arXiv research

Accumulated stock returns exhibit tempered skew t-distribution.

Study of historic stock returns distributions, highlighting asymmetry and outliers.

Analyzes multi-day stock returns, showing linear volatility and mean dependence.

Wealth inequality is an important matter for economic theory and policy. Ongoing debates have been discussing recent rise in wealth inequality in connection with recent development of active financial markets around the world. Existing literature on wealth distribution connects the origins of wealth inequality with a v…

The paper models financial markets and real economy interactions using a large agent framework.

Statistical fields model explains capital allocation and accumulation among firms and investors.

In reinforcement learning, Return, which is the weighted accumulated future rewards, and Value, which is the expected return, serve as the objective that guides the learning of the policy. In classic RL, return is defined as the exponentially discounted sum of future rewards. One key insight is that there could be many…

Study of homeomorphisms on infinite type surfaces with a classification theorem.

We develop an axiomatic theory of balance functions (future value functions) in the theory of interest that is derived from financial considerations and which applies to general regulated payment streams, including continuous payment streams. Balance functions exist and are unique up to an initial choice of deposit and…

The paper translates economic models into a field formalism to study capital accumulation and its fluctuations.

Study analyzes cryptocurrency pump-and-dump dynamics using minute-level data.

Motivated by Kyprianou and Zhou (2009), Wang and Hu (2012), Avram et al. (2017), Li et al. (2017) and Wang and Zhou (2018), we consider in this paper the problem of maximizing the expected accumulated discounted tax payments of an insurance company, whose reserve process (before taxes are deducted) evolves as a spectra…

Topological anomaly scores predict return curves in S&P 500 stocks

Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For serially uncorrelated markets, similar portfolios with more robust guarantees have been recently proposed. This paper extends these robust portfo…

Currently, pension providers are running into trouble mainly due to the ultra-low interest rates and the guarantees associated to some pension benefits. With the aim of reducing the pension volatility and providing adequate pension levels with no guarantees, we carry out mathematical analysis of a new pension design in…

Optimal timing for borrowing from a 457(b) plan to maximize returns.

Study compares deep learning stock trading strategies in adverse market conditions.

Efforts to reduce the numerical precision of computations in deep learning training have yielded systems that aggressively quantize weights and activations, yet employ wide high-precision accumulators for partial sums in inner-product operations to preserve the quality of convergence. The absence of any framework to an…

Variable annuities (VA) are popular insurance products. VAs provides the insured with a guaranteed accumulation rate on their premium at maturity. In addition, the insured may receive extra benefit if returns of underlying funds are high enough. Here we consider a special case of VA with high-water mark feature and Gua…

This paper proposes an exploration method for deep reinforcement learning based on parameter space noise. Recent studies have experimentally shown that parameter space noise results in better exploration than the commonly used action space noise. Previous methods devised a way to update the diagonal covariance matrix o…

A declining CVaR glidepath framework for TDF design with Chilean pension system application

CryptoRLPM uses on-chain data to improve crypto portfolio management performance.

Unfolding paths in Outer space accumulate on a simplex, not converge.

New data accumulation prevents model collapse in generative models.

MSPM uses modular agents to manage financial portfolios efficiently.

This research combines DRL with BL model for better portfolio optimization.

Currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk is uninhibited and the mark…

In this paper, finite type domains with hyperbolic orbit accumulation points are studied. We prove, in case of $\mathbb{C}^2$, it has to be a (global) pseudoconvex domain, after an assumption of boundary regularity. Moreover, one of the applications will realize the classification of domains within this class, precisel…

Proof-of-Stake networks with EIP-1559 exhibit stable token prices and secure network security.

The autonomous trading agent is one of the most actively studied areas of artificial intelligence to solve the capital market portfolio management problem. The two primary goals of the portfolio management problem are maximizing profit and restrainting risk. However, most approaches to this problem solely take account …

This paper presents a numerical model to solve the problem of cash accumulation strategies for products with an unknown future price, like assets. Stock prices are modeled by a discretized Wiener Process, and by the means of ordinary integrals this Wiener Process will be exactly matched at a preset terminal time. Three…

Markowitz (1952, 1959) laid down the ground-breaking work on the mean-variance analysis. Under his framework, the theoretical optimal allocation vector can be very different from the estimated one for large portfolios due to the intrinsic difficulty of estimating a vast covariance matrix and return vector. This can res…

Several statistical and machine learning methods are proposed to estimate the type and intensity of physical load and accumulated fatigue . They are based on the statistical analysis of accumulated and moving window data subsets with construction of a kurtosis-skewness diagram. This approach was applied to the data gat…

DSPO optimizes portfolio construction from raw stock data efficiently.

Using an artificial neural network (ANN), a fixed universe of approximately 1500 equities from the Value Line index are rank-ordered by their predicted price changes over the next quarter. Inputs to the network consist only of the ten prior quarterly percentage changes in price and in earnings for each equity (by quart…

An open question in systems and computational neuroscience is how neural circuits accumulate evidence towards a decision. Fitting models of decision-making theory to neural activity helps answer this question, but current approaches limit the number of these models that we can fit to neural data. Here we propose a unif…

Improved statistical computation through efficient matrix sampling.

The paper improves QD policy ensembles using distribution ratio estimators.

ReCAP adapts to dynamic financial markets by segmenting and combining policy vectors.

Study shows trust and trustworthiness emerge through reinforcement learning.

This paper presents a model of capital accumulation for a large number of heterogenous producer-consumers in an exchange space in which interactions depend on agents' positions. Each agent is described by his production, consumption, stock of capital, as well as the position he occupies in this abstract space. Each age…

Model analyzes debt recycling strategies under various fiscal regimes and jurisdictions.

Investment decisions can benefit from incorporating an accumulated knowledge of the past to drive future decision making. We introduce Continual Learning Augmentation (CLA) which is based on an explicit memory structure and a feed forward neural network (FFNN) base model and used to drive long term financial investment…

WrapNet optimizes inference for low-resolution neural networks by using 8-bit additions.

Improves likelihood-free inference by using a new sampling approach to avoid biased data collection.

Study reveals patterns in trader clusters over time, improving investment predictions.

For any nonorientable closed surface, we determine the minimal dilatation among pseudo-Anosov mapping classes arising from Penner's construction. We deduce that the sequence of minimal Penner dilatations has exactly two accumulation points, in contrast to the case of orientable surfaces where there is only one accumula…

The study improves Monte Carlo simulations for long-term investments using advanced financial models.