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.
We discuss construction of coverings of the unit ball of a finite dimensional Banach space. The well known technique of comparing volumes gives upper and lower bounds on covering numbers. This technique does not provide a construction of good coverings. Here we apply incoherent dictionaries for construction of good cov…
This note provides a neat and enjoyable expansion and application of the magnificent Ordentlich-Cover theory of "universal portfolios." I generalize Cover's benchmark of the best constant-rebalanced portfolio (or 1-linear trading strategy) in hindsight by considering the best bilinear trading strategy determined in hin…
A new approach to continuous-time universal portfolios using pathwise Itô calculus.
Generative adversarial approach for satellite image time series land cover classification.
A new method for portfolio allocation in continuous-time markets.
New betting strategy reduces regret to ln(ln n) with protection against adversarial data.
Within a financial model with linear price impact, we study the problem of hedging a covered European option under gamma constraint. Using stochastic target and partial differential equation smoothing techniques, we prove that the super-replication price is the viscosity solution of a fully non-linear parabolic equatio…
We study robust stochastic optimization problems in the quasi-sure setting in discrete-time. The strategies in the multi-period-case are restricted to those taking values in a discrete set. The optimization problems under consideration are not concave. We provide conditions under which a maximizer exists. The class of …
Study of infinitesimal rigidity in hyperbolic manifolds.
We present a simple one-parameter model for spatially localised evolving agents competing for spatially localised resources. The model considers selling agents able to evolve their pricing strategy in competition for a fixed market. Despite its simplicity, the model displays extraordinarily rich behavior. In addition t…
Trading strategy uses analyst coverage network to outperform markets.
Generalized statistical arbitrage concepts are introduced corresponding to trading strategies which yield positive gains on average in a class of scenarios rather than almost surely. The relevant scenarios or market states are specified via an information system given by a -algebra and so this notion contains classi…
The article enumerates doubly symmetric diagrams for knots up to 18 crossings.
Foundation for robust finance using rough path theory.
Several approximate policy iteration schemes without value functions, which focus on policy representation using classifiers and address policy learning as a supervised learning problem, have been proposed recently. Finding good policies with such methods requires not only an appropriate classifier, but also reliable e…
This paper derives a robust on-line equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so as to maintain a target …
The paper optimizes dividend strategies for companies with assets and liabilities under solvency constraints.
This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depend on an external process of economic factors. There are transaction costs with a structure that covers, in particular, the case of fixed plus proportional costs. We prove that…
Consider a family of portfolio strategies with the aim of achieving the asymptotic growth rate of the best one. The idea behind Cover's universal portfolio is to build a wealth-weighted average which can be viewed as a buy-and-hold portfolio of portfolios. When an optimal portfolio exists, the wealth-weighted average c…
This paper prices and replicates the financial derivative whose payoff at is the wealth that would have accrued to a $\$1$ deposit into the best continuously-rebalanced portfolio (or fixed-fraction betting scheme) determined in hindsight. For the single-stock Black-Scholes market, Ordentlich and Cover (1998) only p…
We provide a proof for an inequality between volume and L2-Betti numbers of aspherical manifolds for which Gromov outlined a strategy based on general ideas of Connes. The implementation of that strategy involves measured equivalence relations, Gaboriau's theory of L2-Betti numbers of R-simplicial complexes, and other …
Rebellion Research's AI strategy outperformed the S&P 500 for 14 years.
This paper describes Plumbing for Optimization with Asynchronous Parallelism (POAP) and the Python Surrogate Optimization Toolbox (pySOT). POAP is an event-driven framework for building and combining asynchronous optimization strategies, designed for global optimization of expensive functions where concurrent function …
We propose some machine-learning-based algorithms to solve hedging problems in incomplete markets. Sources of incompleteness cover illiquidity, untradable risk factors, discrete hedging dates and transaction costs. The proposed algorithms resulting strategies are compared to classical stochastic control techniques on s…
3S-Trader uses LLMs to optimize stock portfolios by scoring, strategizing, and selecting stocks.
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and who can purchase a reversible life annuity. The surrender charge of a life annuity is a proportion of its value. Ruin occurs when the total of the value of the risky and riskless assets and t…
Survey on pruning CNN models to reduce size for edge devices.
The need for new methods to deal with big data is a common theme in most scientific fields, although its definition tends to vary with the context. Statistical ideas are an essential part of this, and as a partial response, a thematic program on statistical inference, learning, and models in big data was held in 2015 i…
In this note, we present an existence result of a Nash equilibrium between electricity producers selling their production on an electricity market and buying CO2 emission allowances on an auction carbon market. The producers' strategies integrate the coupling of the two markets via the cost functions of the electricity…
Improved MACD trading strategies with other indicators for better performance.
A new method for creating derivatives without oracles.
The paper analyzes game theory in convertible contracts during liquidity events.
We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy based on the Futures contract covering the larger delivery period. A quick overview of market data shows a basis risk for this market incom…
Paper proposes novel hedging strategies using LSTM models for diversified investment portfolios.
Paper proposes IRL methods for limited interaction scenarios.
Novel strategy benchmarks observational studies against randomized trials.
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and can purchase a deferred annuity. Although we let the admissible set of strategies of annuity purchasing process to be increasing adapted processes, we find that the individual will not buy a …
A strategy to beat benchmarks by investing in heavily shorted but fundamentally sound securities.
Bayesian nonparametric space partition (BNSP) models provide a variety of strategies for partitioning a -dimensional space into a set of blocks. In this way, the data points lie in the same block would share certain kinds of homogeneity. BNSP models can be applied to various areas, such as regression/classification …
This paper concerns the continuous time mean-variance portfolio selection problem with a special nonlinear wealth equation. This nonlinear wealth equation has a nonsmooth coefficient and the dual method developed in [6] does not work. We invoke the HJB equation of this problem and give an explicit viscosity solution of…
Survey of AI in finance covering models, strategies, and knowledge systems.
Optimizes active learning for machine learning models with Bayesian approach.
We consider indifference pricing of contingent claims consisting of payment flows in a discrete time model with proportional transaction costs and under exponential disutility. This setting covers utility maximisation as a special case. A dual representation is obtained for the associated disutility minimisation proble…
New model-free algorithms learn representations for low-rank MDPs efficiently.
The aim of this work is to extend the capital growth theory developed by Kelly, Breiman, Cover and others to asset market models with transaction costs. We define a natural generalization of the notion of a numeraire portfolio proposed by Long and show how such portfolios can be used for constructing growth-optimal inv…
This paper surveys cryptocurrency trading research, covering various aspects.
This tutorial covers methods for handling missing data in SP and ML.
This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. However, if the optimal dividend barrier is too low t…