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.
This paper evaluates fractal dimension and persistent homology for neural network generalization.
We introduce a new measure for the capital market efficiency. The measure takes into consideration the correlation structure of the returns (long-term and short-term memory) and local herding behavior (fractal dimension). The efficiency measure is taken as a distance from an ideal efficient market situation. Methodolog…
In the work, a comparative correlation and fractal analysis of time series of Bitcoin crypto currency rate and community activities in social networks associated with Bitcoin was conducted. A significant correlation between the Bitcoin rate and the community activities was detected. Time series fractal analysis indicat…
A method to construct fractal surfaces by recurrent fractal curves is provided. First we construct fractal interpolation curves using a recurrent iterated functions system(RIFS) with function scaling factors and estimate their box-counting dimension. Then we present a method of construction of wider class of fractal su…
Many 0/1 datasets have a very large number of variables; on the other hand, they are sparse and the dependency structure of the variables is simpler than the number of variables would suggest. Defining the effective dimensionality of such a dataset is a nontrivial problem. We consider the problem of defining a robust m…
Our goal in this paper is to develop an effective estimator of fractal dimension. We survey existing ideas in dimension estimation, with a focus on the currently popular method of Grassberger and Procaccia for the estimation of correlation dimension. There are two major difficulties in estimation based on this method. …
Study fractal dimension for motion without crossing a subset.
This work is an analytical and numerical study of the composition of several fractals into one and of the relation between the composite dimension and the dimensions of the component fractals. In the case of composition of standard IFS with segments of equal size, the composite dimension can be expressed as a function …
Paper develops a fractal dimension-based generalization measure.
New framework links fractal complexity to separation dimension.
Estimates box dimension of fractal interpolation surfaces using oscillation vectors.
We investigate how simultaneously recorded long-range power-law correlated multi-variate signals cross-correlate. To this end we introduce a two-component ARFIMA stochastic process and a two-component FIARCH process to generate coupled fractal signals with long-range power-law correlations which are at the same time lo…
This paper develops geometric tools for causal inference using information flow concepts.
Floating geodesic planes in Hitchin manifolds have fractal closures with non-integer dimensions.
This study examines asymmetric cross-correlations in cryptocurrency markets using fractal analysis.
Study permeable sets and their dimensions, with applications to fractals.
We present an Expectation-Maximization algorithm for the fractal inverse problem: the problem of fitting a fractal model to data. In our setting the fractals are Iterated Function Systems (IFS), with similitudes as the family of transformations. The data is a point cloud in with arbitrary dimension .…
The miltifractal properties and scaling behaviour of the exchange rate variations of the Iranian rial against the US dollar from a daily perspective is numerically investigated. For this purpose the multifractal detrended fluctuation analysis (MF-DFA) is used. Through multifractal analysis, the scaling exponents, gener…
For the past two decades investors have observed long memory and highly correlated behavior of asset classes that does not fit into the framework of Modern Portfolio Theory. Custom correlation and standard deviation estimators consider normal distribution of returns and market efficiency hypothesis. It forced investors…
In this paper two zero-dimensional compact sets with equal topological and fractal dimensions but embedded in Euclidean space by different ways are under study. Diffraction of plane electromagnetic wave propagated and reflected by fractal surfaces is considered for each of these compact sets placed in vacuum. It is obt…
Unified bounds linking compressibility, fractal dimensions, and mutual information.
We give a brief overview of the theory of complex dimensions of real (archimedean) fractal strings via an illustrative example, the ordinary Cantor string, and a detailed survey of the theory of p-adic (nonarchimedean) fractal strings and their complex dimensions. Moreover, we present an explicit volume formula for the…
This paper introduces Hausdorff measure and its applications in fractal geometry.
Study on topological order on fractal geometries, proving no-go theorem and fault-tolerant gates.
This work proves generalization bounds for neural networks without Lipschitz assumptions.
Infinite fractal tree solves shortest connection problem.
Study fractal and regular geometry in deep neural networks.
Algorithm identifies fractal system's scaling exponents in high dimensions.
New fractal spaces not quasisymmetric to Loewner spaces discovered.
Financial markets are well known examples of multi-fractal complex systems that have garnered much interest in their characterization through complex network theory. The recent studies have used correlation based distance metrics for defining and analyzing financial networks. In this work the singularity strength is em…
Analytic patch trees reveal new geometric structures and dimension fields.
New framework constructs holographic tensor networks using hyperbolic buildings.
We introduce a new method for detection of long-range cross-correlations and multifractality - multifractal height cross-correlation analysis (MF-HXA) - based on scaling of qth order covariances. MF-HXA is a bivariate generalization of the height-height correlation analysis of Barabasi & Vicsek [Barabasi, A.L., Vicsek,…
This paper presents an analysis of the study variables such as gdp, employment levels, the level of R & D and technology that will serve as the basis for stochastic modeling of production possibilities frontier in the goodness of fractal dimensions Ex Ante and Ex Post a priori to determine the levels of causality immed…
We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvrda (2013), Physica A 392]. This way, we are able to comment on stock market efficiency after controlling for different types of inefficiencies. Applying the methodology on 38 stock marke…
We develop tools to study the topology and geometry of self-affine fractals in dimension three and higher. We use the self-affine structure and obtain rather detailed information about the connectedness of interior and boundary sets, and on the dimensions and intersections of boundary sets. As an application, we descri…
The present paper shows that for a given integer k greater than 2 it is possible to construct an at least k-differentiable Riemannian metric on the sphere of a certain dimension such that the cut locus of a point of it becomes a fractal. Moreover, we show that this construction can be extended to the case of Finsler sp…
We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using Multifractal Detrended Fluctuation Analysis (MFDFA). By calculating the singularity spectra we show that returns of both signs reveal multiscaling. Curiously, these spectra display a s…
New integration theory on topological spaces, including fractals.
This talk reviews some mathematical and physical ideas related to the notion of dimension. After a brief historical introduction, various modern constructions from fractal geometry, noncommutative geometry, and theoretical physics are invoked and compared.
Paper introduces quadrilateral labyrinth fractals and their properties.
Modeling financial markets as gas molecules, the paper predicts phase transitions similar to water and steam.
The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a classic or semi-efficient market. Novel and robust tools for estimation of multi-fractal properties are used to show that…
The paper studies dimensions of attractors for modified Leray-alpha equation on various surfaces.
Study on heat content for domains with fractal boundaries.
Globalization is one of the central concepts of our age. The common perception of the process is that, due to declining communication and transport costs, distance becomes less and less important. However, the distance coefficient in the gravity model of trade, which grows in time, indicates that the role of distance i…
Lazy, perfectly informed investors trade infrequently due to costs.
New method estimates deep neural network's intrinsic dimension for better generalization.