arXiv research

A theory of exceptional extreme events, characterized by their abnormal sizes compared with the rest of the distribution, is presented. Such outliers, called "dragon-kings", have been reported in the distribution of financial drawdowns, city-size distributions (e.g., Paris in France and London in the UK), in material f…

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…

Study finds 'Dragon Kings' in stock market volatility during major economic crises.

We investigate the distributions of epsilon-drawdowns and epsilon-drawups of the most liquid futures financial contracts of the world at time scales of 30 seconds. The epsilon-drawdowns (resp. epsilon- drawups) generalise the notion of runs of negative (resp. positive) returns so as to capture the risks to which invest…

New approach to Generalized Beta family using SDEs.

iKF method uncovers complex variable interactions for scientific discovery.

We study some fundamental properties of real rectifiable currents and give a generalization of King's theorem in characterizing currents defined by positive real holomorphic chains. Our proof uses Siu's semicontinuity theorem and largely simplifies King's proof. A consequence of this result is a sufficient condition fo…

DRAGON improves learning for rare classes in unbalanced datasets using class descriptions.

Study the intersection of positive closed currents using tangent currents and King's residue formula.

We fill a void in merging empirical and phenomenological characterisation of the dynamical phase transitions in complex systems by identifying three of them on real-life financial markets. We extract and interpret the empirical, numerical, and semi-analytical evidences for the existence of these phase transitions, by c…

AutoML improves electricity demand forecasting models.

Operators on the ring of algebraically constructible functions are used to compute local obstructions for a four-dimensional semialgebraic set to be homeomorphic to a real algebraic set. The link operator and arithmetic operators yield $2^{43}-43$ independent characteristic numbers mod 2, which generalize the Akbulut-K…

We propose a new scalable algorithm for holistic linear regression building on Bertsimas & King (2016). Specifically, we develop new theory to model significance and multicollinearity as lazy constraints rather than checking the conditions iteratively. The resulting algorithm scales with the number of samples $n$ in th…

A Ph.D. thesis proposes an efficient approach for optimizing aircraft eco-design with high-dimensional mixed integer variables.

We characterize those closed $2k$-manifolds admitting smooth maps into $(k+1)$-manifolds with only finitely many critical points, for $k\in\{2,4\}$. We compute then the minimal number of critical points of such smooth maps for $k=2$ and, under some fundamental group restrictions, also for $k=4$. The main ingredients ar…

BDH model learns like the brain, rivaling Transformer performance.

This paper introduces cluster exchange groupoids for Coxeter-Dynkin diagrams and finds their fundamental groups are braid groups.

We build on the work in Fackler and King 1990, and propose a more general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set of densities at different maturities and dates through a Bayesian dynamic Beta Markov Random Field. Our approach allows for possible time de…

We introduce a singular chain intersection homology theory which generalizes that of King and which agrees with the Deligne sheaf intersection homology of Goresky and MacPherson on any topological stratified pseudomanifold, compact or not, with constant or local coefficients, and with traditional perversities or superp…

All link types arise from semiholomorphic polynomials.

Using the Cartan-Kahler theory, and results on real algebraic structures, we prove two embedding theorems. First, the interior of a smooth, compact 3-manifold may be isometrically embedded into a G_2-manifold as an associative submanifold. Second, the interior of a smooth, compact 4-manifold K, whose double has a trivi…

We take a closer look at the life and legacy of Micheal Milken. We discuss why Michael Milken, also know as the Junk Bond King, was not just any other King or run-of-the-mill Junk Dealer, but "The Junk Dealer". We find parallels between the three parts to any magic act and what Micheal Milken did, showing that his acco…

Word embeddings generated by neural network methods such as word2vec (W2V) are well known to exhibit seemingly linear behaviour, e.g. the embeddings of analogy "woman is to queen as man is to king" approximately describe a parallelogram. This property is particularly intriguing since the embeddings are not trained to a…

For a positive definite fundamental tensor all known examples of Osserman algebraic curvature tensors have a typical structure. They can be produced from a metric tensor and a finite set of skew-symmetric matrices which fulfil Clifford commutation relations. We show by means of Young symmetrizers and a theorem of S. A.…

In our study, we demonstrate the synergy effect between convolutional neural networks and the multiplicity of SMILES. The model we propose, the so-called Convolutional Neural Fingerprint (CNF) model, reaches the accuracy of traditional descriptors such as Dragon (Mauri et al. [22]), RDKit (Landrum [18]), CDK2 (Willigha…

Bardo Composer generates tabletop RPG music based on player speech.

