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 examines barriers to grid-connected battery systems in Spain, finding high cycle cost remains main obstacle.
Case study shows impact of co-optimizing energy and reserve for wind energy.
In this paper we extend the concept of Competitivity Graph to compare series of rankings with ties ({\em partial rankings}). We extend the usual method used to compute Kendall's coefficient for two partial rankings to the concept of evolutive Kendall's coefficient for a series of partial rankings. The theoretical frame…
Study on time-zero efficiency of European power derivatives markets using statistical tests and trading rules.
New L0 norm added to TDA for market analysis.
SpanishTinyRoBERTa distills large Spanish models into efficient question-answering models.
We present an analysis of the price impact associated with trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the time-dependent market response to trades by ind…
We perform a large-scale analysis of language diatopic variation using geotagged microblogging datasets. By collecting all Twitter messages written in Spanish over more than two years, we build a corpus from which a carefully selected list of concepts allows us to characterize Spanish varieties on a global scale. A clu…
The study compares VaR and ES models for tail risk of electricity futures, finding AR(1)-GARCH(1,1) with Student-t distribution best.
The understanding of complex social or economic systems is an important scientific challenge. Here we present a comprehensive study of the Spanish Stock Exchange showing that most financial firms trading in that market are characterized by a resulting strategy and can be classified in groups of firms with different spe…
We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We…
We propose a novel deep learning architecture suitable for the prediction of investor interest for a given asset in a given time frame. This architecture performs both investor clustering and modelling at the same time. We first verify its superior performance on a synthetic scenario inspired by real data and then appl…
Study on Spanish households' investment choices in housing, deposits, and stocks.
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…
This paper maps the large-scale variation of the Spanish language by employing a corpus based on geographically tagged Twitter messages. Lexical dialects are extracted from an analysis of variants of tens of concepts. The resulting maps show linguistic variation on an unprecedented scale across the globe. We discuss th…
This paper describes the participation of Amobee in the shared sentiment analysis task at SemEval 2018. We participated in all the English sub-tasks and the Spanish valence tasks. Our system consists of three parts: training task-specific word embeddings, training a model consisting of gated-recurrent-units (GRU) with …
The objective of this paper is to fill a gap in the literature on internationalization, in relation to the absence of objective and measurable performance indicators on the process of how firms sequentially enter external markets. To that end, this research develops a quantitative tool that can be used as a performance…
THieF improves day-ahead electricity price prediction accuracy by reconciling hourly and block forecasts.
New vine copula method forecasts portfolio risk measures robust to market downturns.
Author profiling is the characterization of an author through some key attributes such as gender, age, and language. In this paper, a RNN model with Attention (RNNwA) is proposed to predict the gender of a twitter user using their tweets. Both word level and tweet level attentions are utilized to learn 'where to look'.…
Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify and characterize hidden orders we fit hidden Markov models to the time series of the sign of the tick by tick inventory var…
Novel approach predicts long-term seasonal component of electricity prices for improved forecasting.
The real estate market is exposed to many fluctuations in prices because of existing correlations with many variables, some of which cannot be controlled or might even be unknown. Housing prices can increase rapidly (or in some cases, also drop very fast), yet the numerous listings available online where houses are sol…
We propose a novel multi-layered nonlinear model that is able to capture and predict the housing-demographic dynamics of the real-state market by simulating the transitions of owners among price-based house layers. This model allows us to determine which parameters are most effective to smoothen the severity of a poten…
We analyze an exhaustive data-set of new-cars monthly sales. The set refers to 10 years of Spanish sales of more than 6500 different car model configurations and a total of 10M sold cars, from January 2007 to January 2017. We find that for those model configurations with a monthly market-share higher than 0.1% the sale…
We study the cross-correlation matrix of inventory variations of the most active individual and institutional investors in an emerging market to understand the dynamics of inventory variations. We find that the distribution of cross-correlation coefficient has a power-law form in the bulk followed by …
New method improves probabilistic electricity price predictions.
Intensive development of urban systems creates a number of challenges for urban planners and policy makers in order to maintain sustainable growth. Running efficient urban policies requires meaningful urban metrics, which could quantify important urban characteristics including various aspects of an actual human behavi…
Deep learning predicts readmissions from less structured data.
Information extraction is an important task in NLP, enabling the automatic extraction of data for relational database filling. Historically, research and data was produced for English text, followed in subsequent years by datasets in Arabic, Chinese (ACE/OntoNotes), Dutch, Spanish, German (CoNLL evaluations), and many …
ARHNN method improves electricity price forecasting accuracy.
Survey on non-positively curved cube complexes and geometric group theory.
This paper introduces compositional data analysis for financial ratios, improving industry-level analysis.
Many methods have been used to recognize author personality traits from text, typically combining linguistic feature engineering with shallow learning models, e.g. linear regression or Support Vector Machines. This work uses deep-learning-based models and atomic features of text, the characters, to build hierarchical, …
Develops a cross-lingual hate speech detection model using pre-trained Transformers.
We present a novel method for solving Canonical Correlation Analysis (CCA) in a sparse convex framework using a least squares approach. The presented method focuses on the scenario when one is interested in (or limited to) a primal representation for the first view while having a dual representation for the second view…
These are Lecture Notes of a course given by the author at the French-Spanish School "Tresses in Pau", held in Pau (France) in October 2009. It is basically an introduction to distinct approaches and techniques that can be used to show results in braid groups. Using these techniques we provide several proofs of well kn…
Proposes a multilingual email segmentation benchmark and model.
Morphology in unbalanced languages remains a big challenge in the context of machine translation. In this paper, we propose to de-couple machine translation from morphology generation in order to better deal with the problem. We investigate the morphology simplification with a reasonable trade-off between expected gain…
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…
Recently, sentiment analysis has received a lot of attention due to the interest in mining opinions of social media users. Sentiment analysis consists in determining the polarity of a given text, i.e., its degree of positiveness or negativeness. Traditionally, Sentiment Analysis algorithms have been tailored to a speci…
Study reveals clusters of resilient and vulnerable Spanish agri-food firms post-Ukraine-Russia war.
This work tackles the problem of learning a set of language specific acoustic units from unlabeled speech recordings given a set of labeled recordings from other languages. Our approach may be described by the following two steps procedure: first the model learns the notion of acoustic units from the labelled data and …
Bayesian-Deep Learning model predicts Covid-19 evolution in Spain.
We present a recurrent encoder-decoder deep neural network architecture that directly translates speech in one language into text in another. The model does not explicitly transcribe the speech into text in the source language, nor does it require supervision from the ground truth source language transcription during t…
Study uses regression and ML for COVID-19 mortality forecasting.
End-to-end Sanskrit TTS developed with limited data, achieving good quality.
Study examines bias in language models across multiple languages.