The paper analyzes XVA reduction strategies in financial crises using Mandatory Breaks, Restructuring, and Resets.
problem Challenges in client XVA management during crises when continuous collateralization is not feasible.
method Compares multiple trade strategies including Mandatory Breaks, Restructuring, and Resets.
result Resets can be twice as effective as Mandatory Breaks/Restructuring if there is no credit recovery. When recovery is at least 1/3, Mandatory Breaks/Restructuring can be more effective.
In this paper, optimal consumption and investment decisions are studied for an investor who can invest in a fixed interest rate bank account and a stock whose price is a log normal diffusion. We present the method of the HJB equation in order to explicitly solve problems of this type with modifications such as a fixed …
Model shows disclosure reduces trading costs in oligopolistic markets.
problem Reducing trading costs in oligopolistic markets with imperfect competition.
method Developed a multi-period Kyle-type model with mandatory disclosure and imperfect competition, proving existence and uniqueness of a linear equilibrium.
result Disclosure lowers trading costs by reducing price impact, and its marginal benefit is larger when competition is weak.
Standard economic theory makes an allowance for the agency problem, but not the compounding of moral hazard in the presence of informational opacity, particularly in what concerns high-impact events in fat tailed domains (under slow convergence for the law of large numbers). Nor did it look at exposure as a filter that…
A training-free conformal interval is a mandatory baseline for probabilistic time-series forecasting.
problem Comparing probabilistic forecasters against weak or omitted baselines.
method A simple conformal interval with no parameters and no training.
result The ConformalNaive interval decisively beats several baselines.
Model analyzes how firms balance full disclosure with selective disclosure to maintain a good reputation.
problem Managing reputation in financial markets through voluntary disclosure.
method Developed a dynamic model with two disclosure strategies: candid and sparing, using a piecewise-deterministic model.
result Firms are rewarded for full disclosure but may switch to selective disclosure to avoid potential downgrades.
Geometric mechanism mimics physics' symmetry breaking.
problem Understanding spontaneous symmetry breaking in geometry.
method Analogous to physics, studying symmetry breaking in differential geometry.
result Symmetry breaking can be used to solve geometric problems.
Georgia's pension reform affects individual welfare.
problem Optimizing pension systems to ensure old age welfare and reduce budgetary pressure.
method Historical analysis, comparative international experience, and assessment of investment potential.
result Challenges and potential improvements of the mandatory funded pension system.
Researchers create BPS monopoles with any desired symmetry breaking.
problem Creating monopoles with specific symmetry breaking patterns.
method Using a new class of Nahm data to construct finite energy BPS monopoles.
result Arbitrary symmetry breaking monopoles can be constructed.
The paper classifies and proves properties of symmetry breaking operators for specific groups.
problem Classifying and understanding symmetry breaking operators for de Sitter and Lorentz groups.
method Constructing and classifying differential symmetry breaking operators, proving localness, and showing sporadic nature.
result All symmetry breaking operators are differential and sporadic, not obtainable by residue formulas.
We give a complete classification of intertwining operators (symmetry breaking operators) between spherical principal series representations of G=O(n+1,1) and G'=O(n,1). We construct three meromorphic families of the symmetry breaking operators, and find their distribution kernels and their residues at all poles explic…
Investigates spontaneous symmetry breaking in non-equilibrium systems.
problem Spontaneous symmetry breaking of ergodicity in non-equilibrium systems.
method Mathematical and effective field theory approaches to investigate symmetry breaking.
result Symmetry breaking phenomena observed in stochastic processes.
Proves and tests methods for learning time-series with breaks.
problem Learning time-series with structural breaks.
method Complete proofs and experimental validation of a regularized loss function.
result Experimental results support the validity of the techniques.
We introduce the concept of spontaneous symmetry breaking to arbitrage modeling. In the model, the arbitrage strategy is considered as being in the symmetry breaking phase and the phase transition between arbitrage mode and no-arbitrage mode is triggered by a control parameter. We estimate the control parameter for mom…
We present Bernstein-Sato identities for scalar-, spinor- and differential form-valued distribution kernels on Euclidean space associated to conformal symmetry breaking operators. The associated Bernstein-Sato operators lead to partially new formulae for conformal symmetry breaking differential operators on functions, …
Distributed machine learning (ML) can bring more computational resources to bear than single-machine learning, thus enabling reductions in training time. Distributed learning partitions models and data over many machines, allowing model and dataset sizes beyond the available compute power and memory of a single machine…
Paper detects and estimates breaks in high-dimensional functional time series.
problem Detecting and estimating structural breaks in heterogeneous mean functions of high-dimensional functional time series.
method Proposes a new test statistic combining functional CUSUM and power enhancement components, with a clustering algorithm for group structure estimation.
result The proposed techniques have satisfactory performance in finite samples, detecting and estimating breaks effectively.
