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.
New proof for Ending Lamination Theorem using hyperbolic 3-simplices.
Econophysics and econometrics agree that there is a correlation between volume and volatility in a time series. Using empirical data and their distributions, we further investigate this correlation and discover new ways that volatility and volume interact, particularly when the levels of both are high. We find that the…
Derives Weyl law for volume spectrum using parametric inequalities.
Law of large numbers for volumes of random 3-manifolds.
Defines half-volume spectrum for manifolds and proves Weyl law holds.
Given a Riemannian manifold with (possibly empty) boundary, we show that its volume spectrum satisfies a Weyl law that was conjectured by Gromov.
In a recent Nature paper, Gabaix et al. \cite{Gabaix03} presented a theory to explain the power law tail of price fluctuations. The main points of their theory are that volume fluctuations, which have a power law tail with exponent roughly -1.5, are modulated by the average market impact function, which describes the r…
Zipf's law states that the number of firms with size greater than S is inversely proportional to S. Most explanations start with Gibrat's rule of proportional growth but require additional constraints. We show that Gibrat's rule, at all firm levels, yields Zipf's law under a balance condition between the effective grow…
In this study, we investigate the statistical properties of the returns and the trading volume. We show a typical example of power-law distributions of the return and of the trading volume. Next, we propose an interacting agent model of stock markets inspired from statistical mechanics [24] to explore the empirical fin…
We respond to the issues discussed by Farmer and Lillo (FL) related to our proposed approach to understanding the origin of power-law distributions in stock price fluctuations. First, we extend our previous analysis to 1000 US stocks and perform a new estimation of market impact that accounts for splitting of large ord…
New framework explains market volatility and metaorder impact.
The study provides a formula for the volume of leaf spaces of certain foliations.
Harish-Chandra's volume formula shows that the volume of a flag manifold , where the measure is induced by an invariant inner product on the Lie algebra of , is determined up to a scalar by the algebraic properties of . This article explains how to deduce Harish-Chandra's formula from Weyl's law by utilizing…
Study on price-volume correlation fractal features and market type effects.
We study the volume distribution of nodal domains of random band-limited functions on generic manifolds, and find that in the high energy limit a typical instance obeys a deterministic universal law, independent of the manifold. Some of the basic qualitative properties of this law, such as its support, monotonicity and…
We show power-scaling behaviors for fluctuations in share volume, which no other studies have so far done. After analyzing a database of the daily transactions for all securities listed on the Tokyo Stock Exchange, we selected 1050 large companies that each had an unbroken series of daily trading activity from January …
Under suitable invertibility hypothesis, the spectrum of the Dirac operator on certain open spin Riemannian manifolds is discrete, and obeys a growth law depending qualitatively on the (in)finiteness of the volume.
A new method for SSMF improves upon existing algorithms.
The paper uncovers two key laws of market impact influenced by volume and participation rate.
Recently, Sogge-Zelditch and Colding-Minicozzi gave new power law lower bounds on the size of the nodal sets of eigenfunctions. The purpose of this short note is to point out a third method to obtain a power law lower bound on the volume of the nodal sets. Our method is based on the Donnelly-Fefferman growth bound for …
Derives a new maximum principle for Riemannian manifolds with volume growth constraints.
The sequence of moments of a vector-valued random variable can characterize its law. We study the analogous problem for path-valued random variables, that is stochastic processes, by using so-called robust signature moments. This allows us to derive a metric of maximum mean discrepancy type for laws of stochastic proce…
Proves a conjecture about the maximum tet-volume of triangulations of a 2-sphere.
Maximum likelihood estimation and a test of fit based on the Anderson-Darling statistic is presented for the case of the power law distribution when the parameters are estimated from a left-censored sample. Expressions for the maximum likelihood estimators and tables of asymptotic percentage points for the A^2 statisti…
The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise featureless processes such as random walks. The bias stems from the selection o…
Space exploration technology advances exponentially, consistent with Moore's and Wright's laws.
The maximum hyperbolic polyhedron volume is found to be the rectification of its skeleton.
Proves the Weyl law for 1-cycles in manifolds.
Study approximates Plateau's laws using the Allen-Cahn equation.
Algorithm designs neural group actions for symmetric transformations.
The daily volume of transaction on the New York Stock Exchange and its day-to-day fluctuations are analysed with respect to power-law tails as well long-term trends. We also model the transition to a Gaussian distribution for longer time intervals, like months instead of days.
Unified model explains market dynamics, linking order flow, volatility, and impact.
Unified scaling laws reveal how model size and training time impact neural network performance.
Study on likelihood functions, associative equations, and Frobenius manifolds.
The Planck mass can be derived from gravitational potential behavior in compactifications.
We investigate the temporal correlations and multifractal nature of trading volume of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading volume exhibit size-dependent non-universal long memory and multifractal nature. No crossover in the power-law dependence of the detrended fluctu…
This paper studies a limit order book (LOB) model, in which the order dynamics depend on both, the current best available prices and the current volume density functions. For the joint dynamics of the best bid price, the best ask price, and the standing volume densities on both sides of the LOB we derive a weak law of …
Optimizes large stock order execution with LSTM neural networks.
We study power-law correlations properties of the Google search queries for Dow Jones Industrial Average (DJIA) component stocks. Examining the daily data of the searched terms with a combination of the rescaled range and rescaled variance tests together with the detrended fluctuation analysis, we show that the searche…
A dynamic herding model with interactions of trading volumes is introduced. At time , an agent trades with a probability, which depends on the ratio of the total trading volume at time to its own trading volume at its last trade. The price return is determined by the volume imbalance and number of trades. The …
Weaving knots are alternating knots with the same projection as torus knots, and were conjectured by X.-S. Lin to be among the maximum volume knots for fixed crossing number. We provide the first asymptotically correct volume bounds for weaving knots, and we prove that the infinite weave is their geometric limit.
We consider a few quantities that characterize trading on a stock market in a fixed time interval: logarithmic returns, volatility, trading activity (i.e., the number of transactions), and volume traded. We search for the power-law cross-correlations among these quantities aggregated over different time units from 1 mi…
Associating stock mechanics to real economy, in terms of volume, number of transactions, and cost, i.e. money flow for shares, we obtained the fundamental laws of stock mechanics.
Study on isoperimetric problem in Randers planes achieving maximum area.
This paper presents some new results on Parisian ruin under Levy insurance risk process, where ruin occurs when the process has gone below a fixed level from the last record maximum, also known as the high-water mark or drawdown, for a fixed consecutive periods of time. The law of ruin-time and the position at ruin is …
We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the averaged LOB shape has a maximum away from the same best price for both buy and sell LOBs. Th…
Using the Generalised Lotka Volterra (GLV) model adapted to deal with muti agent systems we can investigate economic systems from a general viewpoint and obtain generic features common to most economies. Assuming only weak generic assumptions on capital dynamics, we are able to obtain very specific predictions for the …
In this paper we present a proof of a Neumann type maximum principle for the Laplace operator on compact Riemannian manifolds. A key p oint is the simple geometric nature of the constant in the a priori estimate of this maximum principle. In particular, this maximum principle can be applied to manifolds with Ricci curv…