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.
Paper develops framework for valuing and assessing credit risk in renewable PPAs.
Deep hedging strategies for Green PPAs in electricity markets reduce risk.
Develops framework for valuing and assessing risk of renewable PPAs.
Survival analysis models predict economic convergence across Americas.
A new method for combining multiple data views in supervised learning.
A dynamic model of the product lifecycle of (nearly) homogeneous durables in polypoly markets is established. It describes the concurrent evolution of the unit sales and price of durable goods. The theory is based on the idea that the sales dynamics is determined by a meeting process of demanded with supplied product u…
An analytic model is presented that considers the evolution of a market of durable goods. The model suggests that after introduction goods spread always according to a Bass diffusion. However, this phase will be followed by a diffusion process for durable consumer goods governed by a variation-selection-reproduction me…
Foreign exchange markets show that currency units (= accounting or nominal price units) are variables. Technical and economic progress evidence that the consumer baskets (= purchasing power units or real price units) are also variables. In contrast, all physical measurement units are constants and either defined in the…
Signatures of universality are detected by comparing individual eigenvalue distributions and level spacings from financial covariance matrices to random matrix predictions. A chopping procedure is devised in order to produce a statistical ensemble of asset-price covariances from a single instance of financial data sets…
The DeepSurv model predicts purchase timing better than other survival models.
Ensemble learning is a powerful approach to construct a strong learner from multiple base learners. The most popular way to aggregate an ensemble of classifiers is majority voting, which assigns a sample to the class that most base classifiers vote for. However, improved performance can be obtained by assigning weights…
As video games attract more and more players, the major challenge for game studios is to retain them. We present a deep behavioral analysis of churn (game abandonment) and what we called "purchase churn" (the transition from paying to non-paying user). A series of churning behavior profiles are identified, which allows…
It is generally recognized that economical systems, and more in general complex systems, are characterized by power law distributions. Sometime, these distributions show a changing of the slope in the tail so that, more appropriately, they show a multi-power law behavior. We present a method to derive analytically a tw…
SmartDCA improves investment returns by adjusting purchases based on prices.
By exploiting standard facts about and supersymmetric Yang-Mills theory, the Donaldson invariants of four-manifolds that admit a Kahler metric can be computed. The results are in agreement with available mathematical computations, and provide a powerful check on the standard claims about supersymmetric Yang…
Solves a 60-year-old question on agreement measures in statistics.
The paper optimizes insurance purchases for financial goals.
We study the growth dynamics of the size of manufacturing firms considering competition and normal distribution of competency. We start with the fact that all components of the system struggle with each other for growth as happened in real competitive bussiness world. The detailed quantitative agreement of the theory w…
We empirically show the superiority of the equally weighted S\&P 500 portfolio over Sharpe's market capitalization weighted S\&P 500 portfolio. We proceed to consider the MaxMedian rule, a non-proprietary rule designed for the investor who wishes to do his/her own investing on a laptop with the purchase of only 20 stoc…
We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the investor and the market value the options by risk-neutral expectations but under diffe…
Recommender system, as an essential part of modern e-commerce, consists of two fundamental modules, namely Click-Through Rate (CTR) and Conversion Rate (CVR) prediction. While CVR has a direct impact on the purchasing volume, its prediction is well-known challenging due to the Sample Selection Bias (SSB) and Data Spars…
Investors pay for additional asset information based on utility maximization.
Recommending the right products is the central problem in recommender systems, but the right products should also be recommended at the right time to meet the demands of users, so as to maximize their values. Users' demands, implying strong purchase intents, can be the most useful way to promote products sales if well …
Distributions derived from non-extensive Tsallis statistics are closely connected with dynamics described by a nonlinear Fokker-Planck equation. The combination shows promise in describing stochastic processes with power-law distributions and superdiffusive dynamics. We investigate intra-day price changes in the S&P500…
Gradient boosting detects insider purchases predicting abnormal returns in microcap stocks.
