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.
We investigated the temporally evolving network structures of the Japanese and Korean stock markets through the minimum spanning trees composed of listed stocks. We tested the validity of conventional grouping by industrial categories, and found a common trend of decrease for Japan and Korea. This phenomenon supports t…
Tackling air pollution is an imperative problem in South Korea, especially in urban areas, over the last few years. More specially, South Korea has joined the ranks of the world's most polluted countries alongside with other Asian capitals, such as Beijing or Delhi. Much research is being conducted in environmental sci…
Study resolves the Korean LVRP puzzle by showing HVRP exists but is masked by investor heterogeneity and improper intensity normalization.
The study categorizes Korean Exchange member firms into three types and analyzes their trading behavior.
Study shows Bitcoin mining with surplus electricity can boost KEPCO's financial stability.
In this paper we summarize our recent work in the construction of Lagrangian torus fibrations for Calabi-Yau hypersurfaces in toric varieties and the symplectic Strominger-Yau-Zaslow conjecture, together with some new development. It is submittded to the Proceedings of the Conference in Symplectic Geometry and Mirror S…
Study introduces KorFinMTEB for Korean financial texts, revealing model limitations.
These notes were prepared to supplement the talk that I gave on Feb 19, 2004, at the First East Asian School of Knots and Related Topics, Seoul, South Korea. In this article I review aspects of the interconnections between braids, knots and contact structures on Euclidean 3-space. I discuss my recent work with William …
Deep learning model predicts stock price movements based on historical data.
Lecture notes on crystallography and discrete surfaces.
We introduce various quantitative and mathematical definitions for price momentum of financial instruments. The price momentum is quantified with velocity and mass concepts originated from the momentum in physics. By using the physical momentum of price as a selection criterion, the weekly contrarian strategies are imp…
Music highlights are valuable contents for music services. Most methods focused on low-level signal features. We propose a method for extracting highlights using high-level features from convolutional recurrent attention networks (CRAN). CRAN utilizes convolution and recurrent layers for sequential learning with an att…
Sector specific multifactor CES elasticity of substitution and the corresponding productivity growths are jointly measured by regressing the growths of factor-wise cost shares against the growths of factor prices. We use linked input-output tables for Japan and the Republic of Korea as the data source for factor price …
We analyze the multifractal spectra of daily foreign exchange rates for Japan, Hong-Kong, Korea, and Thailand with respect to the United States Dollar from 1991 to 2005. We find that the return time series show multifractal spectrum features for all four cases. To observe the effect of the Asian currency crisis, we als…
Avian Influenza breakouts cause millions of dollars in damage each year globally, especially in Asian countries such as China and South Korea. The impact magnitude of a breakout directly correlates to time required to fully understand the influenza virus, particularly the interspecies pathogenicity. The procedure requi…
We investigated the topological properties of stock networks through a comparison of the original stock network with the estimated stock network from the correlation matrix created by the random matrix theory (RMT). We used individual stocks traded on the market indices of Korea, Japan, Canada, the USA, Italy, and the …
Study uses Kalman-Filter to assess market efficiency in major stock markets.
Lectures on symplectic aspects of surface degenerations at KIAS.
Polluting fine dusts in South Korea which are mainly consisted of biomass burning and fugitive dust blown from dust belt is significant problem these days. Predicting concentrations of fine dust particles in Seoul is challenging because they are product of complicate chemical reactions among gaseous pollutants and also…
For homeland and transportation security applications, 2D X-ray explosive detection system (EDS) have been widely used, but they have limitations in recognizing 3D shape of the hidden objects. Among various types of 3D computed tomography (CT) systems to address this issue, this paper is interested in a stationary CT u…
This paper studies the interrelation between spot and futures prices in the two major rice markets in prewar Japan from the perspective of market efficiency. Applying a non-Bayesian time-varying model approach to the fundamental equation for spot returns and the futures premium, we detect when efficiency reductions in …
Since 2002 when China first introduced QFII (Qualified Foreign Institutional Investors) system, QFII has been developing in China for 14 years, during when RQFII, Shanghai-Hongkong Stock Connect Program, Shanghai-London Stock Connect Program furthur broadened the avenue for foreign capital to invest in Chinese Security…
Study improves PM concentration forecasting using MCCR loss.
New method estimates traffic congestion delays using statistical causality.
This study analyzes how colonial rice trade in prewar Japan affected its rice market, considering several government interventions in the two rice futures exchanges in Tokyo and Osaka. We explore the interventions in the futures markets using two procedures. First, we measure the joint degree of efficiency in the marke…
In today's increasingly international economy, return and volatility spillover effects across international equity markets are major macroeconomic drivers of stock dynamics. Thus, information regarding foreign markets is one of the most important factors in forecasting domestic stock prices. However, the cross-correlat…
We introduce an algorithm able to reconstruct the relevant network structure on which the time evolution of country-product bipartite networks takes place. The significant links are obtained by selecting the largest values of the projected matrix. We first perform a number of tests of this filtering procedure on synthe…
This paper surveys the evolution of industrial concentration of the Brazilian automotive market as well as its positioning in the worldmarket. Data available by OICA (International Organization of Motor Vehicle Manufacturers) were used to better understand the characteristics of the Brazilian market on the world stage.…
This study uses hierarchical structure methods (minimal spanning tree, (MST) and hierarchical tree, (HT)) to examine the hierarchical structures of the United State (US) foreign trade by using the real prices of their commodity export and import move together over time. We obtain the topological properties among the co…
Paper proposes MA-BERT for efficient data-driven ATM models.
In this study, we have investigated factors of determination which can affect the connected structure of a stock network. The representative index for topological properties of a stock network is the number of links with other stocks. We used the multi-factor model, extensively acknowledged in financial literature. In …
Constructs bivariate quantiles using vine copulas for multivariate analysis.
We consider the effects of the global financial crisis through a local Korean financial market around the 2008 crisis. We analyze 185 individual stock prices belonging to the KOSPI (Korea Composite Stock Price Index), cosidering three time periods: the time before, during, and after the crisis. The complex networks gen…
Paper optimizes demand aggregation for low-level electricity markets.
Paper uses referenced thermodynamic integration for Bayesian model selection in a complex COVID-19 transmission model.
Deep learning predicts market sensitivities for cost-effective index tracking.
We apply RMT, Network and MF-DFA methods to investigate correlation, network and multifractal properties of 20 global financial indices. We compare results before and during the financial crisis of 2008 respectively. We find that the network method gives more useful information about the formation of clusters as compar…
Corporate insolvency can have a devastating effect on the economy. With an increasing number of companies making expansion overseas to capitalize on foreign resources, a multinational corporate bankruptcy can disrupt the world's financial ecosystem. Corporations do not fail instantaneously; objective measures and rigor…
Recently, air pollution is one of the most concerns for big cities. Predicting air quality for any regions and at any time is a critical requirement of urban citizens. However, air pollution prediction for the whole city is a challenging problem. The reason is, there are many spatiotemporal factors affecting air pollut…
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