arXiv research

ARIMA and LSTM models predict stock prices with varying accuracy.

Gold prices show seasonal behavior, with January and July having opposite returns.

The aim of this paper is to compare statistical properties of a bubble period with those of the anti-bubble period in stock markets. We investigate the statistical properties of daily data for the Nikkei 225 index in the 28-year period from January 1975 to April 2003, corresponded to the periods of bubbles and anti-bub…

There are several researches that deal with the behavior of SEs and their relationships with different economical factors. These range from papers dealing with this subject through econometrical procedures to statistical methods known as copula. This article considers the impact of oil and gold price on Tehran Stock Ex…

This is a survey of recent contributions to the area of special Kaehler geometry. It is based on lectures given at the 21st Winter School on Geometry and Physics held in Srni in January 2001.

We show power-scaling behaviors for fluctuations in share volume, which no other studies have so far done. After analyzing a database of the daily transactions for all securities listed on the Tokyo Stock Exchange, we selected 1050 large companies that each had an unbroken series of daily trading activity from January …

This study conducts a comprehensive analysis of time series segmentation on the Japanese stock prices listed on the first section of the Tokyo Stock Exchange during the period from 4 January 2000 to 30 January 2012. A recursive segmentation procedure is used under the assumption of a Gaussian mixture. The daily number …

These are the lecture notes from my course in the January 2011 School on Moduli Spaces at the Newton Institute. I give an introduction to Higgs bundles and their application to the study of character varieties for surface group representations.

In this paper we describe three stochastic models based on a semi-Markov chains approach and its generalizations to study the high frequency price dynamics of traded stocks. The three models are: a simple semi-Markov chain model, an indexed semi-Markov chain model and a weighted indexed semi-Markov chain model. We show…

Study uses social media to analyze COVID-19 impact.

Short survey based on talk given at the Institut Henri Poincare January 17th 2012, during program on surface groups. The aim was to describe some background results before describing in detail (in subsequent talks) the results of [Boa11c] related to wild character varieties and irregular mapping class groups.

Study finds mixed evidence of monthly stock market anomalies in Turkey and US.

We analyze an exhaustive data-set of new-cars monthly sales. The set refers to 10 years of Spanish sales of more than 6500 different car model configurations and a total of 10M sold cars, from January 2007 to January 2017. We find that for those model configurations with a monthly market-share higher than 0.1% the sale…

These notes are based on a lecture course given by the first author in the Sedano Winter School on K-theory held in Sedano, Spain, on January 22-27th of 2007. They aim at introducing K-theory of C^*-algebras, equivariant K-homology and KK-theory in the context of the Baum-Connes conjecture.

Increases in global food prices have led to widespread hunger and social unrest---and an imperative to understand their causes. In a previous paper published in September 2011, we constructed for the first time a dynamic model that quantitatively agreed with food prices. Specifically, the model fit the FAO Food Price I…

Ethereum upgrades increased TPS and lowered fees, with L2s surpassing Solana in 2029.

Mutual information minimum spanning trees are used to explore nonlinear dependencies on Brazilian equity network in the periods from June/01/2015 to January/26/2016, in which Brazil was under the government of President Dilma Rousseff, and from January/27/2016 to September/08/2016 which includes the government transiti…

We study the statistical properties of the recurrence intervals $τ$ between successive trading volumes exceeding a certain threshold $q$. The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period from January 2000 to May 2009, and two Chinese indices from January 2003 to April 2…

This study compares three portfolio design approaches for stock selection.

The private car license plates issued in Shanghai are bestowed the title of "the most expensive sheet iron all over the world", more expensive than gold. A citizen has to bid in an monthly auction to obtain a license plate for his new private car. We perform statistical analysis to investigate the influence of the mini…

This expository paper, based on a Current Events Bulletin talk at the January, 2016 Joint Meetings, introduces the concept of Lyapunov exponents and discusses the role they play in three areas: smooth ergodic theory, Teichmüller theory, and the spectral theory of one-frequency Schrödinger operators. The inspiration for…

Discussing curvature flows and their applications.

The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the Nikkei 225 index (Nikkei 225) from January 4, 1975 to August 18, 2004, of (ii…

This paper analyses the Chinese Sovereign bond yield to find out the principal factors affecting the term structure of interest rate changes. We apply Principal Component Analysis (PCA) on our data consisting of the Chinese Sovereign bond from January 2002 till May 2018 with the different yield to maturity. Then we wil…

This paper forecasts cryptocurrency log-returns using LASSO-VAR and sentiment analysis.

