arXiv research

Model predicts EU carbon prices using market and political factors.

This paper adresses the valuation of the Paris barrier options proposed by Yor, Jeanblanc-Picque, and Chesnay (Advances in Applied Probability, 29(1997), 165-184) using the Laplace transform approach. Based on suggestions by Pliska the notion of Paris options is extended such that their valuation is possible at any poi…

PARIS reduces imbalanced regression datasets by pruning uninformative samples.

Pari-mutuel markets are trading platforms through which the common market maker simultaneously clears multiple contingent claims markets. This market has several distinctive properties that began attracting the attention of the financial industry in the 2000s. For example, the platform aggregates liquidity from the ind…

According to the Tits conjecture proved by Crisp and Paris, [CP], the subgroups of the braid group generated by proper powers of the Artin elements are presented by the commutators of generators which are powers of commuting elements. Hence they are naturally presented as right-angled Artin groups. The case of subgroup…

This note re-addresses the Paris barrier options proposed by Yor and collaborators and their valuation using the Laplace transform approach. The notion of Paris barrier options, based on excursion theory and using the Brownian meander, is extended such that their valuation is now possible at any point during their life…

A new algorithm reduces bias in estimating model parameters.

Studying the impact of climate change on precipitation is constrained by finding a way to evaluate the evolution of precipitation variability over time. Classical approaches (feature-based) have shown their limitations for this issue due to the intermittent and irregular nature of precipitation. In this study, we prese…

Recently, several new pari-mutuel mechanisms have been introduced to organize markets for contingent claims. Hanson introduced a market maker derived from the logarithmic scoring rule, and later Chen and Pennock developed a cost function formulation for the market maker. On the other hand, the SCPM model of Peters et a…

This paper introduces a new Urban Point Cloud Dataset for Automatic Segmentation and Classification acquired by Mobile Laser Scanning (MLS). We describe how the dataset is obtained from acquisition to post-processing and labeling. This dataset can be used to learn classification algorithm, however, given that a great a…

We show that any two elements of the pure braid group either commute or generate a free group, settling a question of Luis Paris. Our proof involves the theory of 3-manifolds and the theory of group actions on trees.

The paper analyzes MENA region's energy consumption and policy needs for renewable energy.

Equity auctions show linear price impact up to a large volume, then non-linear.

This paper proposes an original approach to cluster multi-component data sets, including an estimation of the number of clusters. From the construction of a minimal spanning tree with Prim's algorithm, and the assumption that the vertices are approximately distributed according to a Poisson distribution, the number of …

Study improves Cox model for predicting stock trading signs using Japanese market data.

A consistency criterion for price impact functions in limit order markets is proposed that prohibits chain arbitrage exploitation. Both the bid-ask spread and the feedback of sequential market orders of the same kind onto both sides of the order book are essential to ensure consistency at the smallest time scale. All t…

Artificial neural networks are simple and efficient machine learning tools. Defined originally in the traditional setting of simple vector data, neural network models have evolved to address more and more difficulties of complex real world problems, ranging from time evolving data to sophisticated data structures such …

A Riemann-Poisson Lie group is a Lie group endowed with a left invariant Riemannian metric and a left invariant Poisson tensor which are compatible in the sense introduced in C.R. Acad. Sci. Paris sér. {\bf I 333} (2001) 763-768. We study these Lie groups and we give a characterization of their Lie algebras. We give al…

This text is the extended version of a talk given at the conference Geometry, Topology, QFT and Cosmology hold from May 28 to May 30, 2008 at the Observatoire de Paris. Using exterior differential systems, I provide a positive answer to the generalized isometric embedding problem of vector bundles, and show how conserv…

Explicit presentations found for asymptotically rigid mapping class groups.

In this note, adopting the pullback formalism of global Finsler geometry, we show by a counterexample that the kernel $\text{Ker}_R$ of the h-curvature $R$ of Cartan connection and the associated nullity distribution $\N_R$ do not coincide, contrary to Akbar-Zadeh's result \cite{akbar.nul3.}. We give sufficient conditi…

Let $N_{g,s}$ denote the nonorientable surface of genus g with s boundary components. Recently Paris and Szepietowski obtained an explicit finite presentation for the mapping class group $M(N_{g,s})$ of the surface $N_{g,s}$, where $s\in{0,1}$ and $g+s>3$. Following this work we obtain a finite presentation for the sub…

Model learns brevity by exposing to easy problems, improving efficiency without explicit length penalties.

Area and orientation preserving diffeomorphisms of the standard 2-disc, referred to as symplectomorphisms of $\mathbb{D}^{2}$, allow decompositions in terms of positive twist diffeomorphisms. Using the latter decomposition we utilize the Conley index theory of discrete braid classes as introduced in [Ghrist et al., C. …

Let N_{g,s} denote the nonorientable surface of genus g with s boundary components. Recently Paris and Szepietowski obtained an explicit finite presentation for the mapping class group M(N_{g,s}) of the surface N_{g,s}, where s\in{0,1} and g+s>3. Following this work we obtain a finite presentation for the mapping class…

New invariant for singular links via bt-algebra.

