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 paper extends Pearson correlation to multi-variables, useful for noise measurement and feature selection.
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…
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…
Model predicts epileptic seizures with high accuracy using EEG signals.
This study uses local Gaussian correlation to analyze stock return tails, revealing more sensitive network properties.
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…
Enhanced metrics for multiclass classification improve on existing methods.
This paper uses rank correlation methods to construct MSTs from financial returns, finding them more stable and robust.
The study uses DCC for financial market analysis, revealing hidden correlations.
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, - …
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…
The article generalizes Pearson correlation to Riemannian manifolds.
Reduces selection bias in estimating individual treatment effects.
Financial markets analyzed by reducing correlation matrix complexity.
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, …
Study examines NFT market dynamics using correlation and noise analysis.
PANDA predicts protein binding affinity changes from sequences, outperforming existing methods.
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…
The detrended cross-correlation coefficient has recently been proposed to quantify the strength of cross-correlations on different temporal scales in bivariate, non-stationary time series. It is based on the detrended cross-correlation and detrended fluctuation analyses (DCCA and DFA, respectively) and c…
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…
New RDPC dissimilarity measure improves time series clustering.
New bounds for Neyman-Pearson region using -divergences.
This paper examines autocorrelation in major crypto markets, finding persistent correlations on short time frames.
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…
The paper assesses dimensionality reduction for cryptocurrency link prediction.
Develops methods to analyze feature-outcome associations in subpopulations.
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…
Reshef & Reshef recently published a paper in which they present a method called the Maximal Information Coefficient (MIC) that can detect all forms of statistical dependence between pairs of variables as sample size goes to infinity. While this method has been praised by some, it has also been criticized for its lack …
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.
This study assesses the reproducibility of 1H-MRS scans across different vendors and sessions.
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.
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 …
Paper proposes a new descriptor for early trajectory characterization in matrix iterations.
Understanding the phenotypic drug response on cancer cell lines plays a vital rule in anti-cancer drug discovery and re-purposing. The Genomics of Drug Sensitivity in Cancer (GDSC) database provides open data for researchers in phenotypic screening to test their models and methods. Previously, most research in these ar…
Proposes a method to calibrate data for more accurate linear correlation testing.
Novel method prices call options using Pearson diffusion processes.
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.
In this paper, we design an integrated algorithm to evaluate the sentiment of Chinese market. Firstly, with the help of the web browser automation, we crawl a lot of news and comments from several influential financial websites automatically. Secondly, we use techniques of Natural Language Processing(NLP) under Chinese…
Financial data has been extensively studied for correlations using Pearson's cross-correlation coefficient ρ as the point of departure. We employ an estimator based on recurrence plots --- the Correlation of Probability of Recurrence (CPR) --- to analyze connections between nine stock indices spread worldwide. We sugge…
Traditionally, multi-layer neural networks use dot product between the output vector of previous layer and the incoming weight vector as the input to activation function. The result of dot product is unbounded, thus increases the risk of large variance. Large variance of neuron makes the model sensitive to the change o…
A deep neural network detects sleep events in polysomnograms with high accuracy.
In this paper we use wavelet concepts to show that correlation coefficient between two financial data's is not constant but varies with scale from high correlation value to strongly anti-correlation value This studies is important because correlation coefficient is used to quantify degree of independence between two va…