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.
The article generalizes Pearson correlation to Riemannian manifolds.
Financial markets analyzed by reducing correlation matrix complexity.
The paper extends Pearson correlation to multi-variables, useful for noise measurement and feature selection.
This study uses local Gaussian correlation to analyze stock return tails, revealing more sensitive network properties.
Model predicts epileptic seizures with high accuracy using EEG signals.
For time series comparisons, it has often been observed that z-score normalized Euclidean distances far outperform the unnormalized variant. In this paper we show that a z-score normalized, squared Euclidean Distance is, in fact, equal to a distance based on Pearson Correlation. This has profound impact on many distanc…
Entropy measures in their various incarnations play an important role in the study of stochastic time series providing important insights into both the correlative and the causative structure of the stochastic relationships between the individual components of a system. Recent applications of entropic techniques and th…
In this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, we show that the DCCA coefficient can estimate the correlation coefficient accurately regardless the strength of non-stationarity (measured b…
New RDPC dissimilarity measure improves time series clustering.
High-dimensional, large-sample astrophysical databases of galaxy clusters, such as the Chandra Deep Field South COMBO-17 database, provide measurements on many variables for thousands of galaxies and a range of redshifts. Current understanding of galaxy formation and evolution rests sensitively on relationships between…
This paper uses rank correlation methods to construct MSTs from financial returns, finding them more stable and robust.
A large body of research into semantic textual similarity has focused on constructing state-of-the-art embeddings using sophisticated modelling, careful choice of learning signals and many clever tricks. By contrast, little attention has been devoted to similarity measures between these embeddings, with cosine similari…
Correlation matrices play a key role in many multivariate methods (e.g., graphical model estimation and factor analysis). The current state-of-the-art in estimating large correlation matrices focuses on the use of Pearson's sample correlation matrix. Although Pearson's sample correlation matrix enjoys various good prop…
Enhanced metrics for multiclass classification improve on existing methods.
Stock price movement reveals complex interdependencies that are simplified through linear correlation.
The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over , and it is the result of the non-Pearson type auto-correlations in the index. These non-Pearson type correlations can be viewed also as functionally dependent daily volatilities, ext…
There has been an increasing interest in testing the equality of large Pearson's correlation matrices. However, in many applications it is more important to test the equality of large rank-based correlation matrices since they are more robust to outliers and nonlinearity. Unlike the Pearson's case, testing the equality…
The paper studies statistical properties of CART regression trees.
Network analysis reveals changing cryptocurrency market leaders.
Investigation of the market graph attracts a growing attention in market network analysis. One of the important problem connected with market graph is to identify it from observations. Traditional way for the market graph identification is to use a simple procedure based on statistical estimations of Pearson correlatio…
Paper establishes a formula linking model performance to insurance loss ratio.
This paper considers an often forgotten relationship, the time delay between a cause and its effect in economies and finance. We treat the case of Foreign Direct Investment (FDI) and economic growth, - measured through a country Gross Domestic Product (GDP). The pertinent data refers to 43 countries, over 1970-2015, - …
Method preserves correlations in synthetic data.
The Pearson distance between a pair of random variables with correlation , namely, 1-, has gained widespread use, particularly for clustering, in areas such as gene expression analysis, brain imaging and cyber security. In all these applications it is implicitly assumed/required that the distance …
Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both of those analyses are concentrated only on Pearson's correlation coefficient and thus intraday lead-lag relationships associated wi…
In data science, it is often required to estimate dependencies between different data sources. These dependencies are typically calculated using Pearson's correlation, distance correlation, and/or mutual information. However, none of these measures satisfy all the Granger's axioms for an "ideal measure". One such ideal…
Study measures uncertainty in MST identification across different correlation networks.
The study uses DCC for financial market analysis, revealing hidden correlations.
PANDA predicts protein binding affinity changes from sequences, outperforming existing methods.
Causal analysis predicts market trends using time series data.
We analyze the spectral properties of correlation matrices between distinct statistical systems. Such matrices are intrinsically non symmetric, and lend themselves to extend the spectral analyses usually performed on standard Pearson correlation matrices to the realm of complex eigenvalues. We employ some recent random…
ChatGPT predicts stock market movements based on Bloomberg headlines, showing a positive correlation over short to medium terms.
Bootstrapping regularizes singular correlation matrices, reducing the need for complex regularization.
We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provide empirical evidence against the well-established common knowledge that using longer price time series provides better, …
New bounds for Neyman-Pearson region using -divergences.
Empirical evidence is given for a significant difference in the collective trend of the share prices during the stock index rising and falling periods. Data on the Dow Jones Industrial Average and its stock components are studied between 1991 and 2008. Pearson-type correlations are computed between the stocks and avera…
Study examines NFT market dynamics using correlation and noise analysis.
Cryptocurrencies show stable prices as a medium of exchange.
A new method reduces feature screening cost from to .
Developers of text-to-speech synthesizers (TTS) often make use of human raters to assess the quality of synthesized speech. We demonstrate that we can model human raters' mean opinion scores (MOS) of synthesized speech using a deep recurrent neural network whose inputs consist solely of a raw waveform. Our best models …
The paper reduces the complexity of financial market correlation matrices to a 2x2 matrix.
The paper assesses dimensionality reduction for cryptocurrency link prediction.
R-PLS improves analysis of brain functional connectivity matrices.
Adapts Neyman-Pearson classification for both source and target distribution shifts.
The paper examines how small positive dependence can lead to correlated tail risks.
This paper examines autocorrelation in major crypto markets, finding persistent correlations on short time frames.
We examine the efficiency of the Asymmetric Power ARCH (APARCH) model in the case where the residuals follow the standardized Pearson type IV distribution. The model is tested with a variety of loss functions and the efficiency is examined via application of several statistical tests and risk measures. The results indi…
We consider the problem of identifying universal low-dimensional features from high-dimensional data for inference tasks in settings involving learning. For such problems, we introduce natural notions of universality and we show a local equivalence among them. Our analysis is naturally expressed via information geometr…