For $G$ a finite subgroup of ${\rm SL}(3,{\mathbb C})$ acting freely on ${\mathbb C}^3{\setminus} \{0\}$ a crepant resolution of the Calabi-Yau orbifold ${\mathbb C}^3\!/G$ always exists and has the geometry of an ALE non-compact manifold. We show that the tautological bundles on these crepant resolutions admit rigid H…

Study of decorated surfaces with vortices and their group structures.

Most existing deep reinforcement learning (DRL) frameworks consider either discrete action space or continuous action space solely. Motivated by applications in computer games, we consider the scenario with discrete-continuous hybrid action space. To handle hybrid action space, previous works either approximate the hyb…

Ends and cohomology theory for noncompact spaces.

The moduli space of stable bundles of rank 2 and degree 1 on a Riemann surface has rational cohomology generated by the so-called universal classes. The work of Baranovsky, King-Newstead, Siebert-Tian and Zagier provided a complete set of relations between these classes, expressed in terms of a recursion in the genus. …

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…

We consider the initial value problem $u_t = Δ\log u$, $u(x,0) = u_0(x)\ge 0$ in $\R^2$, corresponding to the Ricci flow, namely conformal evolution of the metric $u (dx_1^2 + dx_2^2)$ by Ricci curvature. It is well known that the maximal (complete) solution $u$ vanishes identically after time $T= \frac 1{4π} \int_{\R^…

DDD reformulated for sparse matrices, integrating trajectory and snapshot time series data.

We will give a new proof of a recent result of P.~Daskalopoulos, G.Huisken and J.R.King ([DH] and reference [7] of [DH]) on the existence of self-similar solution of the inverse mean curvature flow which is the graph of a radially symmetric solution in $\mathbb{R}^n$, $n\ge 2$, of the form $u(x,t)=e^{λt}f(e^{-λt} x)$ f…

We show that the space of algebraic covariant derivative curvature tensors R' is generated by Young symmetrized tensor products W*U or U*W, where W and U are covariant tensors of order 2 and 3 whose symmetry classes are irreducible and characterized by the following pairs of partitions: {(2),(3)}, {(2),(2 1)} or {(1 1)…

The causal structure of a strongly causal spacetime is particularly well endowed. Not only does it determine the conformal spacetime geometry when the spacetime dimension n >2, as shown by Malament and Hawking-King-McCarthy (MHKM), but also the manifold dimension. The MHKM result, however, applies more generally to spa…

We consider generators of algebraic covariant derivative curvature tensors R' which can be constructed by a Young symmetrization of product tensors W*U or U*W, where W and U are covariant tensors of order 2 and 3. W is a symmetric or alternating tensor whereas U belongs to a class of the infinite set S of irreducible s…

Gaussian Processes offer a flexible method for modeling and predicting outcomes with uncertainty estimates.

This note examines financial distributions to competing teams at the end of the most famous multiple stage professional (male) bicyclist race, TOUR DE FRANCE. A rank-size law (RSL) is calculated for the team financial gains. The RSL is found to be hyperbolic with a surprisingly simple decay exponent (about equal to -1)…

There is by now a large consensus in modern monetary policy. This consensus has been built upon a dynamic general equilibrium model of optimal monetary policy as developed by, e.g., Goodfriend and King (1997), Clarida et al. (1999), Svensson (1999) and Woodford (2003). In this paper we extend the standard optimal monet…

We perform an extended analysis of the distribution of drawdowns in the two leading exchange markets (US dollar against the Deutsmark and against the Yen), in the major world stock markets, in the U.S. and Japanese bond market and in the gold market, by introducing the concept of ``coarse-grained drawdowns,'' which all…

Historical tontines promised enormous rewards to the last survivors at the expense of those who died early. While this design appealed to the gambling instinct, it is a suboptimal way to manage longevity risk during retirement. This is why fair life annuities making constant payments -- where the insurance company is e…