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.
Study improves Hayashi-Yoshida estimator for high-dimensional stock covolatility.
We consider the estimation of integrated covariance (ICV) matrices of high dimensional diffusion processes based on high frequency observations. We start by studying the most commonly used estimator, the realized covariance (RCV) matrix. We show that in the high dimensional case when the dimension and the observati…
Criterion for realizing groups on Enriques manifolds.
Bayesian realized EGARCH models improve tail risk forecasting.
The realized GARCH framework is extended to incorporate the two-sided Weibull distribution, for the purpose of volatility and tail risk forecasting in a financial time series. Further, the realized range, as a competitor for realized variance or daily returns, is employed in the realized GARCH framework. Further, sub-s…
We study realizations of Lie algebras by vector fields. A correspondence between classification of transitive local realizations and classification of subalgebras is generalized to the case of regular local realizations. A reasonable classification problem for general realizations is rigorously formulated and an algori…
A new model framework called Realized Conditional Autoregressive Expectile (Realized-CARE) is proposed, through incorporating a measurement equation into the conventional CARE model, in a manner analogous to the Realized-GARCH model. Competing realized measures (e.g. Realized Variance and Realized Range) are employed a…
The paper examines circle graphs of Gauss diagrams and finds counterexamples to previous descriptions.
VOLARE provides standardized realized volatility measures from financial data.
Incorrect parity-based descriptions of realizable Gauss diagrams found, but bipartite graphs provide a valid approach.
The abstract discusses convergent realizations of Lie subalgebras in control theory.
We give a characterization of conformal classes realizing a compact manifold's Yamabe invariant. This characterization is the analogue of an observation of Nadirashvili for metrics realizing the maximal first eigenvalue, and of Fraser and Schoen for metrics realizing the maximal first Steklov eigenvalue.
New bandit algorithm works without realizability assumption.
Realized moments of higher order computed from intraday returns are introduced in recent years. The literature indicates that realized skewness is an important factor in explaining future asset returns. However, the literature mainly focuses on the whole market and on the monthly or weekly scale. In this paper, we cond…
Study examines asymmetry impacts on Japanese stock market volatility modeling and forecasting.
We study Legendrian and transverse realizations of the negative torus knots in all contact structures on the -sphere. We give a complete classification of the strongly non-loose transverse realizations and the strongly non-loose Legendrian realizations with the Thurston-Bennequin invariant smaller than …
A new model forecasts financial risks using multiple realized measures.
Solves asymptotic -realization problem for curves.
We study distributions of realized variance (squared realized volatility) and squared implied volatility, as represented by VIX and VXO indices. We find that Generalized Beta distribution provide the best fits. These fits are much more accurate for realized variance than for squared VIX and VXO -- possibly another indi…
This paper considers the power of deep neural networks (deep nets for short) in realizing data features. Based on refined covering number estimates, we find that, to realize some complex data features, deep nets can improve the performances of shallow neural networks (shallow nets for short) without requiring additiona…
We undertake a systematic comparison between implied volatility, as represented by VIX (new methodology) and VXO (old methodology), and realized volatility. We compare visually and statistically distributions of realized and implied variance (volatility squared) and study the distribution of their ratio. We find that t…
Study algebraic obstructions to knot-like complex realizability.
We analyze realized volatilities constructed using high-frequency stock data on the Tokyo Stock Exchange. In order to avoid non-trading hours issue in volatility calculations we define two realized volatilities calculated separately in the two trading sessions of the Tokyo Stock Exchange, i.e. morning and afternoon ses…
Study compares adaptive vs fixed query learning methods.
Researchers solve Nielsen Realization problems for K3 surfaces in various categories.
Investigates conditions for GKM fiber bundles and realizability of fiber bundles of GKM graphs.
Bayesian framework forecasts financial tail risks using realized volatility and nonlinear thresholds.
We introduce the notion of partial presimplicial set and construct its geometric realization. We show that any semiadequate diagram yields a partial presimplicial set leading to a geometric realization of the almost-extreme Khovanov homology of the diagram. We give a concrete formula for the homotopy type of this geome…
Groups of homotopy equivalences of graphs help realize compact subgroups.
Dehn twists on K3-type 4-manifolds are not homotopy coherently Nielsen realizable.
Abstraction and realization are bilateral processes that are key in deriving intelligence and creativity. In many domains, the two processes are approached through rules: high-level principles that reveal invariances within similar yet diverse examples. Under a probabilistic setting for discrete input spaces, we focus …
A new perspective on portfolio selection using realized returns.
Realized GARCH model explains VIX and VRP dynamics.
A new realized conditional autoregressive Value-at-Risk (VaR) framework is proposed, through incorporating a measurement equation into the original quantile regression model. The framework is further extended by employing various Expected Shortfall (ES) components, to jointly estimate and forecast VaR and ES. The measu…
A realization of a virtual link diagram is obtained by choosing over/under markings for each virtual crossing. Any realization can also be obtained from some representation of the virtual link. (A representation of a virtual link is a link diagram on an oriented 2-dimensional surface.) We prove that if a minimal genus …
This paper intends to give a brief survey of the developments on realization of surfaces into in the last decade. As far as the local isometric embedding is concerned, some results related to the Schlaffli-Yau conjecture are reviewed. As for the realization of surfaces in the large, some developments on Weyl pro…
New active learning framework for multiclass classification beyond realizability assumption.
Improved multi-group learning with group-realizable concepts.
Solves Nielsen realization problem for hyper-Kähler manifolds.
Prove realizability of genus-0 branch data for tetrahedral coverings of the sphere.
We prove that under certain combinatorial conditions, the realization spaces of line arrangements on the complex projective plane are connected. We also give several examples of arrangements with eight, nine and ten lines which have disconnected realization spaces.
We study virtual isotopy sequences with classical initial and final diagrams, asking when such a sequence can be changed into a classical isotopy sequence by replacing virtual crossings with classical crossings. An example of a sequence for which no such virtual crossing realization exists is given. A conjecture on con…
We study geometric realization questions of curvature in the affine, Riemannian, almost Hermitian, almost para Hermitian, almost hyper Hermitian, almost hyper para Hermitian, Hermitian, and para Hermitian settings. We also express questions in Ivanov-Petrova geometry, Osserman geometry, and curvature homogeneity in ter…
We show that every Kaehler algebraic curvature tensor is geometrically realizable by a Kaehler manifold of constant scalar curvature. We also show that every para-Kaehler algebraic curvature tensor is geometrically realizable by a para-Kaehler manifold of constant scalar curvature
We calculate realized volatility of the Nikkei Stock Average (Nikkei225) Index on the Tokyo Stock Exchange and investigate the return dynamics. To avoid the bias on the realized volatility from the non-trading hours issue we calculate realized volatility separately in the two trading sessions, i.e. morning and afternoo…
The paper provides conditions for realizing graphs and polytopes with specified edge lengths.
New combinatorial framework for geometric realizations of subword complexes.
We show that every Kaehler affine curvature model can be realized geometrically.