Paper optimizes internal balancing of wind and hydropower to reduce intraday market volatility.
Optimal investment strategy with expert opinions in uncertain conditions.
Leverage is strongly related to liquidity in a market and lack of liquidity is considered a cause and/or consequence of the recent financial crisis. A repurchase agreement is a financial instrument where a security is sold simultaneously with an agreement to buy it back at a later date. Repurchase agreements (repos) ma…
The persistence phenomenon is studied in the Japanese financial market by using a novel mapping of the time evolution of the values of shares quoted on the Nikkei Index onto Ising spins. The method is applied to historical end of day data from the Japanese stock market during 2002. By studying the time dependence of th…
The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive positive and negative daily price changes, and test the dependence of the price impact…
In this research we study a finite horizon optimal purchasing problem for items with a mean reverting price process. Under this model a fixed amount of identical items are bought under a given deadline, with the objective of minimizing the cost of their purchasing price and associated holding cost. We prove that the op…
In this paper an econophysics model for the currency exchange operations with commission is proposed. With this purpose some analogies and similarities of the processes that take place in the frame of the electrochemical system made from electrodes sunk into a solution of electrolytes and the process of the currency ex…
We present a Bayesian framework for estimating the customer lifetime value (CLV) and the customer equity (CE) based on the purchasing behavior deducible from the market surveys on customer purchasing behavior. The proposed framework systematically addresses the challenges faced when the future value of customers is est…
We determine how an individual can use life insurance to meet a bequest goal. We assume that the individual's consumption is met by an income, such as a pension, life annuity, or Social Security. Then, we consider the wealth that the individual wants to devote towards heirs (separate from any wealth related to the afor…
Low redispatch prices boost green hydrogen production cost, encouraging electrolyzer siting.
Fine-tuning normalization layers can reconstruct smaller networks.
Online purchase decisions in organizations can go through a complex journey with multiple agents involved in the decision making process. Depending on the product being purchased, and the organizational structure, the process may involve employees who first conduct market research, and then influence decision makers wh…
We introduce a stochastic model to explain a double power-law distribution which exhibits two different Paretian behaviors in the upper and the lower tail and widely exists in social and economic systems. The model incorporates fitness consideration and noise fluctuation. We find that if the number of variables (e.g. t…
Study finds Indian mutual funds adjust cash holdings based on inflows, impacting stock purchases.
Toehold purchase, defined here as purchase of one share in a firm by an investor preparing a tender offer to acquire majority of shares in it, reduces by one the number of shares this investor needs for majority. In the paper we construct mathematical models for the toehold and no-toehold strategies and compare the exp…
We conduct an empirical study using the quantile-based correlation function to uncover the temporal dependencies in financial time series. The study uses intraday data for the S\&P 500 stocks from the New York Stock Exchange. After establishing an empirical overview we compare the quantile-based correlation function to…
This work introduces significativity indices for agreement values between classifiers.
We investigate the general problem of how to model the kinematics of stock prices without considering the dynamical causes of motion. We propose a stochastic process with long-range correlated absolute returns. We find that the model is able to reproduce the experimentally observed clustering, power law memory, fat tai…
The interactions of users and items in recommender system could be naturally modeled as a user-item bipartite graph. In recent years, we have witnessed an emerging research effort in exploring user-item graph for collaborative filtering methods. Nevertheless, the formation of user-item interactions typically arises fro…
Optimizes investment strategies for retirees with longevity risk.
The problem of maximizing (or minimizing) the agreement between clusterings, subject to given marginals, can be formally posed under a common framework for several agreement measures. Until now, it was possible to find its solution only through numerical algorithms. Here, an explicit solution is shown for the case wher…
SNAP improves robust computation by emphasizing trustworthy items and downweighting outliers.
We present a model of credit card profitability, assuming that the card-holder always pays the full outstanding balance. The motivation for the model is to calculate an optimal credit limit, which requires an expression for the expected outstanding balance. We derive its Laplace transform, assuming that purchases are m…