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.
The study categorizes Korean Exchange member firms into three types and analyzes their trading behavior.
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…
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…
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…
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.
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…
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 …
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…
The exchange algorithm is studied for its convergence and asymptotic variance.
Study on pricing American Exchange options using Lévy processes.
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…
Optimal crypto order execution using cross-exchange signals.
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 …
New models reduce regional inequality by adjusting exchange range and asset distribution bias.
A known failing of many popular random graph models is that the Aldous-Hoover Theorem guarantees these graphs are dense with probability one; that is, the number of edges grows quadratically with the number of nodes. This behavior is considered unrealistic in observed graphs. We define a notion of edge exchangeability …
How do individuals accumulate wealth as they interact economically? We outline the consequences of a simple microscopic model in which repeated pairwise exchanges of assets between individuals build the wealth distribution of a population. This distribution is determined for generic exchange rules --- transactions that…
The team predicts foreign exchange rates using clustering and attention models.
A dynamical model of capital exchange is introduced in which a specified amount of capital is exchanged between two individuals when they meet. The resulting time dependent wealth distributions are determined for a variety of exchange rules. For ``greedy'' exchange, an interaction between a rich and a poor individual r…
Study finds recurring patterns in cryptocurrency volatility and liquidity.
The article provides representations of exchange option prices under SVJD dynamics.
This paper introduces cluster exchange groupoids for Coxeter-Dynkin diagrams and finds their fundamental groups are braid groups.
Study finds relevance of exchange and inflation rates to economic factors.
The article improves the display of acceptable exchange ratios for merging companies.
Framework for systemic risk modeling using jointly exchangeable arrays.
Framework handles both exchangeable and non-exchangeable event sequences without tuning.
Unified framework for representation and causal structure learning using exchangeable data.
IUS framework predicts EUR/USD exchange rate with improved accuracy.
Nonparametric Bayesian models are often based on the assumption that the objects being modeled are exchangeable. While appropriate in some applications (e.g., bag-of-words models for documents), exchangeability is sometimes assumed simply for computational reasons; non-exchangeable models might be a better choice for a…
We use techniques from network science to study correlations in the foreign exchange (FX) market over the period 1991--2008. We consider an FX market network in which each node represents an exchange rate and each weighted edge represents a time-dependent correlation between the rates. To provide insights into the clus…
The paper reviews exchangeability and its implications for conformal prediction and rank tests.
It is assumed that under suitable economic and information-theoretic conditions, market exchange rates are free from arbitrage. Commodity markets in which trades occur over a complete graph are shown to be trivial. We therefore examine the vector space of no-arbitrage exchange rate ensembles over an arbitrary connected…
Study finds significant price declines and capital reallocation from centralized to decentralized exchanges after FTX collapse.
Study improves PM concentration forecasting using MCCR loss.
Unbiased wealth exchanges always lead to inequality.
This paper compares AMMs and LOBs in exchange mechanisms, formalizing complexity vs. expressiveness trade-offs.