The Chinese restaurant process (CRP) and the stick-breaking process are the two most commonly used representations of the Dirichlet process. However, the usual proof of the connection between them is indirect, relying on abstract properties of the Dirichlet process that are difficult for nonexperts to verify. This shor…
SymPE breaks symmetries in equivariant networks, improving performance across various tasks.
problem Equivariant networks cannot break symmetries, leading to poor performance in tasks with symmetrical inputs.
method Novel equivariant conditional distributions and randomized canonicalization.
result SymPE significantly improves performance of group-equivariant and graph neural networks.
Bayesian ARMA model with directional shifts captures structural breaks in compositional time series.
problem Structural breaks in compositional time series due to external shocks or policy changes.
method Developed a Bayesian Dirichlet ARMA model augmented with a directional-shift intervention mechanism.
result The model captures structural breaks through interpretable parameters and produces coherent probabilistic forecasts.
Noether's framework reveals symmetry-breaking in neural networks.
problem Understanding the role of symmetry breaking in neural networks.
method Developed a theoretical framework using Lagrangian mechanics.
result Identified 'kinetic symmetry breaking' and its effect on learning dynamics.
Pulli kolam is a ubiquitous art form in south India. It involves drawing a line looped around a collection of dots (pullis) place on a plane such that three mandatory rules are followed: all line orbits should be closed, all dots are encircled and no two lines can overlap over a finite length. The mathematical foundati…
Part I. We prove a one-to-one correspondence between differential symmetry breaking operators for equivariant vector bundles over two homogeneous spaces and certain homomorphisms for representations of two Lie algebras, in connection with branching problems of the restriction of representations. We develop a new method…
New method breaks symmetry in neural networks, improving sample efficiency.
problem Symmetry in neural networks limits their ability to learn unique features.
method Introduces 'relaxed equivariance' to overcome symmetry limitations.
result Equivariant multilayer perceptrons (E-MLPs) can now break symmetry at the sample level.
Do we know if a short selling ban or a Tobin Tax result in more stable asset prices? Or do they in fact make things worse? Just like medicine regulatory measures in financial markets aim at improving an already complex system. And just like medicine these interventions can cause side effects which are even harder to as…
The beta-Bernoulli process provides a Bayesian nonparametric prior for models involving collections of binary-valued features. A draw from the beta process yields an infinite collection of probabilities in the unit interval, and a draw from the Bernoulli process turns these into binary-valued features. Recent work has …
The paper presents the comparative study of the nature of stock markets in short-term and long-term time scales with and without structural break in the stock data. Structural break point has been identified by applying Zivot and Andrews structural trend break model to break the original time series (TSO) into time ser…
Classifies patterns of symmetry breaking and vacuum degeneracy in scalar and gauge fields.
problem Understanding patterns of symmetry breaking and vacuum degeneracy in complex field systems.
method Uses mathematical classification of singular foliations to encode and classify patterns of spontaneous symmetry breaking and vacuum degeneracy.
result Mathematical classification provides a qualitative understanding of possible patterns of vacuum degeneracy.
We provide some insights in the study of branching problems of reductive groups, and a method of investigations into symmetry breaking operators. First, we give geometric criteria for finiteness property of linearly independent continuous (respectively, differential) operators that intertwine two induced representation…
Study on spontaneous symmetry breaking in financial markets using quantum mechanics.
problem Analyzing spontaneous symmetry breaking in financial markets.
method Using Hamiltonian form of Black-Scholes and Merton-Garman equations, analyzing symmetry breaking and interpreting Nambu-Goldstone bosons.
result Interpretation of Nambu-Goldstone bosons in financial markets.
Study on wave-breaking phenomena in solutions of the Camassa-Holm equation.
problem Wave-breaking phenomena in solutions of the Camassa-Holm equation.
method Investigation of pseudospherical surfaces and singularities of the metric.
result The metric blows up if and only if the solution breaks in finite time.
