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 study reviews techniques to estimate volatility and price Variance Swaps.
This paper reviews Douglas curvature in Finsler geometry.
AutoML aims to automate machine learning tasks, reviewed in this chapter.
Analyzes retail trends from sales, search, and reviews.
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.
In this paper a highly abstracted view on the historical development of Genetic Algorithms for the Traveling Salesman Problem is given. In a meta-data analysis three phases in the development can be distinguished. First exponential growth in interest till 1996 can be observed, growth stays linear till 2011 and after th…
This paper reviews and compares deep generative models for financial time series and VaR.
We briefly review selected contributions to immersion-theoretic topology, from S. Smale's immersion theory for spheres to M. Gromov's convex integration theory, during the early "golden" period from about 1959-1973. Historical remarks are included and technical concepts are presented informally.
This review explores Ricci soliton inequalities in Riemannian geometry.
This reviews the econophysics activities in Belgium from my admittedly biased point of view. Unknown historical notes or facts are presented for the first time explaining the aims, whence evolution of the research papers and friendly connections with colleagues. Comments on endeavors are also provided. The lack of offi…
Automatic summarization of natural language is a current topic in computer science research and industry, studied for decades because of its usefulness across multiple domains. For example, summarization is necessary to create reviews such as this one. Research and applications have achieved some success in extractive …
A method to produce personalized classification models to automatically review online dating profiles on Tinder is proposed, based on the user's historical preference. The method takes advantage of a FaceNet facial classification model to extract features which may be related to facial attractiveness. The embeddings fr…
The paper reviews historical and modern approaches to asset pricing probability measures.
Markov models lie at the interface between statistical independence in a probability distribution and graph separation properties. We review model selection and estimation in directed and undirected Markov models with Gaussian parametrization, emphasizing the main similarities and differences. These two model classes a…
Markowitz's celebrated mean--variance portfolio optimization theory assumes that the means and covariances of the underlying asset returns are known. In practice, they are unknown and have to be estimated from historical data. Plugging the estimates into the efficient frontier that assumes known parameters has led to p…
Aiming at quantifying and evaluating the regional commercial environment along with the level of economic development among cities in mainland China, the concept of China City Commercial Environment Credit Index(CEI) was first introduced and established in 2010. In this manuscript, a historical review and detailed intr…
LR-Robot automates SLRs with AI, expert oversight, and multidimensional analysis.
This review explores probabilistic forecasting methods in evolving energy markets.
This review deals with several microscopic (``agent-based'') models of financial markets which have been studied by economists and physicists over the last decade: Kim-Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of simulation a…
We introduce Courant algebroids, providing definitions, some historical notes, and some elementary properties. Next, we summarize basic properties of graded manifolds. Then, drawing on the work of Roytenberg and others, we introduce the graded or supergraded language demonstrating a cochain complex / cohomology for (ge…
Paper proposes a new GPR-HS framework for accurate VCV estimation in global equity indices.
This review explores entropy applications in data analysis and machine learning.
Deep RL shows promise in algo trading, but more research needed.
We give a brief review of a research made in the field of differential geometry in Estonia in the period from the beginning of the 19th century to the present time. The biographic data of mathematicians who made a valuable contribution to the development of differential geometry in Estonia in mentioned period are prese…
In machine learning we often try to optimise a decision rule that would have worked well over a historical dataset; this is the so called empirical risk minimisation principle. In the context of learning from recommender system logs, applying this principle becomes a problem because we do not have available the reward …
We consider the optimal dividend problem under a habit formation constraint that prevents the dividend rate to fall below a certain proportion of its historical maximum, the so-called drawdown constraint. This is an extension of the optimal Duesenberry's ratcheting consumption problem, studied by Dybvig (1995) [Review …
Paper tackles inventory management with deep learning, improving performance and adherence to constraints.
This paper explores historical and philosophical aspects of angles and solid angles, inspired by Euler's work.
Paper improves SVaR estimation for stress testing under macro scenarios using a hybrid GPR-HS framework.
Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of the agent-based models from empirical data instead of setting them artificially was suggested. We first revi…
Marketing analytics is a diverse field, with both academic researchers and practitioners coming from a range of backgrounds including marketing, expert systems, statistics, and operations research. This paper provides an integrative review at the boundary of these areas. The aim is to give researchers in the intelligen…
Unified HS and related methods with explicit modeling assumptions.
Unified framework deciphers global central bank communications.
Prior to the financial crisis mortgage securitization models increased in sophistication as did products built to insure against losses. Layers of complexity formed upon a foundation that could not support it and as the foundation crumbled the housing market followed. That foundation was the Gaussian copula which faile…
dYdX updates liquidity provider incentives to enhance trading efficiency.
A review of ML and DL for ecological data analysis.
The link between different psychophysiological measures during emotion episodes is not well understood. To analyse the functional relationship between electroencephalography (EEG) and facial electromyography (EMG), we apply historical function-on-function regression models to EEG and EMG data that were simultaneously r…
ArtificialReplay improves data efficiency in bandits using historical data.
ADR helps LLMs find and use historical analogies for foresight analysis.
Integrated Assessment Models (IAMs) are mainstay tools for assessing the long-term interactions between climate and the economy and for deriving optimal policy responses in the form of carbon prices. IAMs have been criticized for controversial discount rate assumptions, arbitrary climate damage functions, and the inade…
Proposes dynamic borrowing method for historical data in clinical trials.
Deep learning models generate music with arbitrary control strategies.
Data describing historical economic growth are analysed. Included in the analysis is the world and regional economic growth. The analysis demonstrates that historical economic growth had a natural tendency to follow hyperbolic distributions. Parameters describing hyperbolic distributions have been determined. A search …
In this article, we address the question of how non-knowledge about future events that influence economic agents' decisions in choice settings has been formally represented in economic theory up to date. To position our discussion within the ongoing debate on uncertainty, we provide a brief review of historical develop…
Study of line congruences for Appell's rank-4 hypergeometric functions.
Machine learning enhances ocean studies by analyzing sparse, multi-scale data.
Analysis of long-range dependence in financial time series was one of the initial steps of econophysics into the domain of mainstream finance and financial economics in the 1990s. Since then, many different financial series have been analyzed using the methods standardly used outside of finance to deliver some importan…
Digital twins improve single-arm trials by providing robust treatment effect estimates.