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.
Proposes a Latent Block Model for analyzing missing data.
We present a database of parliamentary debates that contains the complete record of parliamentary speeches from Dáil Éireann, the lower house and principal chamber of the Irish parliament, from 1919 to 2013. In addition, the database contains background information on all TDs (Teachta Dála, members of parliament), such…
The paper tests stock return models and uses LSTM to predict stock returns.
This study revisits Fama-French models using sample innovations to address misinterpretation of high R-squared values.
We give a general overview of the influence of William Thurston on the French mathematical school and we show how some of the major problems he solved are rooted in the French mathematical tradition. At the same time, we survey some of Thurston's major results and their impact. The final version of this paper will appe…
In this paper we focus on the beneficial role of random strategies in social sciences by means of simple mathematical and computational models. We briefly review recent results obtained by two of us in previous contributions for the case of the Peter principle and the efficiency of a Parliament. Then, we develop a new …
This paper presents a data set describing the evolution of results in the Portuguese Parliamentary Elections of October 6 2019. The data spans a time interval of 4 hours and 25 minutes, in intervals of 5 minutes, concerning the results of the 27 parties involved in the electoral event. The data set is tailored f…
The paper presents a neural machine translation system for Wolof.
Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial innovation like CDS could heighten financial instability. After describing the operating principles of credit derivatives i…
Paper introduces a specialized text classification system for French Open Banking transactions.
Multi-language speech datasets are scarce and often have small sample sizes in the medical domain. Robust transfer of linguistic features across languages could improve rates of early diagnosis and therapy for speakers of low-resource languages when detecting health conditions from speech. We utilize out-of-domain, unp…
The Capital Asset Pricing Model (CAPM) is one of the original models in explaining risk-return relationship in the financial market. However, when applying the CAPM into reality, it demonstrates a lot of shortcomings. While improving the performance of the model, many studies, on one hand, have attempted to apply diffe…
The paper examines the stability of Fama-French multi-factor models over time.
The objective of this article is to analyze the impact of capital structure on profitability. This impact can be explained by three essential theories: signaling theory, tax theory and the agency costs theory. A sample of 1846 French industrial firms are taken over the period 1999-2006, as a dynamic panel study by usin…
Study tests if equity factors explain Bitcoin's risk and returns.
Study assesses additional factors for identifying persistent alpha in pension funds.
Intangible investment becomes a strong predictor of stock returns over time.
Current study aims to provide new empirical evidence on the impact of debt on corporate profitability. This impact can be explained by three essential theories: signaling theory, tax theory and the agency cost theory. Using panel data sample of 2240 French non listed companies of service sector during 1999-2006. By uti…
Study analyzes Disney stock market performance using machine learning.
Back cover text: Megaprojects and Risk provides the first detailed examination of the phenomenon of megaprojects. It is a fascinating account of how the promoters of multibillion-dollar megaprojects systematically and self-servingly misinform parliaments, the public and the media in order to get projects approved and b…
We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity of the CAPM can be rejected, thus the widely used risk and performance measures, the beta and the alpha, are biased an…
Improved language model for French clinical reports achieves state-of-the-art performance in medical NLP tasks.
Study examines stock price reactions to Texas winter storm power outages.
We present extensive evidence that ``risk premium'' is strongly correlated with tail-risk skewness but very little with volatility. We introduce a new, intuitive definition of skewness and elicit an approximately linear relation between the Sharpe ratio of various risk premium strategies (Equity, Fama-French, FX Carry,…
Many supervised learning tasks are emerged in dual forms, e.g., English-to-French translation vs. French-to-English translation, speech recognition vs. text to speech, and image classification vs. image generation. Two dual tasks have intrinsic connections with each other due to the probabilistic correlation between th…
Study finds stock selection ability of Chinese mutual funds is better than asset allocation ability.
Study models extreme skew surges along French Atlantic coast.
In the paper we develop mathematical tools of quantile hedging in incomplete market. Those could be used for two significant applications: o calculating the \textbf{optimal capital requirement imposed by Solvency II} (Directive 2009/138/EC of the European Parliament and of the Council) when the market and non-market ri…
The article prices exchange options using variance gamma-like models.
The paper (in French) exemplifies graphically a solution of the heat equation which is a 1-dimensional unfolding of an elliptic umbilic catastrophe. The example is due to James Damon and adapts Thom-Mather's singularity theory to multiscale models of scale-space analysis in image processing.
Empirical study of CAPM and Fama-French model in Chinese A-share market.
Customer momentum is a positive relationship between a firm's returns and past returns of its customers.
Many problems in machine learning and related application areas are fundamentally variants of conditional modeling and sampling across multi-aspect data, either multi-view, multi-modal, or simply multi-group. For example, sampling from the distribution of English sentences conditioned on a given French sentence or samp…
Study finds managers' tenure and education influence their choice between in-court and out-of-court restructuring.
This is my Habilitation a Diriger des Recherches (French thing). In this paper I summarize the work I have done to realize the program of Witten called -non abelian localization-. This work deals first with problems of localization in equivariant cohomology. The second part of this paper concerns the Guillemin-Sternber…
MGLM models all possible language channel factorizations for improved multilingual generation.
Looking for associations among multiple variables is a topical issue in statistics due to the increasing amount of data encountered in biology, medicine and many other domains involving statistical applications. Graphical models have recently gained popularity for this purpose in the statistical literature. Following t…
This paper provides (in french) a framework for an alternative demonstration of result of Khimshiashvili and Panina on the characterization of critical points of the area on the manifold of polygons with fixed sidelengths as being the cocyclical polygons. Other problems of the same class, with less constraints, are als…
Examines how extending home loan durations affects French households financially.
A new model decomposes equity returns and volatilities into memory components.
Unified model combines shrinkage, views, and factor models for better portfolio selection.
This paper improves speech recognition by distilling knowledge from acoustic models.
Study examines diversification of mid-mountain ski tourism.
The MAXFLAT low-pass filter improves factor adjustment for better portfolio performance in China's stock market.
Recent works have demonstrated that machine learning models are vulnerable to model inversion attacks, which lead to the exposure of sensitive information contained in their training dataset. While some model inversion attacks have been developed in the past in the black-box attack setting, in which the adversary does …
The paper explores dual learning, a technique that improves machine translation and image transformation.
The economic equities maximization criterion (MFPE) leads to the choice of financial portfolio, which maximizes the ratio of the expected value of the insurance company on the capital. This criterion is presented in the framework of a non-life insurance company and is applied within the framework of the French legislat…
Study on time-zero efficiency of European power derivatives markets using statistical tests and trading rules.