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.
Investor emotions predict earnings announcements, but excitement lowers returns.
This study examines how earnings announcements affect option volatility and pricing.
Agol's announcement proved a full classification of certain Kleinian groups.
The study classifies policy announcements' impact on stock market volatility.
Predicts stock price changes based on clinical trial announcements.
This an announcement for the generalized asymptotic expansion of Tian-Yau-Zeldtich.
Media tone around earnings announcements predicts stock returns.
The above title is the same, but with "semisimple" instead of "simple," as that of a notice by N. Kowalsky. There, she announced many theorems on the subject of actions of simple Lie groups preserving a Lorentz structure. Unfortunately, she published proofs for essentially only half of the announced results before her …
This study analyzes how the Indian stock market reacts to budget announcements using fractal methods.
We study an option pricing framework that accounts for the price impact of an earnings announcement (EA), and analyze the behavior of the implied volatility surface prior to the event. On the announcement date, we incorporate a random jump to the stock price to represent the shock due to earnings. We consider different…
This paper introduces a non-parametric framework to statistically examine how news events, such as company or macroeconomic announcements, contribute to the pre- and post-event jump dynamics of stock prices under the intraday seasonality of the news and jumps. We demonstrate our framework, which has several advantages …
We present a Hawkes model approach to foreign exchange market in which the high frequency price dynamics is affected by a self exciting mechanism and an exogenous component, generated by the pre-announced arrival of macroeconomic news. By focusing on time windows around the news announcement, we find that the model is …
This thesis identifies share buybacks and predicts their impact on stock performance.
Considered an important macroeconomic indicator, the Purchasing Managers' Index (PMI) on Manufacturing generally assumes that PMI announcements will produce an impact on stock markets. International experience suggests that stock markets react to negative PMI news. In this research, we empirically investigate the stock…
Study predicts stock price direction on earnings announcement days using multi-modal deep learning.
Study finds financial YouTube channel 3PROTV predicts stock market performance and sentiment changes.
New framework predicts earnings announcements using press release content, surpassing earnings surprises.
The attack intensity of distributed denial of service (DDoS) attacks is increasing every year. Botnets based on internet of things (IOT) devices are now being used to conduct DDoS attacks. The estimation of direct and indirect economic damages caused by these attacks is a complex problem. One of the indirect damage of …
Detects BGP routing anomalies using bursty announcement patterns.
This paper quantifies the impact of Dow Jones Sustainability Index listing on stock returns.
Green bond leaks impact equity markets, altering investor reactions.
This is a research announcement of the theory of orbifold quantum cohomology.
We study the behavior of U.S. markets both before and after U.S. Federal Open Market Committee (FOMC) meetings, and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the announcement is described by an analogue of the Omori earthquake law. We quantify th…
The purpose of this note is to announce complete answers to the following questions. (1) For an essential simple loop on a 2-bridge sphere in a 2-bridge link complement, when is it null-homotopic in the link complement? (2) For two distinct essential simple loops on a 2-bridge sphere in a 2-bridge link complement, when…
The study reveals distinct patterns in retail investors' holding periods affecting stock returns.
This paper gives a complete proof of the result announced in the title.
Paper uses machine learning to analyze stock market anomalies, predicting drift direction and portfolio performance.
In this paper, we prove that each automorphism of the Torelli group of a surface is induced by a diffeomorphism of the surface, provided that the surface is a closed, connected, orientable surface of genus at least 3. This result was previously announced by Benson Farb for genus at least 4 and has recently been announc…
In a unified framework we study equilibrium in the presence of an insider having information on the signal of the firm value, which is naturally connected to the fundamental price of the firm related asset. The fundamental value itself is announced at a future random (stopping) time. We consider two cases. First when t…
We give a complete proof of results announced by Hirasawa and Sakuma describing explicitly the Kakimizu complex of a non-split, prime, special, alternating link.
In this paper we announce the following result: ``Every manifold of dimension admits a complete negatively Ricci curved metric.'' Furthermore we describe some sharper results and sketch proofs.
We study the role of co-jumps in the interest rate futures markets. To disentangle continuous part of quadratic covariation from co-jumps, we localize the co-jumps precisely through wavelet coefficients and identify statistically significant ones. Using high frequency data about U.S. and European yield curves we quanti…
This is the first of a series of three papers which provide proofs of results announced recently in arXiv:1210.7494.
We outline a framework which generalizes Felix Klein's Erlanger Programm which he announced in 1872 after exchanging ideas with Sophus Lie.
Study generalizes finiteness theorem using Lie theory.
Proposes a new model to measure trade impact and information content in fluctuating markets.
In this paper, which is the continuation of [EFW2], we complete the proof of the quasi-isometric rigidity of Sol and the lamplighter groups. The results were announced in [EFW1].
Skewness dispersion predicts future stock market returns, especially in months with monetary policy announcements.
Study shows SEC crypto classification led to significant market reactions.
We announce a solution to several enumeration problems in topology of surfaces. This includes an enumeration of homotopy classes of sections of locally trivial fiber bundles over surfaces and a computation of non-abelian 1-cohomology of surfaces.
We announce the classification of complete, almost embedded surfaces of constant mean curvature, with three ends and genus zero: they are classified by triples of points on the sphere whose distances are the asymptotic necksizes of the three ends.
We announce some results towards the classification of partially hyperbolic diffeomorphisms on 3-manifolds, and outline the proofs in the case when the diffeomorphism is dynamically coherent. Detailed proofs are long and technical and will appear later.
We indicate a C-Fuchsian counter-example to the result with the above title announced at http://www.maths.dur.ac.uk/events/Meetings/LMS/2011/GAL11/program.pdf and prove a stronger statement.
We announce ultrametric analogues of the results of Kleinbock-Margulis for shrinking target properties of semisimple group actions on symmetric spaces. The main applications are S-arithmetic Diophantine approximation results and logarithm laws for buildings, generalizing the work of Hersonsky-Paulin on trees.
Investigates how 'green' labels affect bond market dynamics.
The FCA improved insider trading regulation after 2012, reducing abnormal returns.
New coordinates for Teichmüller space compactification.
Study on sequential defaulting in financial networks, analyzing stability and optimal timing.