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.
Calculates lower bounds for type III Reidemeister moves in link diagrams.
Characterizes the OU matrix for up to 5 strands in braids.
Characterizes sequences from two-component link diagrams.
The paper defines the OU matrix for braid diagrams and finds determinant relationships.
Deep learning outperforms traditional methods in estimating OU process parameters.
The Kalman filter and Heston model are used to estimate asset prices and trading performance.
We compare the most common SV models such as the Ornstein-Uhlenbeck (OU), the Heston and the exponential OU (expOU) models. We try to decide which is the most appropriate one by studying their volatility autocorrelation and leverage effect, and thus outline the limitations of each model. We add empirical research on ma…
The paper studies Fourier-Laplace transforms in polynomial OU volatility models for option pricing.
This study shows how DDPM can be represented by the OU process.
We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still being highly analytically tractable. First we derive the characteristic function and give conditions that ensure its anal…
This paper studies subordinate Ornstein-Uhlenbeck (OU) processes, i.e., OU diffusions time changed by Lévy subordinators. We construct their sample path decomposition, show that they possess mean-reverting jumps, study their equivalent measure transformations, and the spectral representation of their transition semigro…
Novel AMM model for pegged cryptoassets using nested OU processes.
Pairs trading strategy improved using Ornstein-Uhlenbeck process.
Study on gamma-related OU processes with simulation methods.
Develops semi-closed form solutions for barrier and American options on time-dependent OU process.
The CN matrix of a pure braid projection is characterized and applied.
It is well-known that irreversible MCMC algorithms converge faster to their stationary distributions than reversible ones. Using the special geometric structure of Lie groups and dissipation fields compatible with the symplectic structure, we construct an irreversible HMC-like MCMC algorithm on $\mathcal G…
Nous considérons un espace topologique qui est localement isomorphe au quotient de R^k par l'action d'un groupe discret et nous l'appelons quasi-variété de dimension k. Les quasi-variétés généralisent les variétés et les V-variétés et représentent le cadre naturel pour la réduction symplectique par rapport à l'action i…
New simulation technique speeds up Lévy-driven OU process pricing.
Paper discusses gliding algorithm to transform tangle diagrams into a specific form.
New framework uses dynamics to justify Gaussian process for turbulent flows.
The most common stochastic volatility models such as the Ornstein-Uhlenbeck (OU), the Heston, the exponential OU (ExpOU) and Hull-White models define volatility as a Markovian process. In this work we check of the applicability of the Markovian approximation at separate times scales and will try to answer the question …
Derives semi-closed form prices for barrier options in the Hull-White model.
This paper optimizes perpetual contract liquidity by accounting for funding rates.
For biharmonic maps, there is a famous conjecture named Chen's conjecture. In later paper, Wang and Ou gave an affirmative partial answer to submersion version of Chen's conjecture. In this paper, we give an affirmative partial answer to submersion version of generalized Chen's conjecture, that is, triharmonic Riemanni…
RegPred Net forecasts foreign exchange rates with improved accuracy and interpretability.
In electricity markets, it is sensible to use a two-factor model with mean reversion for spot prices. One of the factors is an Ornstein-Uhlenbeck (OU) process driven by a Brownian motion and accounts for the small variations. The other factor is an OU process driven by a pure jump Lévy process and models the characteri…
We consider a spread financial market defined by the multidimensional Ornstein--Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility functions in the base of stochastic dynamical programming method. We show a special Verification Theorem for this case. We find the solution…
Improves SGM convergence bounds in W2-distance without strict assumptions.
Sharp inequalities for star bodies in 2D space.
This paper improves non-asymptotic bounds for denoising diffusions, focusing on the Ornstein-Uhlenbeck process.
Two new models improve option valuation for negative or mean reverting futures markets.
For a rational homology 3-sphere with a $\spinc$ structure $\s$, we show that simple algebraic manipulations of our construction of equivariant Seiberg-Witten Floer homology lead to a collection of variants which are topological invariants. We establish exact sequences relating them, we show that they satisfy a dua…
We extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the price satisfies a semilinear re-action/diffusion type equation. Based on this, we propose two new numerical schemes inspired by the branching p…
In the biharmonic submanifolds theory there is a generalized Chen's conjecture which states that biharmonic submanifolds in a Riemannian manifold with non-positive sectional curvature must be minimal. This conjecture turned out false by a counter example of Y. L. Ou and L. Tang in \cite{Ou-Ta}. However it remains inter…
We study an optimization-based approach to con- struct a mean-reverting portfolio of assets. Our objectives are threefold: (1) design a portfolio that is well-represented by an Ornstein-Uhlenbeck process with parameters estimated by maximum likelihood, (2) select portfolios with desirable characteristics of high mean r…
We study the optimal timing strategies for trading a mean-reverting price process with afinite deadline to enter and a separate finite deadline to exit the market. The price process is modeled by a diffusion with an affine drift that encapsulates a number of well-known models,including the Ornstein-Uhlenbeck (OU) model…
Study uses a bivariate model to price crude oil futures.
Model captures SPX and VIX volatility surfaces and skew-stickiness ratio.
New error bound for diffusion models without dimensionality constraints.
In recent years, distance education has enjoyed a major boom. Much work at The Open University (OU) has focused on improving retention rates in these modules by providing timely support to students who are at risk of failing the module. In this paper we explore methods for analysing student activity in online virtual l…
Modeling bank portfolio risk under climate transition impacts.
The paper proves structures for complex projective varieties with certain tangent bundle properties.
The AMIDST Toolbox is a software for scalable probabilistic machine learning with a spe- cial focus on (massive) streaming data. The toolbox supports a flexible modeling language based on probabilistic graphical models with latent variables and temporal dependencies. The specified models can be learnt from large data s…
The horocyclic flow on geometrically infinite surfaces shows recurrent irregular orbits or non-minimal closures.
This paper studies the timing of trades under mean-reverting price dynamics subject to fixed transaction costs. We solve an optimal double stopping problem to determine the optimal times to enter and subsequently exit the market, when prices are driven by an exponential Ornstein-Uhlenbeck process. In addition, we analy…
Résumé. Nous définissons un groupoïde de Fréchet-Lie Map(S^1,X) d'ana-foncteurs du cercle vers un groupoïde de Lie X. Ceci fournit une présentation du Hom-champ Hom(S^1,\cX), où \cX est le champ différentiable associé à X. Nous appliquons cette construction au groupoïde de Lie sous-jacent au `gerbe fibré' d'une variété…
Optimizes portfolios with constraints and stochastic factors, deriving explicit solutions.