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.
The paper examines how market trade values and volumes affect price autocorrelation.
problem Understanding the impact of market trade values and volumes on price autocorrelation.
method Derives the dependence of price statistical moments and volatility on trade values and volumes, and assesses statistical moments and correlations by conventional frequency-based probabilities.
result Highlights the impact of market trade randomness on price statistical moments and autocorrelation.
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…
Framework isolates causal effects from time series data, improving accuracy under non-stationarity and autocorrelation.
problem Causal inference in non-stationary, autocorrelated time series data.
method Decomposes time series into trend, seasonal, and residual components; performs component-specific causal analysis.
result Framework more accurately recovers ground-truth causal structure than state-of-the-art baselines, especially under strong non-stationarity and temporal autocorrelation.
This study analyses, through cross-section estimation methods, the influence of spatial effects in productivity (product per worker), at economic sectors level of the NUTs III of mainland Portugal, from 1995 to 1999 and from 2000 to 2005 (taking in count the data availability and the Portuguese and European context), c…
Optimizes portfolio with two controls to minimize trades and maintain signal integrity.
problem Optimizing a single-asset portfolio with transaction costs and signal autocorrelation.
method Formulated an optimization problem to minimize trades while maintaining signal integrity and achieving maximum return.
result Locally optimal solution minimizes trades and achieves maximum return, with a quantifiable improvement based on threshold and autocorrelation removed.
As deep Variational Auto-Encoder (VAE) frameworks become more widely used for modeling biomolecular simulation data, we emphasize the capability of the VAE architecture to concurrently maximize the timescale of the latent space while inferring a reduced coordinate, which assists in finding slow processes as according t…
Paper optimizes trend-following portfolios using autocorrelation models.
problem Developing an optimal trend-following portfolio strategy.
method Introduces a unifying theoretical setting with autocorrelation models for covariance matrices of trends and risk premia. Specifies practical models for covariance matrices. Decomposes optimal portfolio into four basic components.
result Empirical backtests confirm overperformance of the proposed optimal portfolio.
The consideration of spatial effects at a regional level is becoming increasingly frequent and the work of Anselin (1988), among others, has contributed to this. This study analyses, through cross-section estimation methods, the influence of spatial effects in productivity (product per worker) in the NUTs III economic …
In this manuscript we analyse the leading statistical properties of fluctuations of (log) 3-month US Treasury bill quotation in the secondary market, namely: probability density function, autocorrelation, absolute values autocorrelation, and absolute values persistency. We verify that this financial instrument, in spit…
Financial market dynamics is rigorously studied via the exact generalized Langevin equation. Assuming market Brownian self-similarity, the market return rate memory and autocorrelation functions are derived, which exhibit an oscillatory-decaying behavior with a long-time tail, similar to empirical observations. Individ…
This study analyses, through cross-section estimation methods, the influence of spatial effects and human capital in the conditional productivity convergence (product per worker) in the economic sectors of NUTs III of mainland Portugal between 1995 and 2002. To analyse the data, Moran's I statistics is considered, and …
We describe the impact of the intra-day activity pattern on the autocorrelation function estimator. We obtain an exact formula relating estimators of the autocorrelation functions of non-stationary process to its stationary counterpart. Hence, we proved that the day seasonality of inter-transaction times extends the me…
This study analyses, through cross-section estimation methods, the influence of spatial effects in the conditional product convergence in the parishes' economies of mainland Portugal between 1991 and 2001 (the last year with data available for this spatial disaggregation level). To analyse the data, Moran's I statistic…
We develop a framework especially suited to the autocorrelation properties observed in financial times series, by borrowing from the physical picture of turbulence. The success of our approach as applied to high frequency foreign exchange data is demonstrated by the overlap of the curves in Figure (1), since we are abl…
We present an original and novel method based on random matrix approach that enables to distinguish the respective role of temporal autocorrelations inside given time series and cross correlations between various time series. The proposed algorithm is based on properties of Wigner eigenspectrum of random matrices inste…
We study the activity, i.e., the number of transactions per unit time, of financial markets. Using the diffusion entropy technique we show that the autocorrelation of the activity is caused by the presence of peaks whose time distances are distributed following an asymptotic power law which ultimately recovers the Pois…
In this paper we propose new algorithm to reduce autocorrelation in Markov chain Monte-Carlo algorithms for euclidean field theories on the lattice. Our proposing algorithm is the Hybrid Monte-Carlo algorithm (HMC) with restricted Boltzmann machine. We examine the validity of the algorithm by employing the phi-fourth t…
Historical daily data for eleven years of the fifty constituent stocks of the NIFTY index traded on the National Stock Exchange have been analyzed to check for the stylized facts in the Indian market. It is observed that while some stylized facts of other markets are also observed in Indian market, there are significan…
The mean-field variant of the model of limit order driven market introduced recently by Maslov is formulated and solved. The agents do not have any strategies and the memory of the system is kept within the order book. We show that he evolution of the order book is governed by a matrix multiplicative process. The resul…
It is common to subsample Markov chain output to reduce the storage burden. Geyer (1992) shows that discarding k−1 out of every k observations will not improve statistical efficiency, as quantified through variance in a given computational budget. That observation is often taken to mean that thinning MCMC output ca…
In this paper we consider portmanteau tests for testing the adequacy of multiplicative seasonal autoregressive moving-average (SARMA) models under the assumption that the errors are uncorrelated but not necessarily independent.We relax the standard independence assumption on the error term in order to extend the range …