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.
New index improves anomaly detection in correlated time series data.
Index theorems for the Dirac operator allow one to study spinors on manifolds with boundary and torsion. We analyse the modifications of the boundary Chern-Simons correction and APS eta invariant in the presence of torsion. The bulk contribution must also be modified and is computed using a supersymmetric quantum mecha…
The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up-down asymmetry, which, surprisingly, is not observed for the individual stocks composing that index. To explain this, we introduce a market model consisting of randomly fluctuating stocks that occas…
The holographic duality can be extended to include quantum theories with broken coordinate invariance leading to the appearance of the gravitational anomalies. On the gravity side one adds the gravitational Chern-Simons term to the bulk action which gauge invariance is only up to the boundary terms. We analyze in detai…
Formula found for minimum ARI between clusterings of fixed sizes.
In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market efficiency, using the standard ratio variance test, considering over 1600 one week…
Abstract: Generalizes modular forms to family case and finds new anomaly cancellation formulas.
The index theorem connects anomalies on a domain wall to global integrals.
Massive fermions help understand index theorems without chiral symmetry.
Study predicts synchronization state of financial time series using cross-recurrence plots.
In unsupervised machine learning, agreement between partitions is commonly assessed with so-called external validity indices. Researchers tend to use and report indices that quantify agreement between two partitions for all clusters simultaneously. Commonly used examples are the Rand index and the adjusted Rand index. …
SL(2,Z) forms lead to new anomaly formulas.
We discuss the chiral anomaly for a Weyl field in a curved background and show that a novel index theorem for the Lorentzian Dirac operator can be applied to describe the gravitational chiral anomaly. A formula for the total charge generated by the gravitational and gauge field background is derived in a mathematically…
A probing scheme is considered with an accessible and controllable qubit, used to probe an out-of equilibrium system consisting of a second qubit interacting with an environment. Quantum spontaneous synchronization between the probe and the system emerges in this model and, by tuning the probe frequency, can occur both…
We revisit the subject of perturbatively quantizing the nonlinear sigma model in two dimensions from a rigorous, mathematical point of view. Our main contribution is to make precise the cohomological problem of eliminating potential anomalies that may arise when trying to preserve symmetries under quantization. The sym…
In this paper, by combining modular forms and characteristic forms, we obtain general anomaly cancellation formulas of any dimension. For dimensional manifolds, our results include the gravitational anomaly cancellation formulas of Alvarez-Gaumé and Witten in dimensions 2, 6 and 10 (\cite{AW}) as special cases. …
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend. These empirical asymmetries predict that stock index drops are more common on a…
We survey the Hirzebruch signature theorem as a special case of the Atiyah-Singer index theorem. The family version of the Atiyah-Singer index theorem in the form of the Riemann-Roch-Grothendieck-Quillen (RRGQ) formula is then applied to the complexified signature operators varying along the universal family of ellipti…
This work introduces significativity indices for agreement values between classifiers.
In this paper, we present a novel approach to the generation of virtual scenarios of multivariate financial data of arbitrary length and composition of assets. With this approach, decades of realistic time-synchronized data can be simulated for a large number of assets, producing diverse scenarios to test and improve q…
A recent anomaly computation of Horava and Witten is proved and generalized in the form of two index theorems in odd dimensions. Theorem A is a fixed point formula for orientation-reversing involutions. Theorem B is an index theorem for manifolds with boundary using local boundary conditions. Both hold for families of …
We use techniques from functorial quantum field theory to provide a geometric description of the parity anomaly in fermionic systems coupled to background gauge and gravitational fields on odd-dimensional spacetimes. We give an explicit construction of a geometric cobordism bicategory which incorporates general backgro…
By studying modular invariance properties of some characteristic forms, we get some new anomaly cancellation formulas on dimensional manifolds. As an application, we derive some results on divisibilities of the index of Toeplitz operators on dimensional spin manifolds and some congruent formulas on ch…
The conformal anomalies and functional determinants of the Branson--GJMS operators, P_{2k}, on the d-dimensional sphere are evaluated in explicit terms for any d and k such that k < d/2+1 (if d is even). The determinants are given in terms of multiple gamma functions and a rational multiplicative anomaly, which vanishe…
Reformulates mod-two APS index using domain-wall fermion.
We consider a complete Riemannian manifold M whose boundary is a disjoint union of finitely many complete connected Riemannian manifolds. We compute the index of a local boundary value problem for a strongly Callias-type operator on M. Our result extends an index theorem of D. Freed to non-compact manifolds, thus provi…
We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is {\em not} observed for the individual stocks that comprise the index. This difference may hint towards an sy…
Study 6D localized matter spectrum on singular Calabi-Yau 3-folds.
Enhances anomaly detection in financial markets using AI agents.
The zeta and eta-functions associated with massless and massive Dirac operators, in a D-dimensional (D odd or even) manifold without boundary, are rigorously constructed. Several mathematical subtleties involved in this process are stressed, as the intrisic ambiguity present in the definition of the associated fermion …
We argue that the AdS/CFT calculational prescription for double-trace deformations leads to a holographic derivation of the conformal anomaly, and its conformal primitive, associated to the whole family of conformally covariant powers of the Laplacian (GJMS operators) at the conformal boundary. The bulk side involves a…
ETFs with 2x and 3x leverage underperformed the S&P 500 index due to compounding and volatility.
The paper proves quaternion projective space is unstable.
New formulas derived from modular forms for manifold indices.
The S&P500 daily values and log-returns fail to conform to Benford's laws, revealing underlying trends.
Develops a new framework for anomaly description in quantum field theories.
We have analyzed the Indices of Industrial Production (Seasonal Adjustment Index) for a long period of 240 months (January 1988 to December 2007) to develop a deeper understanding of the economic shocks. The angular frequencies estimated using the Hilbert transformation, are almost identical for the 16 industrial secto…
A pairwise clustering approach is applied to the analysis of the Dow Jones index companies, in order to identify similar temporal behavior of the traded stock prices. To this end, the chaotic map clustering algorithm is used, where a map is associated to each company and the correlation coefficients of the financial ti…
We study the effect of a relevant double-trace deformation on the partition function (and conformal anomaly) of a CFT at large N and its dual picture in AdS. Three complementary previous results are brought into full agreement with each other: bulk and boundary computations, as well as their formal identity. We show th…
Novel higher-order group synchronization for noisy local measurements on hypergraphs.
Paper detects anomalies in wheat and rapeseed crops using satellite data.
New elliptic genera defined for spin manifolds.
Paper constructs a CRRIX index to assess cryptocurrency market risks from regulatory changes.
New method uses neural networks for accurate angle estimation in noisy conditions.
The sectoral synchronization observed for the Japanese business cycle in the Indices of Industrial Production data is an example of synchronization. The stability of this synchronization under a shock, e.g., fluctuation of supply or demand, is a matter of interest in physics and economics. We consider an economic syste…
Hybrid approach for large-scale network synchronization using KF and PTP.
We analyze how an observer synchronizes to the internal state of a finite-state information source, using the epsilon-machine causal representation. Here, we treat the case of exact synchronization, when it is possible for the observer to synchronize completely after a finite number of observations. The more difficult …
We study the volatility of the MIB30-stock-index high-frequency data from November 28, 1994 through September 15, 1995. Our aim is to empirically characterize the volatility random walk in the framework of continuous-time finance. To this end, we compute the index volatility by means of the log-return standard deviatio…