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 uses XAI to predict RFQ fulfillment accuracy.
Extends micro-price concept to RFQ markets for fair pricing.
Model analyzes RFQ markets using stochastic control to optimize dealer performance and inventory.
The paper analyzes RfQ processes on MD2C platforms using probabilistic models.
For the last two decades, most financial markets have undergone an evolution toward electronification. The market for corporate bonds is one of the last major financial markets to follow this unavoidable path. Traditionally quote-driven i.e., dealer-driven) rather than order-driven, the market for corporate bonds is st…
This paper improves bond market making by adjusting hit-ratios for client flow quality.
Given a finite cover f:tilde{G} \to G and an embedding of tilde{G} in the plane, Negami conjectures that G embeds in P^2. Negami proved this conjecture for regular covers. In this paper we define two properties (Propserties V and E), depending on the cover tilde{G} and its embedding into S^2, and generalize Negami's re…
Model analyzes OTC market making with reputation feedback.
Model analyzes how reputation feedback affects OTC market making.
Prediction models can harm patients even when accurate, leading to self-fulfilling prophecies.
A diffeomorphism of pseudo-Riemannian manifolds is called sectional curvature preserving if it preserves the sectional curvature of all the nondegenerate 2-planes. We consider a similar condition for degenerate 2-planes and we prove that the diffeomorphism is conformal (when the condition is fulfilled for weakly degene…
In most illiquid markets, there is no obvious proxy for the market price of an asset. The European corporate bond market is an archetypal example of such an illiquid market where mid-prices can only be estimated with a statistical model. In this OTC market, dealers / market makers only have access, indeed, to partial i…
Financial models shape markets through performativity, creating self-fulfilling prophecies.
We show that for every compact domain in a Euclidean space with d.c. (delta-convex) boundary there exists a unique Legendrian cycle such that the associated curvature measures fulfil a local version of the Gauss-Bonnet formula. This was known in dimensions two and three and was open in higher dimensions. In fact, we sh…
The paper improves Gaussian processes by adding sum constraints, enhancing prediction accuracy.
Framework for realistic insurance liability valuation.
We discuss a method to construct Dirac-harmonic maps developed by J.~Jost, X.~Mo and M.~Zhu in J.~Jost, X.~Mo, M.~Zhu, \emph{Some explicit constructions of Dirac-harmonic maps}, J. Geom. Phys. \textbf{59} (2009), no. 11, 1512--1527.The method uses harmonic spinors and twistor spinors, and mainly applies to Dirac-harmon…
We use some natural lifts defined on the cotangent bundle T*M of a Riemannian manifold (M,g) in order to construct an almost Hermitian structure (G,J) of diagonal type. The obtained almost complex structure J on T*M is integrable if and only if the base manifold has constant sectional curvature and the coefficients as …
Proposes a framework to adjust quotes for informational risk in markets with informed traders and price-revealing quotes.
This paper uses RL to optimize bid-ask spreads for illiquid corporate bonds.
We construct for an equivariant cohomology theory for proper equivariant CW-complexes an equivariant Chern character, provided that certain conditions about the coefficients are satisfied. These conditions are fulfilled if the coefficients of the equivariant cohomology theory possess a Mackey structure. Such a structur…
We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. By means of techniques borrowed from statistical physics we show that the correlation among bonds depends strongly on the maturity and bonds' price increments do not fulfill the random walk hyphoteses.
Having the right assortment of shipping boxes in the fulfillment warehouse to pack and ship customer's online orders is an indispensable and integral part of nowadays eCommerce business, as it will not only help maintain a profitable business but also create great experiences for customers. However, it is an extremely …
We show that the 2-jet bundle of local Riemannian metrics on an arbitrary differentiable manifold admits a section which pointwise fulfills the curvature relation sec(g)=a for any real number a. It follows by Gromov's h-principle for open, invariant differential relations that every noncompact differentiable manifold c…
The balance property is crucial for insurance pricing, ensuring total actuarial price equals loss. Maximum likelihood GLMs fulfill it, but Lindholm-Wüthrich suggests three methods, with constrained GLM being superior.
Ph.D. thesis on complex Brunn-Minkowski theory using Hilbert bundles.
