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.
Study on MLE growth rate for stable CIR process, proving consistency and normality.
problem Estimating the growth rate of a stable CIR process from continuous observations.
method Maximum likelihood estimation for a specific type of process.
result Strong consistency and asymptotic normality in subcritical and supercritical cases, asymptotic mixed normality in supercritical, open in critical case.
New growth rate for pseudo-Anosov conjugacy classes in Teichmüller space.
problem Understanding growth rates of conjugacy classes in Teichmüller space.
method Analyzing pseudo-Anosov mapping classes and their conjugacy classes in Teichmüller space.
result The number of lattice points of pseudo-Anosov conjugacy classes intersecting a closed ball of radius R is coarsely asymptotic to \(e^{\frac{h}{2}R}\).
In this paper we give the precise index growth for the embedded hypersurfaces of revolution with constant mean curvature (cmc) 1 in Rn (Delaunay unduloids). When n=3, using the asymptotics result of Korevaar, Kusner and Solomon, we derive an explicit asymptotic index growth rate for finite topology cmc 1 surfac…
This survey reviews portfolio selection problem for long-term horizon. We consider two objectives: (i) maximize the probability for outperforming a target growth rate of wealth process (ii) minimize the probability of falling below a target growth rate. We study the asymptotic behavior of these criteria formulated as l…
The main theme of this paper is to study for a symplectomorphism of a compact surface, the asymptotic invariant which is defined to be the growth rate of the sequence of the total dimensions of symplectic Floer homologies of the iterates of the symplectomorphism. We prove that the asymptotic invariant coincides with as…
For a stochastic factor model we maximize the long-term growth rate of robust expected power utility with parameter λ∈(0,1). Using duality methods the problem is reformulated as an infinite time horizon, risk-sensitive control problem. Our results characterize the optimal growth rate, an optimal long-term trading s…
Let X be a Hadamard manifold and Γ a discrete group of isometries of X which contains an axial isometry without invariant flat half plane. We study the behavior of conformal densities on the geometric limit set of Γ in order to derive a new asymptotic estimate for the growth rate of closed geodesics in not necessar…
Given a knot K in a closed orientable manifold M we define the growth rate of the tunnel number of K to be grt(K)=limsupn→∞n−1t(nK)−nt(K). As our main result we prove that the Heegaard genus of M is strictly less than the Heegaard genus of the knot exterior if and only if the grow…
We introduce a model of proportional growth to explain the distribution P(g) of business firm growth rates. The model predicts that P(g) is Laplace in the central part and depicts an asymptotic power-law behavior in the tails with an exponent ζ=3. Because of data limitations, previous studies in this field have b…
We consider the problem of optimizing the expected logarithmic utility of the value of a portfolio in a binomial model with proportional transaction costs with a long time horizon. By duality methods, we can find expressions for the boundaries of the no-trade-region and the asymptotic optimal growth rate, which can be …
Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment problem has a long history, especially in the use of asymptotic approximations when th…
Study shows how margin loan interest rates converge to a choke price, limiting long-term advantage in the broker call money market.
problem Long-term dynamics of margin loan interest rates and their impact on retail clients' advantage in the broker call money market.
method Analyzes the broker call money market dynamics, assuming perfect inelastic supply and continuous reinvestment, to show convergence of relative size and margin loan interest rates.
result Margin loan interest rates converge to a choke price, limiting the long-term advantage of retail clients over the market.
The aim of this paper is to state and prove polynomial analogues of the classical Manning inequality relating the topological entropy of a geodesic flow with the growth rate of the volume of balls in the universal covering. To this aim we use two numerical conjugacy invariants, the {\em strong polynomial entropy $h_{po…
We present a preferential attachment growth model to obtain the distribution P(K) of number of units K in the classes which may represent business firms or other socio-economic entities. We found that P(K) is described in its central part by a power law with an exponent φ=2+b/(1−b) which depends on the probabil…
In this paper we develop an asymptotic analysis for formal and actual solutions of q-difference equations, under a regularity assumption. In particular, evaluations of regular solutions of regular q-difference equations have an exponential growth rate which can be computed from the q-difference equation. The motivation…
We introduce a model of proportional growth to explain the distribution of business firm growth rates. The model predicts that the distribution is exponential in the central part and depicts an asymptotic power-law behavior in the tails with an exponent 3. Because of data limitations, previous studies in this field hav…
We consider the asymptotics of the Turaev-Viro and the Reshetikhin-Turaev invariants of a hyperbolic 3-manifold, evaluated at the root of unity exp(2π−1/r) instead of the standard exp(π−1/r). We present evidence that, as r tends to ∞, these invariants grow exponentially with growt…