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.
The paper introduces a new model selection criterion for various time series models.
New geometrical method optimizes portfolio with minimal risk.
Derives a new formula for measuring risk aversion in markets.
This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical …
In this paper we perform a statistical analysis over the returns and relative prices of the CAC and the S\&P with the purpose of analyzing the intra-day seasonalities of single and cross-sectional stock dynamics. In order to do that, we characterized the dynamics of a stock (or a set of stocks) by the evolut…
We present some indications of inefficiency of the Brazilian stock market based on the existence of strong long-time cross-correlations with foreign markets and indices. Our results show a strong dependence on foreign markets indices as the S\&P 500 and CAC 40, but not to the Shanghai SSE 180, indicating an intricate i…
Study the link between entropy and market efficiency using fractal properties.
The majority of recommender systems are designed to recommend items (such as movies and products) to users. We focus on the problem of recommending buyers to sellers which comes with new challenges: (1) constraints on the number of recommendations buyers are part of before they become overwhelmed, (2) constraints on th…
One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known traditional techniques in the literature to measure stock market volatility, a centra…
Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare …
Cardiovascular disease (CVD) is the global leading cause of death. A strong risk factor for CVD events is the amount of coronary artery calcium (CAC). To meet demands of the increasing interest in quantification of CAC, i.e. coronary calcium scoring, especially as an unrequested finding for screening and research, auto…
Hybrid LSTM-ARIMA model outperforms other algorithms in algorithmic investment strategies.
We show that the Snake on a square is homotopy equivalent to the space which was investigated in the previous work by Eda, Karimov and Repov\vs. We also introduce related constructions and and investigate homotopical differences between these four constructions. Finally, we explici…
Author discusses the Poincaré conjecture from 40 years ago.
Long short-term memory network outperforms seasonal model in JSE Top 40 forecasting.
Study on knots formed by Coxeter galleries, finding bounds and symmetric trefoils.
We examine how the structure of the world trade network has been shaped by globalization and recessions over the last 40 years. We show that by treating the world trade network as an evolving system, theory predicts the trade network is more sensitive to evolutionary shocks and recovers more slowly from them now than i…
Study shows death ratio of COVID-19 deaths increases financial volatility.
Submanifolds of finite type were introduced by the author during the late 1970s. The first results on this subject were collected in author's books [26,29]. In 1991, a list of twelve open problems and three conjectures on finite type submanifolds was published in [40]. A detailed survey of the results, up to 1996, on t…
This paper tackles worst-class error rate in classification tasks.
Quantum computer helps optimize stock portfolios.
RFN improves GCNs for road networks, outperforming state-of-the-art by 21%-40%.
We consider time-domain digital backpropagation with chromatic dispersion filters jointly optimized and quantized using machine-learning techniques. Compared to the baseline implementations, we show improved BER performance and >40% power dissipation reductions in 28-nm CMOS.
DIGEN benchmark provides synthetic datasets for ML algorithm evaluation.
Two machine learning models detect anomalies in ER claims, saving up to 40% in improper payments.
Bayesian optimization reduces hyperparameter tuning cost for stochastic models.
New methods classify hyperbolic polytopes with up to 40 facets.
The theory of Vassiliev invariants deals with many modules of diagrams on which the algebra Lambda defined by Pierre Vogel acts. By specifying a quadratic simple Lie superalgebra, one obtains a character on Lambda. We show the coherence of these characters by building a map of graded algebras beetwen Lambda and a quoti…
Enhances portfolio performance using deep reinforcement learning and future rewards.
This is the second of a part series devoted to enumerating prime alternating knots and links. In Part I, we introduced four operators on knots and showed that if these operators are applied to the set of all prime alternating knots of n crossings, the set of all prime alternating knots of n+1 crossings is obtained. In …
There is an elegant relation found by Fabricius-Bjerre [Math. Scand 40 (1977) 20--24] among the double tangent lines, crossings, inflections points, and cusps of a singular curve in the plane. We give a new generalization to singular curves in RP^2. We note that the quantities in the formula are naturally dual to each …
CSDI improves time series imputation by 40-65% over existing methods.
It has been 40 years since Lawson and Osserman introduced the three minimal cones associated with Dirichlet problems in their 1977 Acta paper [LO77]. The first cone was shown area-minimizing by Harvey and Lawson in the celebrated paper [HL82]. In this paper, we confirm that the other two are also area-minimizing. In fa…
XLabel tool reduces medical experts' workload by 40% and explains its decisions.
This study attempts to analyze patterns in cryptocurrency markets using a special type of deep neural networks, namely a convolutional autoencoder. The method extracts the dominant features of market behavior and classifies the 40 studied cryptocurrencies into several classes for twelve 6-month periods starting from 15…
Study compares 29 emulators across 60 test functions and 40 datasets.
We start briefly surveying research on optimal stopping games since their introduction by E.B.Dynkin more than 40 years ago. Recent renewed interest to dynkin's games is due, in particular, to the study of Israeli (game) options introduced in 2000. We discuss the work on these options and related derivative securities …
The probability distribution of stock price changes is studied by analyzing a database (the Trades and Quotes Database) documenting every trade for all stocks in three major US stock markets, for the two year period Jan 1994 -- Dec 1995. A sample of 40 million data points is extracted, which is substantially larger tha…
Ridge regularization simplifies model complexity in data science.
The divergence theorem in its usual form applies only to suitably smooth vector fields. For vector fields which are merely piecewise smooth, as is natural at a boundary between regions with different physical properties, one must patch together the divergence theorem applied separately in each region. We give an elegan…
A new approach to newsvendor problems reduces loss by up to 40%.
New method clusters strong and weak views effectively, improving performance by up to 40%.
Societal bias towards certain communities is a big problem that affects a lot of machine learning systems. This work aims at addressing the racial bias present in many modern gender recognition systems. We learn race invariant representations of human faces with an adversarially trained autoencoder model. We show that …
The real form Spin(6,H) in End(R^{32}) of Spin(12,C) in End(C^{32}) is absolutely irreducible and thus satisfies the algebraic identities (40) and (41). Therefore, it also occurs as an exotic holonomy and the associated supermanifold M_g admits a SUSY-invariant polynomial. This real form has been erroneously omitted in…
CollaQ improves multi-agent performance in StarCraft by 40% with fewer samples.
For gravitational collapse, we observe a correspondence between region close to past null infinity and region close to central singularity. In line with this philosophy, we construct a new ansatz, with which we first present a 40-page self-contained proof of trapped surface formation in a far-from-center region. A syst…
We propose and analyze a block coordinate descent proximal algorithm (BCD-prox) for simultaneous filtering and parameter estimation of ODE models. As we show on ODE systems with up to d=40 dimensions, as compared to state-of-the-art methods, BCD-prox exhibits increased robustness (to noise, parameter initialization, an…
Forecasting COVID-19 cases in Senegal using machine learning.