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.
In this work, a statistical analysis of the distribution of daily fluctuations of the IPC, the Mexican Stock Market Index is presented. A sample of the IPC covering the 13-year period 04/19/1990 - 08/21/2003 was analyzed and the cumulative probability distribution of its daily logarithmic variations studied. Results sh…
Study analyzes fluctuations in Mexican financial market index.
It is well known that there exist statistical and structural differences between the stock markets of developed and emerging countries. In this work, we present an analysis of the variations and autocorrelations of the Mexican Stock Market index (IPC) for different periods of its historical daily data, showing evidence…
In the spirit of the emergent field of econophysics, a goodness-of-fit test for the Power-Law distribution, based on the Empirical Distribution Function (EDF) is presented, and related problems are discussed. An analysis of the tail behaviour of the daily logarithmic variation of the Mexican Stock Market Index (IPC), s…
A new approach to the understanding of complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in Kolmogorov-Chaitin theory is applied to binary sequences built up from real time series of financial markets indexes. The st…
In financial time series there are periods in which the value increases or decreases monotonically. We call those periods elemental trends and study the probability distribution of their duration for the indices DJIA, NASDAQ and IPC. It is found that the trend duration distribution often differs from the one expected u…
The paper extends IPC framework to stationary physical systems and validates it with a photonic system.
We present some stylized facts exhibited by the time series of returns of the Mexican Stock Exchange Index (IPC) and compare them to a sample of both developed (USA, UK and Japan) and emerging markets (Brazil and India). The period of study is 1997-2011. The stylized facts are related mostly to the probability distribu…
A dynamical system can be regarded as an information processing apparatus that encodes input streams from the external environment to its state and processes them through state transitions. The information processing capacity (IPC) is an excellent tool that comprehensively evaluates these processed inputs, providing de…
Benchmark data sets are an indispensable ingredient of the evaluation of graph-based machine learning methods. We release a new data set, compiled from International Planning Competitions (IPC), for benchmarking graph classification, regression, and related tasks. Apart from the graph construction (based on AI planning…
In this paper, a statistical analysis of log-return fluctuations of the IPC, the Mexican Stock Market Index is presented. A sample of daily data covering the period from was analyzed, and fitted to different distributions. Tests of the goodness of fit were performed in order to quantitatively as…
A new approach to the understanding of the complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in the Kolmogorov-Chaitin theory is applied to binary sequences built up from real time series of financial markets indices…
The so-called Pareto-Levy or power-law distribution has been successfully used as a model to describe probabilities associated to extreme variations of worldwide stock markets indexes data and it has the form from empirical d…
New turbulence index using TDA detects financial market transitions.
The Empirical Mode Decomposition (EMD) provides a tool to characterize time series in terms of its implicit components oscillating at different time-scales. We apply this decomposition to intraday time series of the following three financial indices: the S\&P 500 (USA), the IPC (Mexico) and the VIX (volatility index US…
We present a symmetry analysis of the distribution of variations of different financial indices, by means of a statistical procedure developed by the authors based on a symmetry statistic by Einmahl and Mckeague. We applied this statistical methodology to financial uninterrupted daily trends returns and to other derive…
New examples show causality conditions don't always pass to coverings.
A new clustering evaluation index based on density estimation.
Study on symmetric operators on non-compact manifolds, focusing on their index modulo 2.
New index formula connects numerical and -theoretic indices.
The paper explores global index formulas for one-dimensional holomorphic foliations.
Explain Arnold's proof of the Morse index theorem using Maslov index.
Paper introduces danceability index as a new bridge index definition.
The p-index improves investment performance for NYSE stocks but not for SSE stocks.
Study Whittle index learning algorithms for restless bandits with constant stepsizes.
A new index rebalancing strategy reduces large constituent weights without undesirable effects.
We study bounded pseudoconvex domains in complex Euclidean space. We define an index associated to the boundary and show this new index is equivalent to the Diederich-Fornæss index defined in 1977. This connects the Diederich-Fornæss index to boundary conditions and refines the Levi pseudoconvexity. We also prove the $…
Study on symmetric braid index of ribbon knots, deriving bounds and characterizations.
Study proves bridge and braid indices match for twist positive knots.
Minimal grid diagrams for 15,735 knots with 14 crossings and arc index 14.
Given a proper, cocompact action of a Lie groupoid, we define a higher index pairing between invariant elliptic differential operators and smooth groupoid cohomology classes. We prove a cohomological index formula for this pairing by applying the van Est map and algebraic index theory. Finally we discuss in examples th…
Proves the index of a Möbius band in 4D ball equals 5.
Finite index subgroups of relatively hyperbolic groups have equal index.
Enhanced indexation uses equity and index options for better performance.
The abstract discusses connecting quantum mechanics and algebraic index theories.
Researchers construct an index map for contact manifolds using K-theory.
New index formula for hypoelliptic operators on manifolds.
Deep learning predicts market sensitivities for cost-effective index tracking.
Study on minimal surfaces with free boundary in a half-space, improving index estimates.
Listed 19,513 prime knots with arc index 12-16.
An upper bound of the superbridge index of the connected sum of two knots is given in terms of the braid index of the summands. Using this upper bound and minimal polygonal presentations, we give an upper bound in terms of the superbridge index and the bridge index of the summands when they are torus knots. In contrast…
A new stock index model simplifies high-dimensional stock data.
New method accurately reconstructs Russell 3000 index, revealing crowded portfolios.
In this paper we study the chord index of virtual knots, which can be thought of as an extension of the chord parity. We show how to use the chord index to define finite type invariants of virtual knots. The notions of indexed Jones polynomial and indexed quandle are introduced, which generalize the classical Jones pol…
Formula for Z_2-valued index of symmetric operators on manifolds.
We introduce a notion of cobordism of Callias-type operators over complete Riemannian manifolds and prove that the index is preserved by such a cobordism. As an application we prove a gluing formula for Callias-type index. In particular, a usual index of an elliptic operator on a compact manifold can be computed as a s…
We study differential operators on complete Riemannian manifolds which act on sections of a bundle of finite type modules over a von Neumann algebra with a trace. We prove a relative index and a Callias-type index theorems for von Neumann indexes of such operators. We apply these results to obtain a version of Atiyah's…
Proves a lattice version of the Atiyah-Singer index theorem.