Deep learning outperforms Black-Scholes in Brazilian Petrobras option pricing.

In this study, we applied a stochastic spread pairs trading strategy on the Indian commodity market. The complete set of commodities were taken whose spot price was available for the period of January 1st 2010 to December 31st 2018 including energy, metals and the agricultural commodity sector. Spot data was taken from…

This is a write-up of the author's talk in the conference "Algebraic Geometry in East Asia 2016" held at the University of Tokyo in January 2016. We give a survey on a series of papers of the author and his collaborators Daniel Pomerleano and Kazushi Ueda where we show how Strominger-Yau-Zaslow (SYZ) transforms can be …

A flexible calendar rebalancing approach for Indian stock portfolios.

These are the lecture notes from the 26th Winter School "Geometry and Physics", Czech Republic, Srni, January 14 - 21, 2006. These lectures are an introduction into the realm of generalized geometry based on the tangent plus the cotangent bundle. In particular we discuss the relation of this geometry to physics, namely…

Explains how knots relate to 4D shapes.

This study considers the multivariate segmentation procedure under the assumption of the multivariate Gaussian mixture. Jensen-Shannon divergence between two multivariate Gaussian distributions is employed as a discriminator and a recursive segmentation procedure is proposed. The daily log-return time series for 30 cur…

In this paper we quantitatively investigate the statistical properties of an ensemble of {\it stock prices}. We selected 1200 stocks traded in the Tokyo Stock Exchange and formed a statistical ensemble of daily stock prices for each trading day in the 5 year period from January 4, 1988 to December 30, 1992. We found th…

Covid lockdown increased interest in Italian stock market, leading to new investors.

In this study, we analyze the aerospace stocks prices in order to characterize the sector behavior. The data analyzed cover the period from January 1987 to April 1999. We present a new index for the aerospace sector and we investigate the statistical characteristics of this index. Our results show that this index is we…

These are the extended notes of a talk I gave at the Geometric Topology Seminar of the Max Planck Institute for Mathematics in Bonn on January 30th, 2012. My goal was to familiarize the topologists with the basics of arithmetic hyperbolic 3-manifolds and sketch some interesting results in the theory of 3-manifolds (suc…

Lecture notes on crystallography and discrete surfaces.

Cubature on Wiener space [Lyons, T.; Victoir, N.; Proc. R. Soc. Lond. A 8 January 2004 vol. 460 no. 2041 169-198] provides a powerful alternative to Monte Carlo simulation for the integration of certain functionals on Wiener space. More specifically, and in the language of mathematical finance, cubature allows for fast…

Power spectrum densities for the number of tick quotes per minute (market activity) on three currency markets (USD/JPY, EUR/USD, and JPY/EUR) for periods from January 1999 to December 2000 are analyzed. We find some peaks on the power spectrum densities at a few minutes. We develop the double-threshold agent model and …

These are the notes of the three lectures I delivered at the mini-workshop "Knot Theory and Number Theory around the A-Polynomial" at the Instituto Superior Tecnico (IST) in Lisbon in January 2014. The goal of the lectures was to familiarize, both the author and, the audience with the A-polynomials and the connection b…

In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted indexed semi-Markov chain model. We show, through Monte Carlo simulations, that the model is able …

In this paper we propose a bivariate generalization of a weighted indexed semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that financial returns are described by a weighted indexed semi-Markov chain model. We show, through Monte Carlo simulations, that the model is able to repr…

ETFs with 2x and 3x leverage underperformed the S&P 500 index due to compounding and volatility.

In this paper, we use the house price data ranging from January 2004 to October 2016 to predict the average house price of November and December in 2016 for each district in Beijing, Shanghai, Guangzhou and Shenzhen. We apply Autoregressive Integrated Moving Average model to generate the baseline while LSTM networks to…

In this paper we study the high frequency dynamic of financial volumes of traded stocks by using a semi-Markov approach. More precisely we assume that the intraday logarithmic change of volume is described by a weighted-indexed semi-Markov chain model. Based on this assumptions we show that this model is able to reprod…

We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that classifies price time series into periods of uninterrupted market growth (drawups) and regimes of uninterrupted market decrease (drawdowns). In …

Lecture notes on Heegaard Floer homology for beginners.

We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by a discrete time homogeneous semi-Markov which depends also on a memory index. The index is introduced to take into account periods of high a…