Research uses Sutte Indicator to predict stock market movements.
problem Predicting stock market movements accurately.
method Applied Sutte Indicator alongside SMA and MACD for comparison.
result Sutte Indicator shows better reliability in predicting stock movements.
New composite indicators reveal hidden relationships between indicators.
problem Subjective aggregation of indicators leads to missed information.
method Used dimensionality reduction techniques (PCA, filtering, clustering) to reveal hidden relationships.
result Cluster-driven composite indicators outperform traditional ones in data reconstruction.
Optimal text-based indices track VIX and inflation.
problem Maximizing contemporaneous relation or predictive performance with target variables.
method Optimizing text-based indices focusing on VIX and inflation expectations.
result Superior performance compared to existing indices.
Indices of vector fields and 1-forms studied for singular varieties and actions.
problem Understanding indices of vector fields and 1-forms in various contexts.
method Generalization to singular varieties and actions of finite groups.
result New insights into indices of vector fields and 1-forms.
We analyzed cross-correlations between price fluctuations of global financial indices (20 daily stock indices over the world) and local indices (daily indices of 200 companies in the Korean stock market) by using random matrix theory (RMT). We compared eigenvalues and components of the largest and the second largest ei…
This study examined how the correlation and network structure of 30 global indices and 145 local Korean indices belonging to the KOSPI 200 have changed during the 13-year period, 2000-2012. The correlations among the indices were calculated. The results showed that although the average correlations of the global indice…
Financial market created for wellbeing indices to mitigate socioeconomic risks.
problem Risk mitigation in financial indices of socioeconomic wellbeing.
method Developed new quantitative measure, created financial market, and implemented insurance instruments.
result Optimal portfolio weights and efficient frontiers for wellbeing indices.
We study the dynamic interactions and structural changes in global financial indices in the years 1998-2012. We apply a principal component analysis (PCA) to cross-correlation coefficients of the stock indices. We calculate the correlations between principal components (PCs) and each asset, known as PC coefficients. A …
Financial markets worldwide do not have the same working hours. As a consequence, the study of correlation or causality between financial market indices becomes dependent on wether we should consider in computations of correlation matrices all indices in the same day or lagged indices. The answer this article proposes …
The paper analyzes indices based on counting object pairs for assessing partition agreement in unsupervised learning.
problem The difficulty in interpreting overall indices like Rand and adjusted Rand indices.
method Analysis of three families of indices based on counting object pairs, decomposing overall indices into cluster-level indices.
result Overall indices based on pair-counting approach are sensitive to cluster size imbalance and provide limited information on smaller clusters.
The paper shows how reducible complexes affect local indicability.
problem The local indicability of subcomplexes in reducible complexes.
method Characterization of diagrammatic reducibility and application to local indicability.
result Injective labeled oriented trees are locally indicable if reducible of degree 2.
New Monte Carlo method outperforms existing strategy for estimating Sobol' indices.
problem Estimating first-and total-orders Sobol' indices accurately.
method Comparing two Monte Carlo estimators for Sobol' indices.
result New method outperforms current approach in accuracy.
Invariants for virtual and twisted links using affine indices.
problem Computing invariants for virtual and twisted links.
method Using affine indices to define invariants for virtual and twisted links.
result Invariants for virtual and twisted links computed using affine indices.
Paper simplifies Gittins indices calculation for bandits.
problem Difficulty in calculating Gittins indices for multi-armed bandits.
method Accessible general methodology for calculating Gittins indices.
result Removes computation barrier for Gittins indices.
Ranking stock indices based on causal influence using directed information graphs.
problem Identifying which countries exert the most economic influence in a subset of the global economy.
method Representing indices as nodes in a directed graph, estimating causal influences using directed information functional, ranking indices based on net-flow.
result Indices representing smaller economies can exert significant influence on larger economies.
