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.
Study analyzes Brazilian congress members' spending patterns.
Model predicts active and passive cosponsorship motivations in Congress.
Out of nearly 70,000 bills introduced in the U.S. Congress from 2001 to 2015, only 2,513 were enacted. We developed a machine learning approach to forecasting the probability that any bill will become law. Starting in 2001 with the 107th Congress, we trained models on data from previous Congresses, predicted all bills …
Efficiently calculates Brazilian stock options with discrete dividends.
The study uses music chords to predict Brazilian music genres.
This paper calculates risk-dependent centrality of Brazilian stocks, showing rankings vary with external risk and crisis events.
Speculative bubbles have been occurring periodically in local or global real estate markets and are considered a potential cause of economic crises. In this context, the detection of explosive behaviors in the financial market and the implementation of early warning diagnosis tests are of critical importance. The recen…
Study finds inefficiency in Brazilian stock market through correlations and fat-tailed returns.
Paper classifies Brazilian music genres using song lyrics with BLSTM network.
This is a survey article, to appear in the Proceedings of the 2018 International Congress of Mathematicians. (Revised, with added and updated references.)
Study on neural networks for predicting Brazilian stock returns.
The Brazilian automotive market is concentrated but evolving towards a less monopolistic structure.
Deep learning outperforms Black-Scholes in Brazilian Petrobras option pricing.
Study detects fake news in Brazilian Portuguese using machine learning.
We investigate the Brazilian personal income distribution using data from National Household Sample Survey (PNAD), an annual research available by the Brazilian Institute of Geography and Statistics (IBGE). It provides general characteristics of the country's population. Using PNAD data background we also confirm the e…
Geometric Brownian motion simulates stock prices for Brazilian small caps index.
This article is an expanded version of the talk given by Ch. O. at the Second Latin Congress on "Symmetries in Geometry and Physics" in Curitiba, Brazil in December 2010. In this version we explain the topological and gauge-theoretical aspects of our paper "Abelian Yang-Mills theory on Real tori and Theta divisors of K…
This short paper describes our solution to the 2018 IEEE World Congress on Computational Intelligence One-Minute Gradual-Emotional Behavior Challenge, whose goal was to estimate continuous arousal and valence values from short videos. We designed four base regression models using visual and audio features, and then use…
This work tried to detect the existence of a relationship between the graphic signals - or patterns - observed day by day in the Brazilian stock market and the trends which happen after these signals, within a period of 8 years, for a number of securities. The results obtained from this study show evidence of the exist…
Lecture notes for a minicourse to given in the XVII Brazilian School of Geometry, UFAM (Amazonas), Brazil, July 2012.
AlphaX uses AI to outperform Brazilian stock market benchmarks.
The cyclotomic trace of Bökstedt-Hsiang-Madsen, the subject of Bökstedt's lecture at the congress in Kyoto, is a map of pro-abelian groups K_*(A) -> TR_*^.(A;p) from Quillen's algebraic K-theory to a topological refinement of Connes' cyclic homology. Over the last decade, our understanding of the target and its relatio…
Develops a three-currency HJM framework for Brazilian credit markets, finding significant credit spread differences between indexed segments.
Lecture notes for the minicourse "Holonomy Groups in Riemannian geometry", a part of the XVII Brazilian School of Geometry, to be held at UFAM (Amazonas, Brazil), in July of 2012.
These are the very unpretentious lecture notes for the minicourse "Introduction to evolution equations in Geometry," a part of the Brazilian Colloquium of Mathematics held at IMPA, in July of 2009.
This book was intended to serve as supporting material for a mini-course on web geometry delivered at the 27th Brazilian Mathematical Colloquium which took place at IMPA in the last week of July 2009.
This paper discusses the empirical validity of Goodwin's (1967) macroeconomic model of growth with cycles by assuming that the individual income distribution of the Brazilian society is described by the Gompertz-Pareto distribution (GPD). This is formed by the combination of the Gompertz curve, representing the overwhe…
In this paper, we explore and detail our experiments in a high-dimensionality, multi-class image classification problem often found in the automatic recognition of Sign Languages. Here, our efforts are directed towards comparing the characteristics, advantages and drawbacks of creating and training Support Vector Machi…
Optimal income crossover found using particle swarm optimization.
Researchers simplified Hitchin component computation for orbifold groups.
Survey on AI math foundations, focusing on neural networks.
The use of features extracted using a deep convolutional neural network (CNN) combined with a writer-dependent (WD) SVM classifier resulted in significant improvement in performance of handwritten signature verification (HSV) when compared to the previous state-of-the-art methods. In this work it is investigated whethe…
Study on supply chain networks using wire transfers in Brazil.
We provide approximations for VIX futures and options in forward variance models.
Introduces scale calculus and M-polyfolds for graduate students.
Machine learning improves early detection of patient deterioration in Brazilian hospitals.
Mutual information minimum spanning trees are used to explore nonlinear dependencies on Brazilian equity network in the periods from June/01/2015 to January/26/2016, in which Brazil was under the government of President Dilma Rousseff, and from January/27/2016 to September/08/2016 which includes the government transiti…
Topological gauge theories in four dimensions which admit surface operators provide a natural framework for realizing homological knot invariants. Every such theory leads to an action of the braid group on branes on the corresponding moduli space. This action plays a key role in the construction of homological knot inv…
Complex analysis aids in studying minimal surfaces.
We use the correlation matrix of stocks returns in order to create maps of the São Paulo Stock Exchange (BM&F-Bovespa), Brazil's main stock exchange. The data reffer to the year 2010, and the correlations between stock returns lead to the construction of a minimum spanning tree and of asset graphs with a variety of thr…
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the ana…
We present a Bayesian formulation of weighted stochastic block models that can be used to infer the large-scale modular structure of weighted networks, including their hierarchical organization. Our method is nonparametric, and thus does not require the prior knowledge of the number of groups or other dimensions of the…
Automatic Offline Handwritten Signature Verification has been researched over the last few decades from several perspectives, using insights from graphology, computer vision, signal processing, among others. In spite of the advancements on the field, building classifiers that can separate between genuine signatures and…
This article contains the lecture notes for the short course ``Introduction to Econophysics,'' delivered at the II Brazilian School on Statistical Mechanics, held in Sao Carlos, Brazil, in February 2004. The main goal of the present notes is twofold: i) to provide a brief introduction to the problem of pricing financia…
We learn the structure of a Markov Network between two groups of random variables from joint observations. Since modelling and learning the full MN structure may be hard, learning the links between two groups directly may be a preferable option. We introduce a novel concept called the \emph{partitioned ratio} whose fac…
The purpose of this paper is to identify a relevant statistical correlation between rate of default, RD, and loss given default, LGD, in a major Brazilian financial institution Retail Home Equity exposure rated using the IRB approach, so that we may find a causal relationship between the two risk parameters. Therefore,…
We consider the Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedasticity process, denoted by FIEGARCH(p,d,q), introduced by Bollerslev and Mikkelsen (1996). We present a simulated study regarding the estimation of the risk measure on FIEGARCH processes. We consider the distr…
Study shows Lula's Zero Hunger program reduced income inequality in Brazil.