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.
Euler and Delisle developed a map method for the Russian Empire, which is now outperformed by the Lambert conformal conical projection.
Systemic risks of default contagion in the Russian interbank market are investigated. The analysis is based on considering the bow-tie structure of the weighted oriented graph describing the structure of the interbank loans. A probabilistic model of interbank contagion explicitly taking into account the empirical bow-t…
The model is aimed to discriminate the 'good' and the 'bad' companies in Russian corporate sector based on their financial statements data based on Russian Accounting Standards. The data sample consists of 126 Russian public companies- issuers of Ruble bonds which represent about 36% of total number of corporate bonds …
Systemic risks characterizing the Russian overnight interbank market from the network point of view are analyzed.
In this paper, we present Russian language datasets in the digital humanities domain for the evaluation of word embedding techniques or similar language modeling and feature learning algorithms. The datasets are split into two task types, word intrusion and word analogy, and contain 31362 task units in total. The chara…
Using a two-point correlation technique, we study emergence of market efficiency in the emergent Russian futures market by focusing on lagged correlations. The correlation strength of leader-follower effects in the lagged inter-market correlations on the hourly time frame is seen to be significant initially (2009-2011)…
We present RUSLAN -- a new open Russian spoken language corpus for the text-to-speech task. RUSLAN contains 22200 audio samples with text annotations -- more than 31 hours of high-quality speech of one person -- being the largest annotated Russian corpus in terms of speech duration for a single speaker. We trained an e…
Modelling of contagion in interbank networks is discussed. A model taking into account bow-tie structure and dissasortativity of interbank networks is developed. The model is shown to provide a good quantitative description of the Russian interbank market. Detailed arguments favoring the non-percolative nature of conta…
Study uses high-frequency data to predict ruble depreciation during crisis.
We give a simple explicit algorithm for building multi-factor risk models. It dramatically reduces the number of or altogether eliminates the risk factors for which the factor covariance matrix needs to be computed. This is achieved via a nested "Russian-doll" embedding: the factor covariance matrix itself is modeled v…
Tractrices of planar curves, in particular, a family of tractrices of a circle, are considered. Some new observations (including arc-length parametrization, Chezaro equation) and corrected reference informations are provided. The article is written in Russian.
Oil prices affect Russian banks' stability, with negative impacts from decreases.
This is an English translation of the following paper, published several years ago: Nikonorov Yu.G. On the geodesic diameter of surfaces with involutive isometry (Russian), Tr. Rubtsovsk. Ind. Inst., 2001, V. 9, 62-65, Zbl. 1015.53041. All inserted footnotes provide additional information related to the mentioned probl…
This study improves stock price prediction using multimodal data.
Being one of the most important factors of economic growth of the country, innovations became one of the key vectors in Russian economic policy. In this field technology parks are one of the most effective instruments which can provide growth of innovative activity in sectors, regions and economies. In this paper, we m…
BayesSum improves Bayesian quadrature for discrete domains, requiring fewer samples.
The main results of the paper are Proposition 3 and 4 which provide an effective way to construct minimal hypersurfaces in a Euclidean space. We demonstrate our technique by several new examples. This note is English translation of an earlier draft version written (in Russian) in September 1999. The final version of th…
We use data on wealth of the richest persons taken from the "rich lists" provided by business magazines like Forbes to verify if upper tails of wealth distributions follow, as often claimed, a power-law behaviour. The data sets used cover the world's richest persons over 1996-2012, the richest Americans over 1988-2012,…
Research characterizes critical points of scalar curvature functionals.
This note is the updated outline of the article "Interpolational properties of planar spiral curves", Fund. and Applied Math., 2001, Vol.7, N.2, 441-463, published in Russian. The main result establishes boundary regions for spiral and piecewise spiral splines, matching given data. The width of such region can serve as…
A membrane technique, in which the symplectic and Ricci forms are integrated over surfaces in a complexification of the phase space, as well a ``creation" connection with zero curvature over lagrangian submanifolds, is used to obtain a unified quantization including a noncommutative algebra of functions, its representa…
Study examines how war impacts financial entropy.