We apply RMT, Network and MF-DFA methods to investigate correlation, network and multifractal properties of 20 global financial indices. We compare results before and during the financial crisis of 2008 respectively. We find that the network method gives more useful information about the formation of clusters as compar…
Investigates local indicability of groups with circle homology presentations.
problem Conditions for local indicability in groups with circle homology presentations.
method Generalizes results for two-relator presentations to circle homology presentations.
result Extends results on local indicability to LOT groups and non-cycle-free Adian presentations.
Novel approach detects early warning indicators in complex systems.
problem Detecting abrupt transitions in complex systems.
method Directed anisotropic diffusion map and latent stochastic dynamical systems.
result Early warning indicators can detect tipping points in state transitions.
New algorithm forecasts health indicators for better equipment lifespan prediction.
problem Improving equipment lifespan prediction through health indicator forecasting.
method Generative + scenario matching approach using Gaussian Process.
result Superior performance compared to existing methods.
The paper studies topological indices of geometric operators on manifolds with fibered boundaries.
problem Investigating indices of geometric operators on manifolds with fibered boundaries.
method Defining K-groups relative to pushforward for boundary fibration, using groupoid deformation techniques to prove properties of indices.
result Indices of twisted geometric operators can be understood as index pairings over K-groups.
New indices for determining cluster compactness and separability.
problem Challenges in identifying true clusters in data sets.
method Developed absolute cluster indices to measure compactness and separability.
result Demonstrated improved performance compared to existing indices.
Study fragility in global financial indices using network analysis.
problem Monitor fragility in global financial indices.
method Network-based approach to analyze daily closing prices of global financial indices.
result Network-centric measures reveal fragility in global financial indices.
We define analytic indices which involve the eta form and the analytic torsion form. We show that these indices are independent of the geometric choices made in their definitions, and hence are topological in nature.
Study shows HFT improves market liquidity indicators.
problem Impact of high-frequency trading on market liquidity.
method Agent-based simulations comparing HFT and non-HFT markets.
result All liquidity indicators improved in markets with HFTs.
This research simplifies computation of feature attribution methods under certain conditions.
problem Computational complexity of feature attribution methods, especially power indices.
method Identifying conditions for polynomial computation and introducing new indices.
result Conditions for efficient computation of feature attribution methods are identified.
The paper introduces a new financial market for environmental indices to attract investors.
problem Inherent risks and sustainability concerns in environmental investments.
method Quantitative measures, econometric analysis, dynamic asset pricing tools, and financial options.
result Monetization and construction of country-specific environmental indices as dollar-denominated assets.
This research finds three meta-indicators for university rankings.
problem Complexity in university ranking systems.
method Interpretable machine learning approach.
result Identified three meta-indicators: time, space, and relationships.
In this paper we present a theoretical framework for studying coherent acceptability indices in a dynamic setup. We study dynamic coherent acceptability indices and dynamic coherent risk measures, and we establish a duality between them. We derive a representation theorem for dynamic coherent risk measures in terms of …
The study analyzes performance indices for class-imbalanced data and identifies conditions they must meet.
problem Distortions in performance indices under class imbalance.
method Identified two conditions for performance indices and analyzed four binary and five multi-class indices.
result Recommended appropriate indices for evaluating classifiers in class-imbalanced scenarios.
Extends coherence results to one-relator products of locally indicable groups.
problem Coherence in one-relator products of locally indicable groups.
method Developed new methods to extend results of Helfer, Wise, Louder, Wilton, and Brodsky.
result New proof of a theorem by Brodsky.
We propose a new indicator for technical analysis. The indicator emphasizes maximums and minimums in price series with inherent smoothing and has a potential to be useful in both mechanical trading rules and chart pattern analysis.
We give a formula to calculate the indices of special (non-totally geodesic) minimal orbits of Hermann actions. Also, we give examples of such minimal orbits of Hermann actions and calculate their indices by using the formula.
New parities defined on virtual knots linked to crossing indices.
problem Defining parities on virtual knots.
method Connecting parities to invariant cycles on arcs and quasi-indices on crossings.
result New series of parities on virtual knots defined.
