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.
This study applies EMD to MSCI World index and converts IMFs into graphs for GNN modeling.
In this study, we establish a network structure of the Korean stock market, one of the emerging markets, with its minimum spanning tree through the correlation matrix. Base on this analysis, it is found that the Korean stock market doesn't form the clusters of the business sectors or of the industry categories. When th…
This thesis identifies share buybacks and predicts their impact on stock performance.
Cryptocurrencies show stable prices as a medium of exchange.
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…
Simple model uses time series momentum to outperform benchmarks in equity and bond markets.
Randomized control methods improve asset pricing and performance analysis.
Study applies HRP to Latin American markets, showing smoother risk-return profile.
Study examines cryptocurrency impacts on financial indices using advanced risk models.
The MAXFLAT low-pass filter improves factor adjustment for better portfolio performance in China's stock market.
Portfolio selection is the central task for assets management, but it turns out to be very challenging. Methods based on pattern matching, particularly the CORN-K algorithm, have achieved promising performance on several stock markets. A key shortage of the existing pattern matching methods, however, is that the risk i…
This paper proposes a paradigm shift in the valuation of long term annuities, away from classical no-arbitrage valuation towards valuation under the real world probability measure. Furthermore, we apply this valuation method to two examples of annuity products, one having annual payments linked to a mortality index and…
Tool to estimate research impact for low-resource institutions.
We investigate the performance of dynamic portfolios constructed using more than 21,000 technical trading rules on 12 categorical and country-specific markets over the 2004-2015 study period, on rolling forward structures of different lengths. We also introduce a discrete false discovery rate (DFRD+/-) method for contr…
Develops a new cluster validity index to find multiple optimal cluster numbers.
A diversified portfolio is created by solving the MIS problem in large market graphs, outperforming conventional methods.
Scaling properties of the BUX index are similar to those observed in other parts of the world. The main difference is that the traditional quantities like volatility, growth and autocorrelation of returns follows more closely the assumptions of the traditional stock market theory developed by Bachelier and by Black and…
Develops a binary tree model for option pricing with skew dynamics.
This is an expository article. It discusses an approach to hypoelliptic Fredholm index theory based on noncommutative methods (groupoids, C*-algebras, K-theory). The paper starts with an explicit index theorem for scalar second order differential operators on 3-manifolds that are Fredholm but not elliptic. This low-bro…
Proposes first method for continuously indexed domain adaptation.
Improved Granger causality method for dynamic time series data.
FunBaT extends Tucker decomposition to handle continuous-indexed tensor data.
Single index model is a powerful yet simple model, widely used in statistics, machine learning, and other scientific fields. It models the regression function as , where a is an unknown index vector and x are the features. This paper deals with a nonlinear generalization of this framework to allow for a regre…
Quantum computing tackles non-convex portfolio optimization with cardinality constraints.
This paper introduces a nonparametric copula-based index for detecting the strength and monotonicity structure of linear and nonlinear statistical dependence between pairs of random variables or stochastic signals. Our index, termed Copula Index for Detecting Dependence and Monotonicity (CIM), satisfies several desirab…
Improved FDR control for sparse financial index tracking.
New cluster validity index detects optimal number of clusters and secondary options.
Training a neural network for a classification task typically assumes that the data to train are given from the beginning. However, in the real world, additional data accumulate gradually and the model requires additional training without accessing the old training data. This usually leads to the catastrophic forgettin…
We propose the new Top-Dog-Index to quantify the historic deviation of the supply data of many small branches for a commodity group from sales data. On the one hand, the common parametric assumptions on the customer demand distribution in the literature could not at all be supported in our real-world data set. On the o…
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.…
We add size factor to CAPM and normalize residuals by Volatility Index.
New validity index for fuzzy-possibilistic c-means clustering.
A new OOD detector using an overlap index improves accuracy without high computational costs.
Large-scale industrial recommender systems are usually confronted with computational problems due to the enormous corpus size. To retrieve and recommend the most relevant items to users under response time limits, resorting to an efficient index structure is an effective and practical solution. The previous work Tree-b…
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with decreasing sampling frequency. Our study is based on high-frequency recordings of …
The financial crisis of 2008 generated interest in more transparent, rules-based strategies for portfolio construction, with Smart beta strategies emerging as a trend among institutional investors. While they perform well in the long run, these strategies often suffer from severe short-term drawdown (peak-to-trough dec…
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countries. We find long-range power-law cross-correlations in the absolute values of returns that quantify risk, and find that …
The investigations of financial markets from a complex network perspective have unveiled many phenomenological properties, in which the majority of these studies map the financial markets into one complex network. In this work, we investigate 30 world stock market indices through their visibility graphs by adopting the…
Neural Index Policy for multi-action bandits with heterogeneous budgets.
Large and stable indices of the world wide stock markets such as NYSE and SP 500 together with NASDAQ -- the index representing markets of new trends, and WIG -- the index of the local stock market of Eastern Europe, are considered. Due to the relation between artificial insymmetrised patterns (AIP) and time series, st…
New algorithms for generalized linear bandits with unknown reward functions.
Cluster analysis is widely used in the areas of machine learning and data mining. Fuzzy clustering is a particular method that considers that a data point can belong to more than one cluster. Fuzzy clustering helps obtain flexible clusters, as needed in such applications as text categorization. The performance of a clu…
Model predicts S&P 500 IT sector index prices with high accuracy.
News might trigger jump arrivals in financial time series. The "bad" and "good" news seems to have distinct impact. In the research, a double exponential jump distribution is applied to model downward and upward jumps. Bayesian double exponential jump-diffusion model is proposed. Theorems stated in the paper enable est…
The concept of multifractality offers a powerful formal tool to filter out multitude of the most relevant characteristics of complex time series. The related studies thus far presented in the scientific literature typically limit themselves to evaluation of whether or not a time series is multifractal and width of the …
Stock return predictability is an important research theme as it reflects our economic and social organization, and significant efforts are made to explain the dynamism therein. Statistics of strong explanative power, called "factor" have been proposed to summarize the essence of predictive stock returns. Although mach…
Model monthly VIX and stock returns using log-Heston model.
Innovation is among the key factors driving a country's economic and social growth. But what are the factors that make a country innovative? How do they differ across different parts of the world and different stages of development? In this work done in collaboration with the World Economic Forum (WEF), we analyze the …