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 method uses SVD entropy to price artworks.
Neural style transfer, first proposed by Gatys et al. (2015), can be used to create novel artistic work through rendering a content image in the form of a style image. We present a novel method of reconstructing lost artwork, by applying neural style transfer to x-radiographs of artwork with secondary interior artwork …
Shallow Art presents, implements, and tests the use of simple single-output classification and regression models for the purpose of art generation. Various machine learning algorithms are trained on collections of computer generated images, artworks from Vincent van Gogh, and artworks from Rembrandt van Rijn. These mod…
Many circumstances of practical importance have performance or success metrics which exist implicitly---in the eye of the beholder, so to speak. Tuning aspects of such problems requires working without defined metrics and only considering pairwise comparisons or rankings. In this paper, we review an existing Bayesian o…
This paper creates a tagging system for paintings using historical descriptions.
In this short article I introduce the knotR package, which creates two dimensional knot diagrams optimized for visual appearance using the R programming language. The knotR package is a systematic R-centric suite of software for the creation of production-quality artwork of knot diagrams, released under GPL2.
This paper measures the information quantity in paintings using entropy.
DPI quantifies phase differences in 1D and multidimensional signals using Riesz transform.
Intelli-Paint improves painting efficiency and naturalness.
KaoKore dataset extracts faces from pre-modern Japanese art for machine learning.
The artistic style of a painting is a subtle aesthetic judgment used by art historians for grouping and classifying artwork. The recently introduced `neural-style' algorithm substantially succeeds in merging the perceived artistic style of one image or set of images with the perceived content of another. In light of th…
Research connects physics and math through ceramic art of Riemann surfaces.
We introduce MosAIc, an interactive web app that allows users to find pairs of semantically related artworks that span different cultures, media, and millennia. To create this application, we introduce Conditional Image Retrieval (CIR) which combines visual similarity search with user supplied filters or "conditions". …
In this paper, we introduce an unsupervised learning approach to automatically discover, summarize, and manipulate artistic styles from large collections of paintings. Our method is based on archetypal analysis, which is an unsupervised learning technique akin to sparse coding with a geometric interpretation. When appl…
Deep learning-based style transfer between images has recently become a popular area of research. A common way of encoding "style" is through a feature representation based on the Gram matrix of features extracted by some pre-trained neural network or some other form of feature statistics. Such a definition is based on…
Deep learning enhances art market valuation by incorporating visual data.
New credit attribution methods for machine learning models using relaxed stability guarantees.
This paper explores using NFTs for patents, offering a framework and addressing challenges.
The paper uncovers the impact of price and payoff autocorrelations in multi-period asset pricing models.
Paper introduces benchmark-neutral pricing for long-term contracts.
Quantum theory explains price dynamics in financial markets, capturing bid-ask spread and ergodicity.
New pricing algorithm learns demand curves and optimizes prices in dynamic markets.
In this paper we study dynamic pricing mechanisms of financial derivatives. A typical model of such pricing mechanism is the so-called g--expectation defined by solutions of a backward stochastic differential equation with g as its generating function. Black-Scholes pricing model is a special linear case of this pricin…
At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price,...). Thus, in practice, market participants face the problem of choosing a price when implementing their strategies. In this work, we propose …
Study utility indifference pricing in a Bachelier model with small linear price impact.
A pricing principle is introduced for non-attainable claims in incomplete markets.
Price without transaction makes no sense. Trading volume authenticates its corresponding price, so there exist mutual information and correlation between price and trading volume. We are curious about fractal features of this correlation and need to know how structures in different scales translate information. To expl…
Revisits behavioral finance option pricing model to align with rational asset pricing theory.
The paper extends option pricing theory for markets with informed traders.
How does dynamic price information flow among Northern European electricity spot prices and prices of major electricity generation fuel sources? We use time series models combined with new advances in causal inference to answer these questions. Applying our methods to weekly Nordic and German electricity prices, and oi…
Research predicts XRP price anomalies using graph topologies.
Path integral method calculates barrier option prices.
In this paper we apply active learning algorithms for dynamic pricing in a prominent e-commerce website. Dynamic pricing involves changing the price of items on a regular basis, and uses the feedback from the pricing decisions to update prices of the items. Most popular approaches to dynamic pricing use a passive learn…
A statistical decision problem is hidden in the core of option pricing. A simple form for the price C of a European call option is obtained via the minimum Bayes risk, R_B, of a 2-parameter estimation problem, thus justifying calling C Bayes (B-)price. The result provides new insight in option pricing, among others obt…
The paper addresses pricing interest rate derivatives in markets with volatility uncertainty.
The paper modifies asset pricing models using Taylor series expansions and market-based averages.
The paper reviews historical and modern approaches to asset pricing probability measures.
Introduces an unobservable intrinsic electricity price to link storage theory with risk premium.
It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American options for different strikes, we show how to construct a time-homogeneous stock pric…
In our paper we analyze the relationship between the day-ahead electricity price of the Energy Exchange Austria (EXAA) and other day-ahead electricity prices in Europe. We focus on markets, which settle their prices after the EXAA, which enables traders to include the EXAA price into their calculations. For each market…
Data-driven method for option pricing using historical asset prices.
We derive behavioral finance option pricing formulas consistent with the rational dynamic asset pricing theory. In the existing behavioral finance option pricing formulas, the price process of the representative agent is not a semimartingale, which leads to arbitrage opportunities for the option seller. In the literatu…
Hamiltonian method applied to floating barrier options pricing.
Study compares price limit and circuit breaker effects in stock markets.
In a market with transaction costs, the price of a derivative can be expressed in terms of (preconsistent) price systems (after Kusuoka (1995)). In this paper, we consider a market with binomial model for stock price and discuss how to generate the price systems. From this, the price formula of a derivative can be refo…
Contracts for Difference (CfDs) are forwards on the spread between an area price and the system price. Together with the system price forwards, these products are used to hedge the area price risk in the Nordic electricity market. The CfDs are typically available for the next two months, three quarters and three years.…
We discuss the pricing methodology for Bonus Certificates and Barrier Reverse-Convertible Structured Products. Pricing for a European barrier condition is straightforward for products of both types and depends on an efficient interpolation of observed market option pricing. Pricing products We discuss the pricing metho…
The paper addresses fairness in dynamic pricing for strategic buyers.