In mathematical Finance calculating the Greeks by Malliavin weights has proved to be a numerically satisfactory procedure for finite-dimensional Itô-diffusions. The existence of Malliavin weights relies on absolute continuity of laws of the projected diffusion process and a sufficiently regular density. In this article…
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48 results for “absolutely continuous laws”
Monotone aggregation of dependent random vectors has an absolutely continuous distribution under certain conditions.
problem Monotone aggregation of dependent random vectors
method Coordinatewise monotonicity and uniform lower-increment conditions
result One-dimensional push-forwards of dependent random vectors have an absolutely continuous distribution
Waiting-time distribution for a stock-market indexphysics.soc-ph
We investigate the waiting-time distribution of the absolute return in the Korean stock-market index KOSPI. We define the waiting time as a time interval during which the normalized absolute return remains continuously below a threshold . Through an exponential bin plot, we observe that the waiting-time distributi…
Characterizes nodal volumes of Gaussian fields on manifolds, extending previous work.
problem Understanding the law and regularity of nodal volumes for Gaussian fields on manifolds.
method Gaussian measures, Morse theory, Malliavin-Sobolev spaces, ray absolute continuity.
result Extension and generalization of previous work on stationary fields to arbitrary dimensions.
New financial model with sandwiched volatility for option pricing.
problem Developing a new financial model for option pricing.
method Introducing a new model with stochastic volatility driven by a Gaussian Volterra process, ensuring the solution is sandwiched between two arbitrary Hölder continuous functions.
result Developed an algorithm for pricing options with discontinuous payoffs using Malliavin calculus.
The paper studies curves in Finsler-like spaces and their properties.
problem Investigating properties of curves in asymmetric metric spaces induced by Finsler structures.
method Analyzes three types of absolutely continuous curves in Finsler-like spaces and establishes the Lisini structure theorem.
result Characterizes the nature of absolutely continuous curves in terms of dynamical transference plans.
A classical result in Riemannian geometry states that the absolutely continuous curves into a (finite-dimensional) Riemannian manifold form an infinite-dimensional manifold. In the present paper this construction and related results are generalised to absolutely continuous curves with values in a strong Riemannian mani…
Optimizes sample reweighting to match laws under covariate shift using Wasserstein distance.
problem Matching laws of samples with different distributions under covariate shift.
method Minimizes Wasserstein distance between empirical measures of samples using Nearest Neighbors weights.
result Consistent reweighting leads to asymptotic convergence of empirical measures.
Study absolute continuity of Wasserstein barycenters on manifolds with singular cost functions.
problem Absolute continuity of Wasserstein barycenters on manifolds with singular cost functions.
method Approximation framework to handle singularity, geometrically transparent.
result Precise analytic condition on cost profile for necessary assumptions.
Bitcoin returns exhibit a distinct inverse cubic law scaling behavior.
problem Investigating the scaling properties of Bitcoin price returns.
method Analysis of recent Bitcoin data to determine tail index and autocorrelation of absolute returns.
result The tail index of Bitcoin returns changes to approximately 3, consistent with the inverse cubic law.
Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agentsphysics.soc-ph
This paper is intended as an investigation of the statistical properties of {\it absolute log-returns}, defined as the absolute value of the logarithmic price change, for the Nikkei 225 index in the 28-year period from January 4, 1975 to December 30, 2002. We divided the time series of the Nikkei 225 index into two per…
Absolute continuity of Wasserstein barycenters on manifolds with a lower Ricci curvature boundmath.PR
New method proves absolute continuity of Wasserstein barycenters on manifolds with lower Ricci curvature bound.
problem Proving absolute continuity of Wasserstein barycenters on manifolds with lower Ricci curvature bound.
method Introducing new displacement functionals exploiting Hessian equality and revisiting Souslin space theory, Dunford-Pettis theorem, and de la Vallée Poussin criterion for uniform integrability.
result Absolute continuity of Wasserstein barycenters is established for a general class of manifolds with lower Ricci curvature bound.
We study the stability of several no-arbitrage conditions with respect to absolutely continuous, but not necessarily equivalent, changes of measure. We first consider models based on continuous semimartingales and show that no-arbitrage conditions weaker than NA and NFLVR are always stable. Then, in the context of gene…
The Volterra square-root process shows non-uniqueness of limiting distributions and regularity of its law.
problem Non-uniqueness of limiting distributions in the Volterra square-root process.
method Establishing existence of limiting distributions using integrability of the Volterra convolution kernel and exponential-affine transformation.
result The limiting distributions of the Volterra square-root process depend on the initial state and belong to weighted Besov spaces.
