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 paper introduces Lambda VaR, a new risk measure, and develops three backtesting methods.
Introduces Lambda Expected Shortfall as a risk measure generalizing ES.
Paper investigates Lambda Value-at-Risk under ambiguity and risk sharing.
Lambda VaR risk measure shows robustness, elicitability, and consistency.
The paper examines optimal insurance design using Lambda-Value-at-Risk.
Study risk sharing with Lambda VaR under diverse beliefs.
The graded algebra Lambda defined by Pierre Vogel is of general interest in the theory of finite-type invariants of knots and of 3-manifolds because it acts on the corresponding spaces of connected graphs subject to relations called IHX and AS. We examine a subalgebra Lambda_0 that is generated by certain elements call…
In arXiv:1207.0332 [cs.LO] was proposed a graphic lambda calculus formalism, which has sectors corresponding to untyped lambda calculus and emergent algebras. Here we explore the sector covering knot diagrams, which are constructed as macros over the graphic lambda calculus.
This is a short description of graphic lambda calculus, with special emphasis on a duality suggested by the two different appearances of knot diagrams, in lambda calculus and emergent algebra sectors of the graphic lambda calculus respectively. This duality leads to the introduction of the dual of the graphic beta move…
New method corrects least-squares temporal difference for better lambda-return estimation.
Study of lambda lengths in figure eight knot complement using Eisenstein integers.
Efficient algorithms compute lambda quantiles for robust portfolio optimization.
We introduce and study graphic lambda calculus, a visual language which can be used for representing untyped lambda calculus, but it can also be used for computations in emergent algebras or for representing Reidemeister moves of locally planar tangle diagrams.
The theory of Vassiliev invariants deals with many modules of diagrams on which the algebra Lambda defined by Pierre Vogel acts. By specifying a quadratic simple Lie superalgebra, one obtains a character on Lambda. We show the coherence of these characters by building a map of graded algebras beetwen Lambda and a quoti…
We study coassociative 4-folds N in R^7 which are asymptotically conical to a cone C with rate lambda<1. If lambda is in the interval [-2,1) and generic, we show that the moduli space of coassociative deformations of N which are also asymptotically conical to C with rate lambda is a smooth manifold, and we calculate it…
Study on risk contributions of portfolios using lambda quantile risk measures.
In this article, we introduce a new method (based on Perelman's lambda-functional) to study the stability of compact Ricci-flat metrics. Under the assumption that all infinitesimal Ricci-flat deformations are integrable we prove: (A) a Ricci-flat metric is a local maximizer of lambda in a C^2,alpha-sense iff its Lichne…
Geometric characterization of sub-Riemannian geodesics on frame bundles.
Study quasisymmetric maps on hyperbolic plane boundaries.
Based on graphic lambda calculus, we propose a program for a new model of asynchronous distributed computing, inspired from Hewitt Actor Model, as well as several investigation paths, concerning how one may graft lambda calculus and knot diagrammatics.
This paper connects spinors to horospheres in hyperbolic space.
Paper introduces Lambda EVaR, a new risk measure.
For any cluster algebra whose underlying combinatorial data can be encoded by a bordered surface with marked points, we construct a geometric realization in terms of suitable decorated Teichmueller space of the surface. On the geometric side, this requires opening the surface at each interior marked point into an addit…
Let G=(V,E) be an undirected graph, lambda_k be the k-th smallest eigenvalue of the normalized laplacian matrix of G. There is a basic fact in algebraic graph theory that lambda_k > 0 if and only if G has at most k-1 connected components. We prove a robust version of this fact. If lambda_k>0, then for some 1\leq \ell\l…
We consider the space of tensor densities on the n-dimensional sphere with degree lambda (or, equivalently, of conformal densities with degree lambda). This space is a module over the group of diffeomorphisms, and consequently over the Lie algebra of vector fields, on the sphere, and we first prove that as a module ove…
Generalizes results for lambda-connections and Higgs bundles.
We give a description of local and global moves on a class of locally planar trivalent graphs and we show that it contains -Scale calculus, therefore in particular untyped lambda calculus. Surprisingly, the beta reduction rule comes from a local "sewing" transformation of trivalent locally planar graphs.
Given a Riemannian submersion, we study the relation between lambda constants introduced by G.Perelman on the base manifold and the total space of a Riemannian submersion. We also discuss the relationship between the first eigenvalues of Laplacians on the base manifold and that of the total space. The quantities on war…
Let M be a compact 3-manifold whose interior admits a complete hyperbolic structure. We let Lambda(M) be the supremum of the bottom eigenvalue of the Laplacian of N, where N varies over all hyperbolic 3-manifolds homeomorphic to the interior of M. Similarly, we let D(M) be the infimum of the Hausdorff dimensions of lim…
Study predicts evolution patterns for pretzel knots, revealing abrupt transitions and hidden non-linearity.
Let L be a Lie group and Lambda a lattice in L. Suppose G is a non-compact simple Lie group realized as a Lie subgroup of L, and the image of G on L/Lambda is dense. Let c be a diagonalizable element of G not contained in a compact subgroup. Let U be the expanding horospherical subgroup of G associated to c. Let Omega …
Paper proposes using generalized lambda distributions for stochastic simulators.
The paper analyzes how quantization affects the Fisher Information Matrix's dominant eigenvalue.
MF-GLaM models improve stochastic simulator emulation with multifidelity data.
New G-VaR predictor outperforms existing VaR models under model uncertainty.
New method recalibrates VaR for option books, reducing forecast errors.
Modified gauge for CMC-Einstein- flow proves stability of fixed points.
This paper estimates VaR for corn and soybean markets using jump processes.
Given a mapping class f of an oriented surface Sigma and a lagrangian lambda in the first homology of Sigma, we define an integer n_{lambda}(f). We use n_{lambda}(f) (mod 4) to describe a universal central extension of the mapping class group of Sigma as an index-four subgroup of the extension constructed from the Masl…
We consider a complete nonnegative biminimal submanifold M (that is, a complete biminimal submanifold with lambda>=0) in a Euclidean space E^N. Assume that the immersion is proper, that is, the preimage of every compact set in E^N is also compact in M. Then, we prove that M is minimal. From this result, we give an affi…
A Support Vector Method for multivariate performance measures was recently introduced by Joachims (2005). The underlying optimization problem is currently solved using cutting plane methods such as SVM-Perf and BMRM. One can show that these algorithms converge to an eta accurate solution in O(1/Lambda*e) iterations, wh…
The paper studies heat kernel behavior on symmetric spaces.
TQFT used to study symplectic group modules.
The paper proposes a new portfolio optimization model that includes VaR risk measure.
Study improves dividend discount model using VAR process.
This paper compares VaR estimation methods under tail misspecification, finding importance sampling underestimates VaR.
Paper proposes a new sparsity scheme for high-dimensional VAR models.
This thesis examines the accuracy of scaling VaR estimates for longer holding periods.