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.
New deep learning model estimates scattering timescale of FRBs efficiently.
The paper explores how macroeconomic variables' correlation structure changes over time and under different scenarios.
We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to December 30, 2013. To investigate the dynamical evolution of the cross-correlations, cross-correlation matrices are calculated with a rolling win…
In this paper we address the problem of performing statistical inference for large scale data sets i.e., Big Data. The volume and dimensionality of the data may be so high that it cannot be processed or stored in a single computing node. We propose a scalable, statistically robust and computationally efficient bootstra…
Using the descriptive method of log-periodic power laws (LPPL) based on a theory of behavioral herding, we use a battery of parametric and non-parametric tests to demonstrate the existence of an antibubble in the yields with maturities larger than 1 year since October 2000. The concept of ``antibubble'' describes the e…
New RBM model outperforms copula models in credit risk management.
New variance-reduction methods solve stochastic composite inclusions.