Power law relaxation in a complex system: Omori law after a financial market crashcond-mat.stat-mech
We study the relaxation dynamics of a financial market just after the occurrence of a crash by investigating the number of times the absolute value of an index return is exceeding a given threshold value. We show that the empirical observation of a power law evolution of the number of events exceeding the selected thre…
The paper develops a method to assess drift between target and model distributions using noisy measurements at a few points.
problem Evaluating the difference between a target and model distribution when only a few noisy measurements are available.
method The paper introduces a method based on finite-probe total-variation certificates for drifting models, using antisymmetric interactions and absolutely continuous laws in a finite density basis.
result The method provides a nonpositive observability margin that returns the trivial TV bound and abstains when the margin is nonpositive, otherwise it computes a TV upper confidence bound.
We analyze the disordered Riemannian geometry resulting from random perturbations of the Euclidean metric. We focus on geodesics, the paths traced out by a particle traveling in this quenched random environment. By taking the point of the view of the particle, we show that the law of its observed environment is absolut…
Study shows spectrum properties for specific Hadamard manifolds.
problem Spectrum properties of Hadamard manifolds.
method Absolute continuity and spectrum determination for two classes of Hadamard manifolds.
result Spectrum properties determined for specific Hadamard manifolds.
The study finds significant power-law cross correlations in Bitcoin's return-volatility dynamics.
problem Investigating asymmetry in Bitcoin's return-volatility relationships.
method Analysis of daily and high-frequency Bitcoin data to identify cross correlations.
result Power-law cross correlations between returns and future volatilities are observed, indicating long-range dependencies.
Paper shows pricing rules affect insider's optimal strategy in Kyle-Back models.
problem Effect of pricing rules on insider's optimal strategy in Kyle-Back models.
method Analyzed a large class of pricing rules and derived necessary conditions for consistency with equilibrium.
result Pricing rules can lead to infinite value function for insiders when strategies are restricted, contradicting folk result.
The Mike-Farmer (MF) model was constructed empirically based on the continuous double auction mechanism in an order-driven market, which can successfully reproduce the cubic law of returns and the diffusive behavior of stock prices at the transaction level. However, the volatility (defined by absolute return) in the MF…
In this paper we introduce a link between geometry of ordinary continued fractions and trajectories of points that moves according to the second Kepler law. We expand geometric interpretation of ordinary continued fractions to the case of continued fractions with arbitrary elements.
Paper investigates separating times for general diffusions, providing new insights.
problem Understanding phase transitions between equivalence and singularity in diffusions.
method Representation of separating time as hitting time of a deterministic set, characterized by speed and scale.
result Explicit and easy-to-check conditions for absolute continuity and singularity of diffusions.
The intensity of a default time is obtained by assuming that the default indicator process has an absolutely continuous compensator. Here we drop the assumption of absolute continuity with respect to the Lebesgue measure and only assume that the compensator is absolutely continuous with respect to a general -finite …
The NYSE and NASDAQ stock markets have very different structures and there is continuing controversy over whether differences in stock price behaviour are due to market structure or company characteristics. As the influence of market structure on stock prices may be obscured by exogenous factors such as demand and supp…
The two phase behavior in financial markets actually means the bifurcation phenomenon, which represents the change of the conditional probability from an unimodal to a bimodal distribution. In this paper, the bifurcation phenomenon in Hang-Seng index is carefully investigated. It is observed that the bifurcation phenom…
In a recent joint work with V. Turaev (cf. math.DG/9810114) we defined a new concept of combinatorial torsion which we called absolute torsion. Compared with the classical Reidemeister torsion it has the advantage of having a well-defined sign. Also, the absolute torsion is defined for arbitrary orientable flat vector …
We apply an asymmetric version of Kirman's herding model to volatile financial markets. In the relation between returns and agent concentration we use the square root law proposed by Zhang. This can be derived by extending the idea of a critical mean field theory suggested by Plerou et al. We show that this model is eq…
Unified routing and arbitrage with concave continuation.
problem Combining routing and arbitrage in financial markets.
method Extending AMM trade functions to negative inputs via concave continuation.
result Unified approach unifies routing and arbitrage.
Paper explores closedness properties of convex sets in rearrangement invariant spaces.
problem Closedness properties of law-invariant convex sets in rearrangement invariant spaces.
method Analyzes equivalence of different closedness types in rearrangement invariant spaces.
result Order closedness, -closedness and -closedness of a law-invariant convex set are equivalent.
