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.
Enhances Ponzi scheme detection on Ethereum using time-aware metapaths.
Paper improves transaction-based Ponzi detection on Ethereum.
UK hosts 62.89% of all HYIPs, many registered as 'limited company'.
Solomon and Golo [1] have recently proposed an autocatalytic (self-reinforcing) feedback model which couples a macroscopic system parameter (the interest rate), a microscopic parameter that measures the distribution of the states of the individual agents (the number of firms in financial difficulty) and a peer-to-peer …
Model explains stock price bubbles through debt crises and financial crashes.
In Maslov (2003), a two level model of the occurrence of financial pyramid (bubbles) has been considered. We also considered the mathematical analogy of this model to Bose condensation. In the present paper, we explain why Ponzi schemes and bubbles result in a crisis in real economics. In Maslov (2005), the law of incr…
This paper investigates the relevance of the No-Ponzi game condition for public debt (i.e. the public debt growth rate has to be lower than the real interest rate, a necessary assumption for Ricardian equivalence) and of the transversality condition for the GDP growth rate (i.e. the GDP growth rate has to be lower than…
This paper explores crypto, blockchain, and Metaverse risks and opportunities.
Funds inflate their returns due to price pressure, leading to wealth reallocation and market crashes.
We study analytically and numerically Minsky instability as a combination of top-down, bottom-up and peer-to-peer positive feedback loops. The peer-to-peer interactions are represented by the links of a network formed by the connections between firms, contagion leading to avalanches and percolation phase transitions pr…
This paper investigates the investment behaviour of a large unregulated financial institution (FI) with CARA risk preferences. It shows how the FI optimizes its trading to account for market illiquidity using an extension of the Almgren-Chriss market impact model of multiple risky assets. This expected utility optimiza…
New probabilistic scheme combines deep learning with Runge-Kutta methods for solving PDEs.
It was proved in 1998 by Ben-David and Litman that a concept space has a sample compression scheme of size d if and only if every finite subspace has a sample compression scheme of size d. In the compactness theorem, measurability of the hypotheses of the created sample compression scheme is not guaranteed; at the same…
Study SL(2,C) character schemes for finitely generated groups.
A new method for computing image curvature efficiently and accurately.
Reduces multiclass and regression compression schemes to binary ones.
Study evaluates UK CDC schemes, finding intergenerational cross-subsidies in flat-accrual schemes and dynamic-accrual schemes can reduce but not eliminate them.
We study first-order optimization methods obtained by discretizing ordinary differential equations (ODEs) corresponding to Nesterov's accelerated gradient methods (NAGs) and Polyak's heavy-ball method. We consider three discretization schemes: an explicit Euler scheme, an implicit Euler scheme, and a symplectic scheme.…
Generalizes soft noncommutative schemes to flag varieties.
AES scheme improves Bermudan and American option pricing for Heston models.
In this paper we propose a new kind of high order numerical scheme for backward stochastic differential equations(BSDEs). Unlike the traditional -scheme, we reduce truncation errors by taking carefully for every subinterval according to the characteristics of integrands. We give error estimates of this nonlinear…
Defines hypercomplex analytic spaces and schemes.
We extend the scheme developed in B. Düring, A. Pitkin, "High-order compact finite difference scheme for option pricing in stochastic volatility jump models", 2019, to the so-called stochastic volatility with contemporaneous jumps (SVCJ) model, derived by Duffie, Pan and Singleton. The performance of the scheme is asse…
New schemes for SDEs on manifolds keep solutions close to the manifold.
Vector fields on schemes have flows if rings are finitely generated.
In this paper we propose a generalized numerical scheme for backward stochastic differential equations(BSDEs). The scheme is based on approximation of derivatives via Lagrange interpolation. By changing the distribution of sample points used for interpolation, one can get various numerical schemes with different stabil…
Extends JKO scheme for iterative algorithms with unknown parameters.
A new scheme for FBSDEs simplifies computation without Monte Carlo.
A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved using the martingale problem framework. Motivations for this scheme come typically from finance, especially for path-dependent option pricing. The scheme is simple…
Study on statistical estimation over Gaussian MAC, comparing analog and digital schemes.
Efficient simulation scheme for rough Heston model reduces computational cost.
Study finds risk management significantly improves pension scheme efficiency in Kenya.
In this paper, we propose an acceleration scheme for online memory-limited PCA methods. Our scheme converges to the first eigenvectors in a single data pass. We provide empirical convergence results of our scheme based on the spiked covariance model. Our scheme does not require any predefined parameters such as t…
In the present paper, we introduce a numerical scheme for the price of a barrier option when the price of the underlying follows a diffusion process. The numerical scheme is based on an extension of a static hedging formula of barrier options. For getting the static hedging formula, the underlying process needs to have…
The paper analyzes convergence of Riemannian SA schemes for stochastic optimization.
New CDC scheme avoids intergenerational subsidies, offering better outcomes.
We introduce (binary) Darboux transformation for general differential equation of the second order in two independent variables. We present a discrete version of the transformation for a 6-point difference scheme. The scheme is appropriate to solving a hyperbolic type initial-boundary value problem. We discuss several …
We present a new high-order compact scheme for the multi-dimensional Black-Scholes model with application to European Put options on a basket of two underlying assets. The scheme is second-order accurate in time and fourth-order accurate in space. Numerical examples confirm that a standard second-order finite differenc…
We develop high-order approximations for the Heston model.
A risk of small defined-benefit pension schemes is that there are too few members to eliminate idiosyncratic mortality risk, that is there are too few members to effectively pool mortality risk. This means that when there are few members in the scheme, there is an increased risk of the liability value deviating signifi…
We study the performance of the adaptive construction scheme for a Bayesian inference on the Quadratic GARCH model which introduces the asymmetry in time series dynamics. In the adaptive construction scheme a proposal density in the Metropolis-Hastings algorithm is constructed adaptively by changing the parameters of t…
In this paper, we are interested in the strong convergence properties of the Ninomiya-Victoir scheme which is known to exhibit weak convergence with order 2. We prove strong convergence with order . This study is aimed at analysing the use of this scheme either at each level or only at the finest level of a multil…
We introduce a simulation scheme for Brownian semistationary processes, which is based on discretizing the stochastic integral representation of the process in the time domain. We assume that the kernel function of the process is regularly varying at zero. The novel feature of the scheme is to approximate the kernel fu…
Paper develops a finite dimensional approximation scheme for Riemannian manifolds.
This paper studies parallelization schemes for stochastic Vector Quantization algorithms in order to obtain time speed-ups using distributed resources. We show that the most intuitive parallelization scheme does not lead to better performances than the sequential algorithm. Another distributed scheme is therefore intro…
Suppose that one particular block in a stochastic block model is of interest, but block labels are only observed for a few of the vertices in the network. Utilizing a graph realized from the model and the observed block labels, the vertex nomination task is to order the vertices with unobserved block labels into a rank…
Two new coding schemes improve the efficient communication of noisy data.
Paper proves convergence of measure transfer schemes using slicing and matching.