We report statistical regularities of the opening and closing auctions of French equities, focusing on the diffusive properties of the indicative auction price. Two mechanisms are at play as the auction end time nears: the typical price change magnitude decreases, favoring underdiffusion, while the rate of these events…

Added examples of S^1-manifolds with finite 2nd homotopy group and non-zero A-genus.

The notion of two-numbers of connected Riemannian manifolds was introduced about 35 years ago in [Un invariant geometrique riemannien, C. R. Acad. Sci. Paris Math. 295 (1982), 389--391] by B.-Y. Chen and T. Nagano. Later, two-numbers have been studied by a number of mathematicians and it was then proved that two-number…

First-best climate policy is a uniform carbon tax which gradually rises over time. Civil servants have complicated climate policy to expand bureaucracies, politicians to create rents. Environmentalists have exaggerated climate change to gain influence, other activists have joined the climate bandwagon. Opponents to cli…

Conformal invariance plays a significant role in many areas of Physics, such as conformal field theory, renormalization theory, turbulence, general relativity. Naturally, it also plays an important role in geometry: theory of Riemannian surfaces, Weyl tensors, $Q$-curvature, Yang-Mills fields, etc... We shall be concer…

Survey on geometry and topology of maximal antipodal sets.

Olympic Games remain costly and overrun, despite reforms.

These are notes from the lecture of Devavrat Shah given at the autumn school "Statistical Physics, Optimization, Inference, and Message-Passing Algorithms", that took place in Les Houches, France from Monday September 30th, 2013, till Friday October 11th, 2013. The school was organized by Florent Krzakala from UPMC & E…

Tied links and the tied braid monoid were introduced recently by the authors and used to define new invariants for classical links. Here, we give a version purely algebraic-combinatoric of tied links. With this new version we prove that the tied braid monoid has a decomposition like a semi--direct group product. By usi…

Wintgen proved in [P. Wintgen, Sur l'inégalité de Chen-Willmore, C. R. Acad. Sci. Paris, 288 (1979), 993--995] that the Gauss curvature $K$ and the normal curvature $K^D$ of a surface in the Euclidean 4-space $E^4$ satisfy $K+|K^D|\leq H^2,$ where $H^2$ is the squared mean curvature. A surface $M$ in $\E4$ is called …

In this paper we study the linearizability problem for 3-webs on a 2-dimensional manifold. With an explicit computation based on the theory developed in the paper "On the linearizability of 3-webs" (Nonlinear analysis 47, (2001) pp. 2643-2654), we examine a 3-web whose linearizability was claimed in the same paper. We …

In the article "On the linearizability of 3-webs" (Nonlinear analysis 47, (2001) pp.2643-2654), published in 2001, we studied the linearizability problem for 3-webs on a 2-dimensional manifold. Four years after the publication of our article, V.V.Goldberg and V.V.Lychagin in the paper "On linearization of planar three-…

We give a complete classification of conformally covariant differential operators between the spaces of $i$-forms on the sphere $S^n$ and $j$-forms on the totally geodesic hypersphere $S^{n-1}$. Moreover, we find explicit formulæ for these new matrix-valued operators in the flat coordinates in terms of basic operators …

Constant price impact functions, much used in financial literature, are shown to give rise to paradoxical outcomes since they do not allow for proper predictability removal: for instance the exploitation of a single large trade whose size and time of execution are known in advance to some insider leaves the arbitrage o…

Paper shows surfaces can't be heard to be orientable.

We describe a collection of computer scripts written in PARI/GP to compute, for reflection groups determined by finite-volume polyhedra in $\mathbb{H}^3$, the commensurability invariants known as the invariant trace field and invariant quaternion algebra. Our scripts also allow one to determine arithmeticity of such gr…

The present paper aims at locating the breakings of the integration process of an international system observed during about 50 years in the 19th century. A historical study could link them to special events, which operated as exogenous shocks on this process. The indicator of integration used is the spread between the…

We consider closed manifolds that admit a metric locally isometric to a product of symmetric planes. For such manifolds, we prove that the Euler characteristic is an obstruction to the existence of flat structures, confirming an old conjecture proved by Milnor in dimension 2. In particular, the Chern conjecture follows…

A theory of exceptional extreme events, characterized by their abnormal sizes compared with the rest of the distribution, is presented. Such outliers, called "dragon-kings", have been reported in the distribution of financial drawdowns, city-size distributions (e.g., Paris in France and London in the UK), in material f…

A Hawkes process with state-dependent factor models order flows in limit order books.

For a real oriented hyperplane arrangement, we show that the corresponding Salvetti complex is homotopy equivalent to the complement of the complexified arrangement. This result was originally proved by M. Salvetti. Our proof follows the framework of a proof given by L. Paris and relies heavily on the notation of orien…

We review our recent work on linear stability for scalar perturbations of Kerr spacetimes, that is to say, boundedness and decay properties for solutions of the scalar wave equation \Box_gψ = 0 on Kerr exterior backgrounds. We begin with the very slowly rotating case |a| \ll M, where first boundedness and then decay ha…