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.
A mathematical paradox shows secant planes don't always form a tangent plane, but some analogies hold with a specific vector product.
The paradox of the energy transition is that the low marginal costs of new renewable energy sources (RES) drag electricity prices down and discourage investments in flexible productions that are needed to compensate for the lack of dispatchability of the new RES. The energy transition thus discourages the investments t…
GenAI adoption paradoxically lowers ROE for U.S. banks, with spillovers but systemic risk concerns.
The famous Banach-Tarski paradox claims that the three dimensional rotation group acts on the two dimensional sphere paradoxically. In this paper, we generalize their result to show that the classical group acts on the flag manifold paradoxically.
New pricing theory solves St. Petersburg paradox.
Paper revisits five IF paradoxes using differential geometry.
Karl Menger's 1934 paper on the St. Petersburg paradox contains mathematical errors that invalidate his conclusion that unbounded utility functions, specifically Bernoulli's logarithmic utility, fail to resolve modified versions of the St. Petersburg paradox.
This paper develops a cohomological hierarchy for bistable visual paradoxes.
Siegel's paradox is a fundamental question in international finance about exchange rates for futures contracts and has puzzled many scholars for over forty years. The unorthodox approach presented in this article leads to an arbitrage-free solution which is invariant under currency re-denominations and is symmetric, as…
In this article, I will present a paradox whose purpose is to draw your attention to an important topic in finance, concerning the non-independence of the financial returns (non-ergodic hypothesis). In this paradox, we have two people sitting at a table separated by a black sheet so that they cannot see each other and …
The Allais and Ellsberg paradoxes show that the expected utility hypothesis and Savage's Sure-Thing Principle are violated in real life decisions. The popular explanation in terms of 'ambiguity aversion' is not completely accepted. On the other hand, we have recently introduced a notion of 'contextual risk' to mathemat…
Thompson Sampling shows polynomial regret for combinatorial semi-bandits with subgaussian rewards.
A resolution of the St. Petersburg paradox is presented. In contrast to the standard resolution, utility is not required. Instead, the time-average performance of the lottery is computed. The final result can be phrased mathematically identically to Daniel Bernoulli's resolution, which uses logarithmic utility, but is …
The paper tackles individualized decision-making under unmeasured confounding, providing a novel minimax solution and a paradox.
We consider strategies of investments into options and diffusion market model. It is shown that there exists a correct proportion between "put" and "call" in the portfolio such that the average gain is almost always positive for a generic Black and Scholes model. This gain is zero if and only if the market price of ris…
New methods resolve conflicting treatment effect estimates in health tech assessments.
Partial covariance factorizes in path diagrams, simplifying analysis.
Buying or selling assets leads to transaction costs for the investor. On one hand, it is well know to all market practionaires that the transaction costs are positive on average and present therefore systematic loss. On the other hand, for every trade, there is a buy side and a sell side, the total amount of asset and …
Researchers solved a geometry paradox for creased tubes.
Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions are considered. The solution of the paradox lies in the non-constant nature of re…
In this article we will propose a completely new point of view for solving one of the most important paradoxes concerning game theory. The solution develop shifts the focus from the result to the strategy s ability to operate in a cognitive way by exploiting useful information about the system. In order to determine fr…
Prior work finds a diversity paradox: diversity breeds innovation, and yet, underrepresented groups that diversify organizations have less successful careers within them. Does the diversity paradox hold for scientists as well? We study this by utilizing a near-population of ~1.2 million US doctoral recipients from 1977…
This paper highlights the role of risk neutral investors in generating endogenous bubbles in derivatives markets. We find that a market for derivatives, which has all the features of a perfect market except completeness and has some risk neutral investors, can exhibit extreme price movements which represent a violation…
This paper describes Simpson's paradox, and explains its serious implications for randomised control trials. In particular, we show that for any number of variables we can simulate the result of a controlled trial which uniformly points to one conclusion (such as 'drug is effective') for every possible combination of t…
We briefly review our recent studies on stochastic processes modelling internet on-line trading. We present a way to evaluate the average waiting time between the observation of the price in financial markets and the next price change, especially in an on-line foreign exchange trading service for individual customers v…
Osborne's paradox explained via Bayesian inference and superstatistics.
Simplified NFT games discussed with methods for extracting value.
New method uses correlation-ratio for transfer learning, improving target model inference.
Pachner move 3 ->3 deals with triangulations of four-dimensional manifolds. We present an algebraic relation corresponding in a natural way to this move and based, a bit paradoxically, on three-dimensional geometry.
The paper identifies conditions for trend reversal in classification tasks.
The influence of additional information on the decision making of agents, who are interacting members of a society, is analyzed within the mathematical framework based on the use of quantum probabilities. The introduction of social interactions, which influence the decisions of individual agents, leads to a generalizat…
The Giroux correspondence and the notion of a near force-free magnetic field are used to topologically characterize near force-free magnetic fields which describe a variety of physical processes, including plasma equilibrium. As a byproduct, the topological characterization of force-free magnetic fields associated with…
Paper proposes a new DR estimator for adaptive experiments with improved performance.
Introduces hierarchical uncertainty using U-sequences.
Aggregated variables can mask causal effects, turning unconfounded into confounded relations.
The 2008 financial crisis revealed banking consolidation paradoxically increased systemic fragility and global financial contagion with negligible spatial decay.
Study boundary actions of CAT(0) spaces and their -algebras.
Study analyzes neural network models to understand generalization performance.
The leverage effect-- the correlation between an asset's return and its volatility-- has played a key role in forecasting and understanding volatility and risk. While it is a long standing consensus that leverage effects exist and improve forecasts, empirical evidence paradoxically do not show that most individual stoc…
Paper uses bond pricing and convexity adjustments to explain herd immunity paradox.
We solve the paradox of score-based methods by minimizing path variance.
The market impact (MI) of Volume Weighted Average Price (VWAP) orders is a convex function of a trading rate, but most empirical estimates of transaction cost are concave functions. How is this possible? We show that isochronic (constant trading time) MI is slightly convex, and isochoric (constant trading volume) MI is…
The model of rational decision-making in most of economics and statistics is expected utility theory (EU) axiomatised by von Neumann and Morgenstern, Savage and others. This is less the case, however, in financial economics and mathematical finance, where investment decisions are commonly based on the methods of mean-v…
We introduce a quantitative approach to comparative statics that allows to bound the maximum effect of an exogenous parameter change on a system's equilibrium. The motivation for this approach is a well known paradox in multimarket Cournot competition, where a positive price shock on a monopoly market may actually redu…
We present a simple and general result that the sign of the variations or increments of uncorrelated times series are predictable with a remarkably high success probability of 75% for symmetric sign distributions. The origin of this paradoxical result is explained in details. We also present some tests on synthetic, fi…
The paper explains why estimating a history-dependent policy can reduce MSE in reinforcement learning.
A framework isolates and learns approximately shared features for better domain adaptation.
New causal versions of MaxEnt and PIR avoid paradoxical probability updates.