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.
Study local sensitivity of HDD and CDD temperature derivatives prices.
In a 1991 paper by Buttig and Eichhorn, the existence and uniqueness of a differential forms heat kernel on open manifolds of bounded geometry was proven. In that paper, it was shown that the heat kernel obeyed certain properties, one of which was a relationship between the derivative of heat kernel of different degree…
In this talk, we review the heat kernel approach to the Atiyah-Singer index theorem for Dirac operators on closed manifolds, as well as the Atiyah-Patodi-Singer index theorem for Dirac operators on manifolds with boundary. We also discuss the odd dimensional counterparts of the above results. In particular, we describe…
Stochastic model prices weather derivatives for Indian states, highlighting temperature volatility impacts.
We provide an empirical investigation aimed at uncovering the statistical properties of intricate stock trading networks based on the order flow data of a highly liquid stock (Shenzhen Development Bank) listed on Shenzhen Stock Exchange during the whole year of 2003. By reconstructing the limit order book, we can extra…
Study reveals how illiquidity network signals Chinese stock market crashes.
In coming years residential consumers will face real-time electricity tariffs with energy prices varying day to day, and effective energy saving will require automation - a recommender system, which learns consumer's preferences from her actions. A consumer chooses a scenario of home appliance use to balance her comfor…
Graphs with nonnegative Bakry-Émery curvature have volume doubling and Poincaré inequalities.
Study spectral properties of sub-Riemannian Laplacians, proving quantum ergodicity and heat kernel asymptotics.
Study predicts price predictability in ultra-high frequency financial data using entropy tests.
Proves rigidity of maps between manifolds with scalar curvature constraints.
Defines spectral sequences for fiberwise Dirac operators and proves adiabatic limit formula.
We study ancient solutions of polynomial growth to heat equations on graphs, and extend Colding and Minicozzi's theorem [CM19] on manifolds to graphs: For a graph of polynomial volume growth, the dimension of the space of ancient solutions of polynomial growth is bounded by the product of the growth degree and the dime…
We examine the local super trace asymptotics for the de Rham complex defined by an arbitrary super connection on the exterior algebra. We show, in contrast to the situation in which the connection in question is the Levi-Civita connection, that these invariants are generically non-zero in positive degree and that the c…
Study analyzes stock order transitions during US-China trade war using Markov chains.
The four-dimensional sphere is uniquely rigid in terms of scalar curvature.
We investigate the recently introduced variety of a set of stock returns traded in a financial market. This investigation is done by considering daily and intraday time horizons in a 15-day time period centered at the August 31st, 1998 crash of the S&P500 index. All the stocks traded at the NYSE during that period are …
Researchers found a new type of singularity in surface evolution equations.
New model fills in missing traffic data efficiently.
The problem of portfolio optimization is one of the most important issues in asset management. This paper proposes a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market condition is further considered when using the optimal portfolios for invest…
Neuroscientists have enjoyed much success in understanding brain functions by constructing brain connectivity networks using data collected under highly controlled experimental settings. However, these experimental settings bear little resemblance to our real-life experience in day-to-day interactions with the surround…
We prove a representation stability result for the second homology groups of Torelli subgroups of mapping class groups and automorphism groups of free groups. This strengthens the results of Boldsen-Hauge Dollerup and Day-Putman. We also prove a new representation stability result for the homology of certain congruence…
Study of harmonic functions on infinite penny graphs.
We conduct a market experiment with human agents in order to explore the structure of transaction networks and to study the dynamics of wealth accumulation. The experiment is carried out on our platform for 97 days with 2,095 effective participants and 16,936 times of transactions. From these data, the hybrid distribut…
A heat kernel approach is proposed for the development of a general, flexible, and mathematically tractable asset pricing framework in finite time. The pricing kernel, giving rise to the price system in an incomplete market, is modelled by weighted heat kernels which are driven by multivariate Markov processes and whic…
Using heat kernel methods developed by Vaillant, a local index formula is obtained for families of d-bar operators on the Teichmuller universal curve of Riemann surfaces of genus g with n punctures. The formula also holds on the moduli space M{g,n} in the sense of orbifolds where it can be written in terms of Mumford-M…
Estimates for covariant derivatives and Riesz transforms on differential forms.
The paper proves spectral convergence rates for graph Laplacian to manifold Laplace-Beltrami operator.
High-value transactions between Australian banks are settled in the Reserve Bank Information and Transfer System (RITS) administered by the Reserve Bank of Australia. RITS operates on a real-time gross settlement (RTGS) basis and settles payments sourced from the SWIFT, the Austraclear, and the interbank transactions e…
The paper compares heat kernels on manifolds with Robin boundary conditions.
We give a short proof of a strong version of the short time asymptotic expansion of heat kernels associated to Laplace type operators acting on sections of vector bundles over compact Riemannian manifolds, including exponential decay of the difference of the approximate heat kernel and the true heat kernel. We use this…
Study on biharmonic map heat flow with monotonicity formula.
Cryptocurrency is a well-developed blockchain technology application that is currently a heated topic throughout the world. The public availability of transaction histories offers an opportunity to analyze and compare different cryptocurrencies. In this paper, we present a dynamic network analysis of three representati…
Study on uniquely determining thermal properties from boundary temperature and heat flux measurements.
Understanding the heat usage of customers is crucial for effective district heating operations and management. Unfortunately, existing knowledge about customers and their heat load behaviors is quite scarce. Most previous studies are limited to small-scale analyses that are not representative enough to understand the b…
We consider Laplacians acting on sections of homogeneous vector bundles over symmetric spaces. By using an integral representation of the heat semi-group we find a formal solution for the heat kernel diagonal that gives a generating function for the whole sequence of heat invariants. We show explicitly that the obtaine…
The heat kernel for the Cauchy-Riemann subLaplacian on S(2n+1) is derived in a manner which is completely analogous to the classical derivation of elliptic heat kernels. This suggests that the classical hamiltonian construction of elliptic heat kernels, with appropriate modifications, does yield heat kernels for subell…
We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest paths, the betweenness and the degree are computed on different planar maximally f…
The paper studies heat kernel asymptotics and proves Morse inequalities.
Derives gradient estimates for CR heat equation on pseudo-Hermitian manifolds.
New heat equation method solves intertwining problems in CR geometry.
The Liouville theorem is proven for V T-harmonic map heat flow.
We consider Laplacians acting on sections of homogeneous vector bundles over symmetric spaces. By using an integral representation of the heat semi-group we find a formal solution for the heat kernel diagonal that gives a generating function for the whole sequence of heat invariants. We argue that the obtained formal s…
New method predicts heat load in thermal grids using latent variables.
Paper studies heat flow for maps on manifolds, avoiding singularities.
In this paper, we first give a direct proof for two recurrence relations of the heat kernels for hyperbolic spaces in \cite{DM}. Then, by similar computation, we give two similar recurrence relations of the heat kernels for spheres. Finally, as an application, we compute the diagonal of heat kernels for odd dimensional…
Formulae connect heat kernels on glued manifolds.
Proves upper bounds for heat kernels evolving on manifolds.