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arXiv research

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.

168,657 papers · 148 categories

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5 results for “PELT”

The behavior of stock market prices throughout the episodes of capital inflowsq-fin.GN

Study finds stock prices rarely appreciate during capital inflows but often appreciate during normal flows.

problem Understanding stock price behavior during capital inflows and outflows.

method Identified capital flow episodes using threshold and k-means clustering; detected stock index changepoints using PELT method; combined results over identified capital flows.

result Stock prices rarely appreciate during capital inflows but often appreciate during normal flows.

stock prices capital flows clustering PELT EMEs

2020-08-31abs ↗pdf ↗

Options are also options on options: how to smile with Black-Scholesq-fin.MF

A new perspective on Call option pricing reveals identical prices for certain options.

problem Understanding and pricing exotic options like Call on Call.

method Analyzing the relative pricing function and deriving new formulas.

result Identical prices for certain exotic options under no arbitrage.

options pricing Black-Scholes smile Call on Call

2023-08-08abs ↗pdf ↗

Sequential Gradient Descent and Quasi-Newton's Method for Change-Point Analysisstat.ML

New method speeds up change-point detection in data sequences.

problem Efficiently detecting change-points in long data sequences.

method Sequential Gradient Descent and Quasi-Newton's Method.

result New method can be orders of magnitude faster than existing methods.

change-point detection sequential methods gradient descent quasi-Newton optimization

2022-10-21abs ↗pdf ↗

Geometric-Based Pruning Rules For Change Point Detection in Multiple Independent Time Seriesstat.ME

Geometric pruning rules improve change point detection in multiple time series.

problem Detecting multiple changes in multiple independent time series.

method Dynamic programming algorithms with inequality-based and geometric pruning rules.

result Geometric pruning rules offer close-to-linear time complexity for multiple independent time series.

change point detection multiple time series dynamic programming geometric shapes Gaussian distribution

2023-06-15abs ↗pdf ↗

Event-Driven Market Co-Movement Dynamics in Critical Mineral Equities: An Empirical Framework Using Change Point Detection and Cross-Sectional Analysisecon.EM

Study analyzes market co-movements in critical mineral investments using change point detection and cross-sectional analysis.

problem Market dynamics in critical mineral investments during significant global events.

method Combines change-point detection (PELT algorithm) with cross-sectional analysis on ESG-ranked ETFs.

result Investors herded during market downturns and shifted to anti-herding after positive news and geopolitical shocks.

critical minerals market co-movements change point detection ESG ranking herding behavior

2026-01-15abs ↗pdf ↗