We extend Stochastic Gradient Variational Bayes to perform posterior inference for the weights of Stick-Breaking processes. This development allows us to define a Stick-Breaking Variational Autoencoder (SB-VAE), a Bayesian nonparametric version of the variational autoencoder that has a latent representation with stocha…
New theory shows how membranes can break symmetry.
problem Understanding symmetry breaking in membranes with boundaries.
method Applied bifurcation theory and reduced membrane equation.
result Existence of symmetry breaking bifurcation in membrane solutions.
Symmetry in inverse problems leads to multiple solutions, but breaking symmetry helps deep learning.
problem Symmetry in physical systems causes multiple solutions in inverse problems, hindering deep learning.
method Careful symmetry breaking on training data helps solve inverse problems and improve deep learning performance.
result Symmetry breaking on training data significantly improves deep learning performance in inverse problems.
Machine learning predicts dam-break flood wave behavior accurately.
problem Predicting long-term wave behavior in dam-break floods.
method Solved Saint-Venant equations using Lax-Wendroff scheme, trained RC-ESN with flow depth data.
result RC-ESN model predicts 286 time-steps ahead with RMSE < 0.01, outperforming LSTM.
Paper defines the payback period for nonconventional cash flows using axioms.
problem Defining the payback period for nonconventional cash flows is challenging.
method Used axiomatic approach to define the payback period.
result The last break-even point of the project balance is the only definition consistent with axioms.
The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) framework. Behavioural patterns are injected into an asset pricing framework through the so-called `Break Point Date', which allows us to examine their direct impact.…
This paper analyzes how kinetic terms in stock market equations can affect symmetry breaking.
problem Spontaneous symmetry breaking in quantum finance and its impact on stock market dynamics.
method Analyzes the role of kinetic terms in the context of the martingale condition in stock market equations.
result Kinetic terms can shift the effective location of the vacuum state, affecting symmetry breaking patterns.
Study symmetry breaking in quantum mechanics to understand many-body physics.
problem Understanding many-body physics from quantum mechanics.
method Analyzing potentials with unstable critical points and local minima.
result Emergence of many-body physics from spontaneous symmetry breaking.
The paper classifies and constructs differential symmetry breaking operators from a line bundle to a vector bundle over real projective spaces.
problem Classifying and constructing differential symmetry breaking operators.
method Utilizing factorization identities and branching laws of generalized Verma modules.
result Differential symmetry breaking operators from a line bundle to a vector bundle over real projective spaces are classified and constructed.
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate the fair prices of such financial products, one needs appropriate models for the e…
This paper examines how investors mislearn factor risk premia under structural breaks in a misspecified Bayesian framework.
problem Investors' mislearning of factor risk premia under structural breaks in asset pricing models.
method Proposes a minimal Bayesian framework to study how investors learn under a misspecified model that underestimates structural breaks.
result Elevated mislearning is associated with stronger long-horizon returns and Sharpe ratios, consistent with an equilibrium premium for acute model uncertainty.
Metric evaluates symmetry-breaking in datasets, revealing severe biases.
problem Symmetry-breaking in datasets can hinder the performance of symmetry-aware methods.
method Developed a metric to quantify symmetry-breaking using a two-sample classifier test.
result Symmetry-breaking can prevent optimal performance of invariant methods, even when labels are invariant.
We prove an explicit residue formula for a meromorphic continuation of conformally covariant integral operators between differential forms on Rn and on its hyperplane. The results provide a simple and new construction of the conformally covariant differential symmetry breaking operators between differential fo…
Rank aggregation systems collect ordinal preferences from individuals to produce a global ranking that represents the social preference. Rank-breaking is a common practice to reduce the computational complexity of learning the global ranking. The individual preferences are broken into pairwise comparisons and applied t…
The paper connects financial vacuum conditions to spontaneous symmetry breaking in quantum finance.
problem Understanding the conditions under which the martingale condition is a non-degenerate vacuum.
method Expressing financial equations in Hamiltonian form and analyzing symmetry breaking.
result Conditions for the martingale condition to be a non-degenerate vacuum are identified.
Constructs moduli spaces for monopoles with arbitrary symmetry breaking.
problem Finding moduli spaces for monopoles with varying symmetry.
method Defined configuration space with asymptotic conditions, performed quotient construction, used b-calculus and scattering calculus.
result Constructs hyper-Kähler moduli spaces for monopoles with arbitrary symmetry breaking.
In this paper, we propose an adaptive group lasso procedure to efficiently estimate structural breaks in cointegrating regressions. It is well-known that the group lasso estimator is not simultaneously estimation consistent and model selection consistent in structural break settings. Hence, we use a first step group la…