We find sufficient conditions for the absence of harmonic spinors on spin manifolds constructed as cone bundles over a compact Kähler base. These conditions are fulfilled for certain perturbations of the Euclidean metric, and also for the generalized Taub-NUT metrics of Iwai-Katayama, thus proving a conjecture of…
We define a new kind of algebroid which fulfills a Leibniz rule, a Jacobi identity twisted by a 3-form with values in the kernel of the anchor map, and the twist is closed under a naturally occurring exterior covariant derivative. We give examples and define three kinds of cohomology two via realization as Q-struct…
Analyzes how financial network dependencies can lead to multiple equilibrium outcomes and optimal bailout strategies.
We consider the problem of maximizing the discounted utility of dividend payments of an insurance company whose reserves are modeled as a classical Cramér-Lundberg risk process. We investigate this optimization problem under the constraint that dividend rate is bounded. We prove that the value function fulfills the Ham…
We show that the Dirac operator on a spin manifold does not admit eigenspinors provided the metric has a certain asymptotic behaviour and is a warped product near infinity. These conditions on the metric are fulfilled in particular if the manifold is complete and carries a non-complete vector field which outside …
We present a simple order book mechanism that regulates an artificial financial market with self-organized criticality dynamics and fat tails of returns distribution. The model shows the role played by individual imitation in determining trading decisions, while fruitfully replicates typical aggregate market behavior a…
Novel meta-RL strategy improves efficiency in learning novel tasks.
We consider a modification of the covariance function in Gaussian processes to correctly account for known linear constraints. By modelling the target function as a transformation of an underlying function, the constraints are explicitly incorporated in the model such that they are guaranteed to be fulfilled by any sam…
This paper is devoted to the pricing of Barrier options by optimal quadratic quantization method. From a known useful representation of the premium of barrier options one deduces an algorithm similar to one used to estimate nonlinear filter using quadratic optimal functional quantization. Some numerical tests are fulfi…
We prove generalized lower Ricci bounds for Euclidean and spherical cones over compact Riemannian manifolds. These cones are regarded as complete metric measure spaces. We show that the Euclidean cone over an n-dimensional Riemannian manifold whose Ricci curvature is bounded from below by n-1 satisfies the curvature-di…
For arbitrary compact quantizable Kaehler manifolds it is shown how a natural formal deformation quantization (star product) can be obtained via Berezin-Toeplitz operators. Results on their semi-classical behaviour (their asymptotic expansion) due to Bordemann, Meinrenken and Schlichenmaier are used in an essential man…
Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market model to the valuation of perpetual American options: derivatives with no maturity that can be exercised at any time. Our approach leads to opt…
We prove that the classical set of moves for standard spines of 3-manifolds (i.e. the MP-move and the V-move) does not suffice to relate to each other any two standard skeleta of a 3-manifold with marked boundary. We also describe a condition on the 3-manifold with marked boundary that tells whether the generalised set…
This paper considers online convex optimization (OCO) problems - the paramount framework for online learning algorithm design. The loss function of learning task in OCO setting is based on streaming data so that OCO is a powerful tool to model large scale applications such as online recommender systems. Meanwhile, real…
Conventional SVM-based image coding methods are founded on independently restricting the distortion in every image coefficient at some particular image representation. Geometrically, this implies allowing arbitrary signal distortions in an -dimensional rectangle defined by the -insensitivity zone in eac…
We investigate geometric properties of indecomposable but non-irreducible Lorentzian manifolds, which are total spaces of circle bundles. We investigate under which conditions these manifolds are complete and give examples which fulfill the obtained conditions. In particular we investigate the Einstein equation for the…
In order to meet the diverse challenges in solving many real-world problems, an intelligent agent has to be able to dynamically construct a model of its environment. Objects facilitate the modular reuse of prior knowledge and the combinatorial construction of such models. In this work, we argue that dynamically bound f…
We analyze the dynamical properties of a tetrahedron transformation on the space of non-degenerate tetrahedra which can be identified with the non-compact globally symmetric -dimensional space $\mbox{Sl}(3,\mathbb{R}) / \mbox{So}(3,\mathbb{R})$. We establish the existence of a local attractor which coincides with th…
Develops a new method for optimizing with uncertain data.
Topological quantum computation with Fibonacci anyons relies on the possibility of efficiently generating unitary transformations upon pseudoparticles braiding. The crucial fact that such set of braids has a dense image in the unitary operations space is well known; in addition, the Solovay-Kitaev algorithm allows to a…
Unconstrained models learn physical symmetries effectively with simple data augmentation.
We develop the first Bayesian Optimization algorithm, BLOSSOM, which selects between multiple alternative acquisition functions and traditional local optimization at each step. This is combined with a novel stopping condition based on expected regret. This pairing allows us to obtain the best characteristics of both lo…