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arXiv research

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.

168,742 papers · 148 categories

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48 results for Karmakar and Mukherjee (2022)

New cohomology theory shows compact Lie group actions are Morita invariant.

problem Establishing Morita invariance for cohomology of compact Lie group actions.
method Using bibundles to transfer coefficient systems between Morita equivalent groupoids.
result Twisted Bredon-Illman cohomology is Morita invariant for compact Lie group actions.

Optimal transport adapted for contaminated probabilities, showing equivalence under specific conditions.

problem Adapting optimal transport for εε-contaminated sets.
method Generalized optimal transport problems with lower probabilities, showing equivalence under εε-contaminations.
result Monge's and Kantorovich's problems coincide under εε-contaminated sets, but not always.

This foreword discusses the contributions of Bolyai, Gauss, and Lobachevsky to non-Euclidean geometry.

problem The development of non-Euclidean geometries by Bolyai, Gauss, and Lobachevsky.
method Historical review of the contributions of these mathematicians.
result The foundational work on non-Euclidean geometries by Bolyai, Gauss, and Lobachevsky.

DCASE 2022 Task 2 tackles domain shifts in ASD for machine condition monitoring.

problem Domain shifts change acoustic characteristics, affecting ASD performance.
method Domain generalization techniques to detect anomalies across unknown domains.
result Two types of domain generalization techniques were identified and analyzed.

A theory linking invariants, Floer homologies, and Higgs bundles.

problem Understanding complex geometric structures and their invariants.
method Categorification and geometric Langlands correspondence.
result Established a new geometric Langlands correspondence.

Intangible investment becomes a strong predictor of stock returns over time.

problem Understanding the role of intangible investment in stock returns over different periods.
method Comparing intangible investment's predictive power over two distinct periods (1963-1992 and 1993-2022) using orthogonal factors.
result Intangible investment's predictive power for stock returns has significantly increased over time, becoming a main predictor for recent periods.

Improved multi-class AdaBoost algorithm with stronger weak learnability condition.

problem Multi-class classification problem with at least two labels.
method Recursive ensemble algorithm inspired by SAMME, strengthening weak learnability condition.
result Final hypothesis converges to correct label with probability 1 and generalization error bounds exponentially.

Study analyzes European energy markets' reactions to 2022 events using Bayesian methods.

problem Detecting structural breakpoints in energy and financial markets during turbulent times.
method Combines Hurst exponent for market efficiency, BEAST for abrupt changes, and seasonal/trend analysis.
result Markets exhibit varied reactions to critical events, affecting their trends and breakpoints.

This study evaluates different portfolio designs for Indian stocks.

problem Optimizing portfolio weights for risk and return in volatile stock markets.
method Three portfolio design approaches: risk minimization, risk optimization, and equal weighting. Historical data from 2017-2022 used.
result Equal-weight portfolios outperformed other designs in most sectors.

This paper extends 3D results to higher dimensions, proving compactness for PIC1 pinched manifolds.

problem Proving compactness for higher-dimensional manifolds with specific curvature conditions.
method Constructing Ricci flows for non-compact PIC1 pinched manifolds to prove compactness.
result Proves that PIC1 pinched manifolds of non-negative complex sectional curvature must be flat or compact.

GC 2022 challenges real-time trend detection in financial tick data.

problem Efficiently detect trading trends in high-volume financial tick data.
method Real-time complex event processing of tick data, focusing on trend indicators and patterns.
result Participants must build reusable and practical solutions for real-life trading decisions.

This work proposes using Conformal Prediction to improve OOD detection scores and vice versa.

problem Improper evaluation of OOD detection scores due to finite sample size.
method Defining new conformal AUROC and FRP@TPR95 metrics and using OOD scores as non-conformity scores.
result Improved evaluation metrics and better interpretation of OOD scores.

Study uses high-frequency data to predict ruble depreciation during crisis.

problem Predicting ruble depreciation during the Russian invasion of Ukraine.
method Uses intraday high-frequency data (google searches and implied volatility) to model exchange rate fluctuations.
result Implied volatility is more effective than attention in predicting ruble depreciation.

Paper develops Bayesian inference for discrete-choice mnp models with Gaussian priors.

problem Estimating parameters of discrete-choice multinomial probit models with Gaussian priors.
method Adapts Fasano and Durante's results to a specific mnp model with zero mean and independent Gaussian priors, simplifying posterior distribution parameters and providing a new variational algorithm.
result Simplified expressions for posterior distribution parameters and a novel variational algorithm.

The paper extends the market price of risk for electricity swap contracts, incorporating jump risk.

problem Pricing electricity swap contracts with consideration of jump risk.
method Introducing a Merton type model with jumps and transferring to the physical measure, comparing arithmetic and geometric averaging.
result A decomposition of swap's market price of risk into classical and market price of risk components.

This paper tackles inventory control with general arrival dynamics and post-processing, improving profitability.

problem Inventory control with arbitrary arrival dynamics and post-processing constraints.
method Formulated as an exogenous decision process, incorporating deep generative models for arrivals, and applying supervised learning techniques.
result Improves profitability over production baselines and real-world A/B test data.

Study analyzes Airbnb booking lead times during global crises using a new metric.

problem Disruptions in booking behaviors during global crises affect forecasting accuracy.
method Normalized L1 (Manhattan) distance to assess lead time divergences.
result Identified two-phase disruption: abrupt change at pandemic onset followed by partial recovery.

Fisher et al. extend multi-VAR for better modeling of heterogeneous time series.

problem Modeling structurally heterogeneous processes in social, health, and behavioral sciences.
method Adaptive weighting schemes for penalized estimation of multiple-subject multivariate time series.
result Improved estimation performance compared to alternative estimators.

The paper solves open questions in computable PAC learning, providing a complete landscape.

problem Understanding the boundaries and capabilities of computable PAC learning.
method Analyzing and constructing decidable hypothesis classes with different sample complexities and Littlestone dimensions.
result A complete understanding of CPAC learnability, answering open questions and confirming conjectures.

The rectified flow method is analyzed for its statistical properties.

problem Theoretical support for rectified flow methods is lacking.
method Empirical analysis of rectified flow's statistical properties using regression and density estimation.
result Convergence rates for rectified flow estimators are faster than for nonparametric regression and density estimation.

The paper tackles backtest overfitting in cryptocurrency trading using deep reinforcement learning.

problem Backtest overfitting in deep reinforcement learning for cryptocurrency trading.
method Formulated hypothesis test for overfitting detection, trained agents, estimated overfitting probability, and rejected overfitted agents.
result Less overfitted deep reinforcement learning agents outperformed more overfitted agents and market benchmarks.

This study compares three portfolio design approaches for stock selection.

problem Designing a profitable portfolio with precise stock returns and risks.
method Three portfolio design approaches: mean-variance portfolio, hierarchical risk parity, and autoencoder-based portfolio.
result Autoencoder portfolios outperform MVP on annual returns, but MVP is best on risk-adjusted returns.

New algorithm tackles stochastic optimization with inequality constraints.

problem Stochastic optimization with inequality constraints in various applications.
method Active-set stochastic sequential quadratic programming (StoSQP) with a differentiable exact augmented Lagrangian.
result Global convergence for any initialization, KKT residuals converge to zero almost surely.