The statistical properties of the multipliers of the absolute returns are investigated using one-minute high-frequency data of financial time series. The multiplier distribution is found to be independent of the box size when is larger than some crossover scale, providing direct evidence of the existence of sca…
Common Scaling Patterns in Intertrade Times of U. S. Stockscond-mat.stat-mech
We analyze the sequence of time intervals between consecutive stock trades of thirty companies representing eight sectors of the U. S. economy over a period of four years. For all companies we find that: (i) the probability density function of intertrade times may be fit by a Weibull distribution; (ii) when appropriate…
Classifies financial markets up to financial indistinguishability.
problem Identifying distinct financial markets that are financially indistinguishable.
method Defined a notion of isomorphism for financial markets, classified complete one-period markets, and introduced the absolute market price of risk as an invariant.
result Proved a number of mutual fund theorems for markets with non-trivial automorphism groups.
A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a multivariate Pareto distribution. Insurance: Mathematics and Economics 46(2), 308-31…
Paper studies geometric properties of nonlinear Lebesgue spaces.
problem Geometric and analytic properties of nonlinear Lebesgue spaces.
method Formalizes pointwise description of geometric properties using a nonlinear Fubini-Lebesgue theorem.
result Definition of length structure, Alexandrov curvature bounds, and speed for absolutely continuous curves in nonlinear Lebesgue spaces.
Given a definable function f, enough differentiable, we study the continuity of the total curvature function t --> K(t), total curvature of the level {f=t}, and the total absolute curvature function t-->|K| (t), total absolute curvature of the level {f=t}. We show they admits at most finitely many discontinuities.
Root's barrier is continuous and finite under certain conditions.
problem Continuity of the root barrier function.
method Analyzing Skorokhod embedding problem and properties of target measures.
result The barrier function is continuous and finite under specified conditions.
We present a nonlinear stochastic differential equation (SDE) which mimics the probability density function (PDF) of the return and the power spectrum of the absolute return in financial markets. Absolute return as a measure of market volatility is considered in the proposed model as a long-range memory stochastic vari…
Bayesian inference and superstatistics to describe long memory processes of financial time seriesq-fin.ST
Bayesian inference and superstatistics model financial volatility dynamics across different timescales.
problem Modeling correlated volatility in financial time series with heavy tails and long memory.
method Superstatistical dynamics, Bayesian Inference, Metropolis-Hasting sampling.
result The log-Normal model is reliable for short timescales, while inverse-Gamma is preferred for long timescales.
Optimizes consumption, investment, and healthcare spending for aging populations.
problem Maximizing utility in an aging population with changing mortality rates.
method Solves an optimal stochastic control problem using a novel version of Perron's method.
result Endogenous mortality law that is asymptotically exponential in the old-age limit.
Constructs manifolds with specific spectral properties.
problem Spectral properties of Riemannian manifolds.
method Asymptotically hyperbolic manifolds with sharp curvature bounds.
result Embeds singular continuous spectrum into the essential spectrum of the Laplacian.
Sparse deep neural networks follow a power law in their connectivity.
problem Understanding the connectivity patterns in sparse deep neural networks.
method Experimentally tested multilayer perceptrons and convolutional neural networks, proposed an internal preferential attachment model.
result Sparse deep neural networks exhibit a power law in their connectivity, similar to biological neural networks.
In this paper we investigate the relationship between a general existence of transport maps of optimal couplings with absolutely continuous first marginal and the property of the background measure called essentially non-branching introduced by Rajala-Sturm (Calc.Var.PDE 2014). In particular, it is shown that the quali…
New proof shows path-connectedness of actions on intervals and circles.
problem Path-connectedness of actions of .
method New proof using diffeomorphisms with absolutely continuous derivative.
result Path-connectedness of the space of actions.
On absolutely continuous compensators and nonlinear filtering equations in default risk modelsmath.PR
We discuss the pricing of defaultable assets in an incomplete information model where the default time is given by a first hitting time of an unobservable process. We show that in a fairly general Markov setting, the indicator function of the default has an absolutely continuous compensator. Given this compensator we t…
The square root velocity function (SRVF), introduced by Srivastava et al, has proved to be an effective way to compare absolutely continuous curves in modulo reparametrization. Several computational papers have been published based on this method. In this paper, we carefully establish the theoretical foundations …
Unified framework for optimal transport on curved spaces using neural potentials.
problem Optimal transport on curved Riemannian manifolds.
method Entropic RNOT combines entropic regularization with neural pullback parameterization.
result Unified framework recovers entropic optimal coupling in strong probabilistic metrics.
This paper improves the robustness of risk estimation for financial positions.
problem Ensuring robustness of risk measures in the presence of data noise.
method Proposes a quantitative approach using the Fortet-Mourier metric to quantify the variation of true probability measures.
result Derives explicit error bounds for discrepancies between laws of estimators based on true and perturbed data.