In this paper we propose two new algorithms based on biclustering analysis, which can be used at the basis of a recommender system for educational orientation of Russian School graduates. The first algorithm was designed to help students make a choice between different university faculties when some of their preference…
This book is expository and is in Russian. It is shown how in the course of solution of interesting geometric problems (close to applications) naturally appear main notions of algebraic topology (homology groups, obstructions and invariants, characteristic classes). Thus main ideas of algebraic topology are presented w…
In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the risky asset returns are serially correlated. No assumptions about the correlation structure between different time points or about the dis…
Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linked with strong correlations between them. This means that markets tend to behave as one during great crashes. In order to do so, we investiga…
This book is expository and is in Russian (sample English translation of two pages is given). It is shown how in the course of solution of interesting geometric problems (close to applications) naturally appear different notions of curvature, which distinguish given geometry from the 'ordinary' one. Direct elementary d…
This note is purely expository. A subset N of the plane is affine ambient homogeneous if for each x,y in N there exists an affine transformation taking x to y and N to itself. The result of D. Repovs, E. V. Scepin and the author on such subsets is presented, together with discussion, corollaries and generalizations. At…
We give a complete algorithm and source code for constructing general multifactor risk models (for equities) via any combination of style factors, principal components (betas) and/or industry factors. For short horizons we employ the Russian-doll risk model construction to obtain a nonsingular factor covariance matrix.…
A large number of statistical models are "doubly-intractable": the likelihood normalising term, which is a function of the model parameters, is intractable, as well as the marginal likelihood (model evidence). This means that standard inference techniques to sample from the posterior, such as Markov chain Monte Carlo (…
Study finds common poetic themes across languages over time.
Since the 2007-2009 financial crisis, substantial academic effort has been dedicated to improving our understanding of interbank lending networks (ILNs). Because of data limitations or by choice, the literature largely lacks multiple loan maturities. We employ a complete interbank loan contract dataset to investigate w…
Study explains Zipf's law using geometric mechanisms from a finite alphabet.
Log-periodic oscillations have been used to predict price trends and crashes on financial markets. So far two types of log-periodic oscillations have been associated with the real markets. The first type are oscillations which accompany a rising market and which ends in a crash. The second type oscillations, called "an…
Statistical and multiscaling characteristics of WTI Crude Oil prices expressed in US dollar in relation to the most traded currencies as well as to gold futures and to the E-mini SP500 futures prices on 5 min intra-day recordings in the period January 2012 - December 2017 are studied. It is shown that in most of th…
We study intersection of two polyhedral spheres without self-intersections in 3-space. We find necessary and sufficient conditions on sequences x = x_1,x_2,...,x_n, y = y_1,y_2,...,y_n of positive integers, for existence of 2-dimensional polyhedra f,g in R^3 homeomorphic to the sphere and such that * f-g has n connecte…
This paper is an updated version of a survey on projective configurations of subspaces in general position. The preceding version was published in Russian in 1989 and in English in 1990 (in Leningrad Math. J.) opening a new section ``Light reading for the professional''. The paper is written in the form of introduction…
The dynamical behavior of the currency exchange rate after its large-scale catastrophe is discussed through a case study of the rate of Russian rubles to US dollars after its crash in 2014. It is shown that, similarly to the case of the stock market crash, the relaxation is characterized by a power law, which is in ana…
We propose a mathematical procedure for finding informed traders in ultra-high frequency trading. We wrote it as Vector ARMA and found condition of its stationarity. For the price exposure complied with ARMA(1,2) we proved that underlying asset price difference can be derived as ARMA(1,1) process. For validation of the…
In this work, we consider the optimal portfolio selection problem under hard constraints on trading volume amounts when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated geometric Brownian motion. The states of Markov chain are interpreted as the states of an …
Investor attention predicts global equity market volatility during Ukraine invasion.
We give a complete algorithm and source code for constructing what we refer to as heterotic risk models (for equities), which combine: i) granularity of an industry classification; ii) diagonality of the principal component factor covariance matrix for any sub-cluster of stocks; and iii) dramatic reduction of the facto…
Study analyzes market co-movements in critical mineral investments using change point detection and cross-sectional analysis.
Model predicts volatility and dependencies in EUA and energy prices.
The article presents a method that improves the quality of classification of objects described by a combination of known and unknown features. The method is based on modernized Informational Neurobayesian Approach with consideration of unknown features. The proposed method was developed and trained on 1500 text queries…
We describe a simple neural language model that relies only on character-level inputs. Predictions are still made at the word-level. Our model employs a convolutional neural network (CNN) and a highway network over characters, whose output is given to a long short-term memory (LSTM) recurrent neural network language mo…
Financial markets are systems with the complex behavior, that can be hardly analyzed by means of linear methods. Recurrence Quantification Analysis (RQA) is a nonlinear methodology, which is able to work with the nonstationary and short data series. Thus, we apply RQA for the studying of the critical events on financia…
A growing number of empirical studies suggest that negative advertising is effective in campaigning, while the mechanisms are rarely mentioned. With the scandal of Cambridge Analytica and Russian intervention behind the Brexit and the 2016 presidential election, people have become aware of the political ads on social m…