Improved MACD trading strategies with other indicators for better performance.
problem Evaluating the effectiveness of MACD-based trading strategies in the US stock market.
method Backtested various MACD-based trading strategies on US stock indices using Python.
result Win-rate of MACD strategies improved with other momentum indicators, leading to a new VPVMA indicator.
Strategic traders adjust indicative prices near auctions to achieve nearly diffusive outcomes.
problem Achieving diffusive price behavior in Paris Stock Exchange auctions.
method Analyzing the diffusive properties of indicative auction prices and the strategic behavior of traders.
result Strategic traders adjust their order submission times to achieve nearly diffusive price behavior.
Study finds traditional technical indicators underperform in high-frequency trading, suggesting risk management over prediction.
problem Inadequately explored effectiveness of technical indicators in high-frequency trading, particularly at minute-level frequency.
method Evaluation of random forest models with traditional technical indicators on minute-level SPY data.
result In-sample performance is superior to out-of-sample, with risk-adjusted metrics not outperforming a simple buy-and-hold strategy.
Generalizes Collins' theorem to products of locally indicable groups.
problem Intersection of conjugates of Magnus subgroups in one-relator groups.
method Generalization to one-relator products of locally indicable groups.
result Result holds for a broader class of groups.
New method ranks European countries' innovation performance considering criterion interactions.
problem Lack of consensus on weighting composite innovation indicators.
method Hierarchical-SMAA-Choquet integral approach to rank and benchmark innovation performance.
result Robust measurement of innovation performances in Europe with a hierarchy of interacting composite indicators.
This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, and which allows us to significantly generalize existing results is the theory of L0-modules. In the first p…
Study shows news influences world markets, revealing correlations between The New York Times and financial indices.
problem Understanding the relationship between news and financial markets.
method Used Random Matrix Theory and information theory on news and financial indices.
result News drives world market movements, showing correlations preserved even with noise.
Study shows diverse data sources improve cryptocurrency forecasting models.
problem Improving cryptocurrency market forecasting accuracy.
method Integrating various data types, including on-chain metrics, traditional indices, and macroeconomic indicators.
result Data source diversity significantly enhances forecasting model performance.
Study uses Hawkes processes to analyze stock market contagion in China.
problem Understanding contagion in Chinese stock market.
method Fitting Hawkes processes to daily returns and sector indices.
result Identifies long-term dependencies and trending patterns in sector indices.
Invariant detects sliceness of virtual knots with specific chord indices.
problem Detecting sliceness in virtual knots with chord indices.
method Constructs an invariant using sliceness obstruction and sensitivity to Δ-move.
result Invariant detects sliceness and is sensitive to chord indices.
This paper simplifies conditional Sobol' indices calculation using PCE bases.
problem Computational inefficiency and lack of consistency in evaluating conditional Sobol' indices.
method Analytical extraction of conditional Sobol' indices via basis decomposition of PCE expansions.
result Derives closed-form expressions for conditional Sobol' indices.
This paper reviews and proposes a new approach for evaluating internal cluster validation indices.
problem Selecting the best-performing unsupervised classification algorithm without external information.
method Examines and proposes a new evaluation approach for internal validation indices.
result Suggests a new evaluation approach for internal validation indices.
We propose a new class of mappings, called Dynamic Limit Growth Indices, that are designed to measure the long-run performance of a financial portfolio in discrete time setup. We study various important properties for this new class of measures, and in particular, we provide necessary and sufficient condition for a Dyn…
Develops online cluster validation indices for streaming data.
problem Validating clusters in streaming data.
method Two online versions of Xie-Beni and Davies-Bouldin indices, analyzed using sk-means and online ellipsoidal clustering.
result Incremental Xie-Beni index with forgetting factor superior to other indices.
TINs use neural networks to interpret technical indicators for trading.
problem Lack of interpretable neural architectures for technical indicators in trading.
method Introduced TINs, a neural architecture that reformulates technical indicators into trainable modules.
result Improved risk-adjusted performance compared to traditional indicator-based strategies.