arXiv research

Study optimizes portfolio to minimize relative drawdown duration, penalizing unfavorable performance states.

New method constructs relative invariants for group actions on extended manifolds.

Study space-like and time-like surfaces in Robertson-Walker space-times with positive nullity.

Solves relative isoperimetric problem for cubes, identifying specific minimizers.

Study time-inconsistent portfolio optimization for competitive agents with relative performance criteria.

Paper solves PDEs for optimal investment strategies in volatile markets.

Extends specific relative entropy to multidimensional continuous martingales.

Time dilation $\frac{1}{\sqrt{1-v^2}}$ and relative velocity $v$ are observationally indistinguishable in the special theory of relativity, a duality that carries over into the general theory under Fermi coordinates along a curve (in coordinate-independent language, in the tangent Minkowski space along the curve). For …

In his 2011 work, Maas has shown that the law of any time-reversible continuous-time Markov chain with finite state space evolves like a gradient flow of the relative entropy with respect to its stationary distribution. In this work we show the converse to the above by showing that if the relative law of a Markov chain…

Long-term relative arbitrage exists in markets where the excess growth rate of the market portfolio is bounded away from zero. Here it is shown that under a time-homogeneity hypothesis this condition will also imply the existence of relative arbitrage over arbitrarily short intervals.

We decompose returns for portfolios of bottom-ranked, lower-priced assets relative to the market into rank crossovers and changes in the relative price of those bottom-ranked assets. This decomposition is general and consistent with virtually any asset pricing model. Crossovers measure changes in rank and are smoothly …

There are eight possible Pin groups that can be used to describe the transformation behaviour of fermions under parity and time reversal. We show that only two of these are compatible with general relativity, in the sense that the configuration space of fermions coupled to gravity transforms appropriately under the spa…

We model GitHub interactions as a temporal knowledge graph for software engineering questions.

Study of portfolio management under relative performance concerns using mean field games.

Irrespective of local conditions imposed on the metric, any extendible spacetime U has a maximal extension containing no closed causal curves outside the chronological past of U. We prove this fact and interpret it as impossibility (in classical general relativity) of the time machines, insofar as the latter are define…

The CUR matrix decomposition is an important extension of Nyström approximation to a general matrix. It approximates any data matrix in terms of a small number of its columns and rows. In this paper we propose a novel randomized CUR algorithm with an expected relative-error bound. The proposed algorithm has the advanta…

Research into time series classification has tended to focus on the case of series of uniform length. However, it is common for real-world time series data to have unequal lengths. Differing time series lengths may arise from a number of fundamentally different mechanisms. In this work, we identify and evaluate two cla…

A financial market is called "diverse" if no single stock is ever allowed to dominate the entire market in terms of relative capitalization. In the context of the standard Ito-process model initiated by Samuelson (1965) we formulate this property (and the allied, successively weaker notions of "weak diversity" and "asy…

The paper finds the shortest time to exploit arbitrage in multi-stock markets.

Study shows uniform-time chaos propagation in mean field Langevin dynamics.

Game theory model shows optimal investment strategy for wealth growth.

This paper analyzes how multiple investors can exploit relative arbitrage opportunities.

MuSiCNet tackles irregularly sampled multivariate time series by treating them as a hierarchy of relatively regular series.

Embeds flag manifolds into classical ones, proving rigidity in Kähler geometry.

This paper studies how relative performance concerns affect stock prices in a tree-like market model.

The goal of the paper is to give an optimal transport formulation of the full Einstein equations of general relativity, linking the (Ricci) curvature of a space-time with the cosmological constant and the energy-momentum tensor. Such an optimal transport formulation is in terms of convexity/concavity properties of the …

The objective of change-point detection is to discover abrupt property changes lying behind time-series data. In this paper, we present a novel statistical change-point detection algorithm based on non-parametric divergence estimation between time-series samples from two retrospective segments. Our method uses the rela…

Study a relative aspherical conjecture and prove 3-manifold obstruction to positive scalar curvature.

These notions in the title are of fundamental importance in any branch of physics. However, there have been great difficulties in finding physically acceptable definitions of them in general relativity since Einstein's time. I shall explain these difficulties and progresses that have been made. In particular, I shall i…

New methods estimate survival functions with time-varying covariates.

Study on heat content for submanifolds in sub-Riemannian geometry.

Survey of Fermat principle in general relativity and beyond.

Generalizes energy-momentum method for non-autonomous Hamiltonian systems.

By analysing the restrictions that ensure the existence of capital market equilibrium, we show that the coefficient of relative risk aversion and the subjective discount factor cannot be high simultaneously as they are supposed to be to make the standard asset pricing consistent with financial stylised facts.

Study on stochastic covariant derivatives in curved space-time.

For right-angled Coxeter groups $W_Γ$, we obtain a condition on $Γ$ that is necessary and sufficient to ensure that $W_Γ$ is thick and thus not relatively hyperbolic. We show that Coxeter groups which are not thick all admit canonical minimal relatively hyperbolic structures; further, we show that in such a structure, …

Given a finite honest time, we first show that the associated Azéma optional supermartingale can be expressed as the drawdown and the relative drawdown of some local optional supermartingales with continuous running supremum. The relative drawdown representation then allows us to provide a characterisation of finite ho…

Detects change points in time series focusing on specific components.

Unimodular classification of symmetric matrix map-germs.

Mathematical analysis of SNE and t-SNE for dimension reduction.

This handbook translates lead time analysis into R code.

Introduces RFI for assessing feature importance relative to any subset of features.

Music relies heavily on repetition to build structure and meaning. Self-reference occurs on multiple timescales, from motifs to phrases to reusing of entire sections of music, such as in pieces with ABA structure. The Transformer (Vaswani et al., 2017), a sequence model based on self-attention, has achieved compelling …

Adaptive compute allocation improves model performance by prioritizing harder queries.

This paper introduces a relative model risk measure of a product priced with a given model, with respect to another reference model for which the market is assumed to be driven. This measure allows comparing products valued with different models (pricing hypothesis) under a homogeneous framework which allows concluding…

New formulation tackles arbitrage in volatile markets using eigenvalue bounds.

Kichenassamy's work spans theoretical physics, from relativity to applications.

The concept of an objective spatial direction in special relativity is investigated and theories assuming light-speed isotropy while accepting the existence of a privileged spatial direction are classified. A natural generalization of the proper time principle is introduced which makes it possible to devise experimenta…