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 study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. While at shorter microscopic time lags the distribution has power-law tails, for mesoscopic times the bulk of the distribution (more than 99% of the probability) follows an expon…
New model captures time-varying volatility with stochastic exponential tails.
We develop a new Monte Carlo variance reduction method to estimate the expectation of two commonly encountered path-dependent functionals: first-passage times and occupation times of sets. The method is based on a recursive approximation of the first-passage time probability and expected occupation time of sets of a Le…
Exponentially smoothed RNNs improve industrial forecasting.
Develops a new exponential map for time-varying vector fields.
New Thompson sampling algorithm reduces regret for exponential family bandits.
Time series analysis is used to understand and predict dynamic processes, including evolving demands in business, weather, markets, and biological rhythms. Exponential smoothing is used in all these domains to obtain simple interpretable models of time series and to forecast future values. Despite its popularity, expon…
A new method for exponentially weighted moving models using approximations.
CDEFs reduce model complexity and uncover time correlations.
We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between trades are not exponentially distributed. Here we show that our data is well ap…
This paper extends exponential smoothing to distributional time series using Wasserstein distance.
Classical knot recognition problem solved in NP with exponential time algorithm.
In this short paper, in order to price occupation-time options, such as (double-barrier) step options and quantile options, we derive various joint distributions of a mixed-exponential jump-diffusion process and its occupation times of intervals.
Exponential smoothers are a simple and memory efficient way to compute running averages of time series. Here we define and describe practical properties of exponential smoothers for signals observed at constant and variable intervals.
New theory extends LQ control to non-exponential discount scenarios.
Study optimal strategy for maximizing exponential utility in financial market with linear price impact.
Consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Levy model with finite time horizon. We discretize the model by restricting portfolio adjustments to an equidistant discrete time grid. Under minimal assumptions we prove convergence of the optimal discrete-time strate…
It will be discussed the statistics of the extreme values in time series characterized by finite-term correlations with non-exponential decay. Precisely, it will be considered the results of numerical analyses concerning the return intervals of extreme values of the fluctuations of resistance and defect-fraction displa…
We provide a complete characterization of the class of one-dimensional time-homogeneous diffusions consistent with a given law at an exponentially distributed time using classical results in diffusion theory. To illustrate we characterize the class of diffusions with the same distribution as Brownian motion at an expon…
Auto-regressive models improve smoothing efficiency with exponentially tapered windows.
New RL approach handles non-exponential discounting for sequential decisions.
We develop Square Root Graphical Models (SQR), a novel class of parametric graphical models that provides multivariate generalizations of univariate exponential family distributions. Previous multivariate graphical models [Yang et al. 2015] did not allow positive dependencies for the exponential and Poisson generalizat…
In this paper, we obtain analytical expression for the distribution of the occupation time in the red (below level ) up to an (independent) exponential horizon for spectrally negative Lévy risk processes and refracted spectrally negative Lévy risk processes. This result improves the existing literature in which only…
Solves utility maximization for delayed informed investors.
Improved Gibbs sampler speeds up Bayesian exponential smoothing model.
Paper solves best approximation by exponential functions for economic data.
This paper considers multi-dimensional affine processes with continuous sample paths. By analyzing the Riccati system, which is associated with affine processes via the transform formula, we fully characterize the regions of exponents in which exponential moments of a given process do not explode at any time or explode…
A new method for efficiently computing derivatives of skew-symmetric matrix exponentials.
Polynomial-time algorithm estimates mean with bounded covariance using differential privacy.
Introduces a new theoretical framework for exponential smoothing.
The paper characterizes probability and entropy of exponentially growing sample spaces.
This paper presents a Bayesian optimization method with exponential convergence without the need of auxiliary optimization and without the delta-cover sampling. Most Bayesian optimization methods require auxiliary optimization: an additional non-convex global optimization problem, which can be time-consuming and hard t…
Paper efficiently infers differential parameters in time-varying models using time score matching.
It is well known that generic solutions of the heat equation are not analytic in time in general. Here it is proven that ancient solutions with exponential growth are analytic in time in ${\M} \times (-\infty, 0]$. Here $\M=\R^n$ or is a manifold with Ricci curvature bounded from below. Consequently a necessary and suf…
We examine optimal quadratic hedging of barrier options in a discretely sampled exponential Lévy model that has been realistically calibrated to reflect the leptokurtic nature of equity returns. Our main finding is that the impact of hedging errors on prices is several times higher than the impact of other pricing bias…
The purpose of this note is to describe, in terms of a power series, the distribution function of the exponential functional, taken at some independent exponential time, of a spectrally negative Lévy process ξwith unbounded variation. We also derive a Geman-Yor type formula for Asian options prices in a financial marke…
Efficient numerical method for time-fractional Black-Scholes model.
New CTBNs with clocks allow for non-exponential survival times.
Space exploration technology advances exponentially, consistent with Moore's and Wright's laws.
Thompson Sampling has been demonstrated in many complex bandit models, however the theoretical guarantees available for the parametric multi-armed bandit are still limited to the Bernoulli case. Here we extend them by proving asymptotic optimality of the algorithm using the Jeffreys prior for 1-dimensional exponential …
Adaptive estimation for nonstationary time series reduces computational cost.
Unique optimal strategy identified for state-dependent risk aversion.
New algorithms improve stopping time for best arm identification.
The paper proposes a method to train time-varying generative models using natural gradients.
Analyzing historical data of price indices we find an extraordinary growth phenomenon in several examples of hyper-inflation in which price changes are approximated nicely by double-exponential functions of time. In order to explain such behavior we introduce the general coarse-graining technique in physics, the Monte …
Polynomial-time algorithm estimates edge density of random graphs with privacy and robustness.
Ridge regression linked to Poisson resetting in statistical physics.
On a complete non-compact gradient shrinking Ricci soliton, we prove the analyticity in time for smooth solutions of the heat equation with quadratic exponential growth in the space variable. This growth condition is sharp. As an application, we give a necessary and sufficient condition on the solvability of the backwa…