital associatve graded algebra we construct the graded q-differential algebra by means of a graded q-commutator, where q is a primitive N-th root of unity. The N-th power (N>1) of the differential of this graded q-differential algebra is equal to zero. We use our approach to construct the graded q-differentia…
In this paper we first state the classification of the prolongations of complex free fundamental graded Lie algebras. Next we introduce the notion of free pseudo-product fundamental graded Lie algebras and study the prolongations of complex free pseudo-product fundamental graded Lie algebras. Furthermore we investigate…
In this paper, we consider three problems related to survival, growth, and goal reaching maximization of an investment portfolio with proportional net cash flow. We solve the problems in a market constrained due to borrowing prohibition. To solve the problems, we first construct an auxiliary market and then apply the d…