arXiv research

Paper generalizes path signature using fractional calculus for improved machine learning.

Volatility roughness studied using fractional noise-driven models.

Modeling financial markets with memory using fractional calculus and Brownian motion.

A generalization of exterior calculus is considered by allowing the partial derivatives in the exterior derivative to assume fractional orders. That is, a fractional exterior derivative is defined. This is found to generate new vector spaces of finite and infinite dimension, fractional differential form spaces. The def…

Paper defines multi-dimensional fractional Brownian motion under volatility uncertainty.

FPG uses fractional calculus for efficient reinforcement learning with long-term memory.

Improved options pricing for two assets using fractional calculus.

We study the fractional gravity for spacetimes with non-integer dimensions. Our constructions are based on a geometric formalism with the fractional Caputo derivative and integral calculus adapted to nonolonomic distributions. This allows us to define a fractional spacetime geometry with fundamental geometric/physical …

A definition for elliptical tempered stable distribution, based on the characteristic function, have been explained which involve a unique spectral measure. This definition provides a framework for creating a connection between infinite divisible distribution, and particularly elliptical tempered stable distribution, w…

Paper introduces a new optimization method for imbalanced datasets.

We formulate the fractional Ricci flow theory for (pseudo) Riemannian geometries enabled with nonholonomic distributions defining fractional integro-differential structures, for non-integer dimensions. There are constructed fractional analogs of Perelman's functionals and derived the corresponding fractional evolution …

Methods from the geometry of nonholonomic manifolds and Lagrange-Finsler spaces are applied in fractional calculus with Caputo derivatives and for elaborating models of fractional gravity and fractional Lagrange mechanics. The geometric data for such models are encoded into (fractional) bi-Hamiltonian structures and as…

Formula for option pricing in a stochastic volatility model with jumps.

We show for a certain class of operators $A$ and holomorphic functions $f$ that the functional calculus $A\mapsto f(A)$ is holomorphic. Using this result we are able to prove that fractional Laplacians $(1+Δ^g)^p$ depend real analytically on the metric $g$ in suitable Sobolev topologies. As an application we obtain loc…

This work, dealt with the classical mean value theorem and took advantage of it in the fractional calculus. The concept of a fractional critical point is introduced. Some sufficient conditions for the existence of a critical point is studied and an illustrative example rele- vant to the concept of the time dilation eff…

Enhances option pricing with fractional order Black-Scholes-Merton model.

A new option pricing model uses a time-varying Hurst exponent for more accurate financial predictions.

Reprint of a 1989 paper including minor corrections of misprints. Added comments (11 pages) about later related papers in the literature concerning comparison of Gabriel-Zisman calculus of (right) fractions and the use of generalized morphims in the sense of Haefliger-Skandalis-Hilsum for inverting differentiable equiv…

This work further develops the properties of fractional differential forms. In particular, finite dimensional subspaces of fractional form spaces are considered. An inner product, Hodge dual, and covariant derivative are defined. Coordinate transformation rules for integral order forms are also computed. Matrix order f…

Study extends convexity in curved spaces using fractional integrals.

Extends fractional $L^p$ uncertainty principles with extremizers and stability results.

Proposes a new nonlocal curvature tensor concept.

NANSDE-Net models time series with memory using neural ARMA-type noise.

Fractional combinatorial flow improves surface conformal structures.

Research on unique continuation principles in medical and seismic imaging.

Study adds memory effect to Solow-Swan model for more accurate economic growth modeling.

This paper extends Heston model to fractional Brownian motion for option pricing.

The continuous observation of the financial markets has identified some stylized facts which challenge the conventional assumptions, promoting the born of new approaches. On the one hand, the long-range dependence has been faced replacing the traditional Gauss-Wiener process (Brownian motion), characterized by stationa…

In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many well-known aspects, such as the Lévy scaling form, follow as particular cases of the theory. The theory fully takes into account the non-Markovian and non-local character of financial time series. Predi…

New neural operators model turbulence with memory and randomness.

A new method calculates fractional moments using the moment-generating function.

Develops fractional de Rham theory for Maxwell equations.

The paper computes lens spaces resulting from rational surgeries on Hopf links.

L2O-CFGD meta-learns hyperparameters for FGD, improving performance.

We complement the theory of tick-by-tick dynamics of financial markets based on a Continuous-Time Random Walk (CTRW) model recently proposed by Scalas et al., and we point out its consistency with the behaviour observed in the waiting-time distribution for BUND future prices traded at LIFFE, London.

This paper gives new and elementary combinatorial topological proofs of the classification of unoriented and oriented rational knots and links. These proofs are based on the known classification of alternating knots through flyping, and the calculus of continued fractions. We characterize the class of strongly invertib…

New model captures long-term memory effects in epidemic dynamics.

Fractional porous media equations yield q-Gaussian solutions for stock price returns.

We examine in this article the pricing of target volatility options in the lognormal fractional SABR model. A decomposition formula by Ito's calculus yields a theoretical replicating strategy for the target volatility option, assuming the accessibilities of all variance swaps and swaptions. The same formula also sugges…

Data-driven discovery of "hidden physics" -- i.e., machine learning of differential equation models underlying observed data -- has recently been approached by embedding the discovery problem into a Gaussian Process regression of spatial data, treating and discovering unknown equation parameters as hyperparameters of a…

A new chaotic financial system is proposed by considering ethics involvement in a four-dimensional financial system with market confidence. A five-dimensional conformable derivative financial system is presented by introducing conformable fractional calculus to the integer-order system. A discretization scheme is propo…

We discuss several aspects of Mellin transform, including distributional Mellin transform and inversion of multiple Mellin-Barnes integrals in $\mathbb{C}^n$ and its connection to residue expansion or evaluation of Laplace integrals. These mathematical concepts are demonstrated on several option-pricing models. This in…

Paper derives analytical formulas for NLD-CEV moments with regime switching.

We present a neural-network valuation of financial derivatives in the case of fat-tailed underlying asset returns. A two-layer perceptron is trained on simulated prices taking into account the well-known effect of volatility smile. The prices of the underlier are generated using fractional calculus algorithms, and opti…

In this paper, Malliavin calculus is applied to arrive at exact formulas for the difference between the volatility swap strike and the zero vanna implied volatility for volatilities driven by fractional noise. To the best of our knowledge, our estimate is the first to derive the rigorous relationship between the zero v…

The paper analyzes implied volatility for European and Asian options under stochastic volatility Bachelier model.

We construct a discrete form of Hamilton's Ricci flow (RF) equations for a d-dimensional piecewise flat simplicial geometry, S. These new algebraic equations are derived using the discrete formulation of Einstein's theory of general relativity known as Regge calculus. A Regge-Ricci flow (RRF) equation is naturally asso…

We study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching) jump-size distributions. We give sufficient conditions for existence of optimal policies and find closed-form expressions for the optimal v…