arXiv research

Robinhood users react strongly to overnight price changes and big losers, trading quickly after extreme losses.

This paper reexamines the profitability of loser, winner and contrarian portfolios in the Chinese stock market using monthly data of all stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange covering the period from January 1997 to December 2012. We find evidence of short-term and long-term contraria…

Many systems of different nature exhibit scale free behaviors. Economic systems with power law distribution in the wealth is one of the examples. To better understand the working behind the complexity, we undertook an empirical study measuring the interactions between market participants. A Web server was setup to admi…

The goal of this paper is to explore the relationship between momentum effects and liquidity in cryptocurrency markets. Portfolios based on momentum-liquidity bivariate sorts are formed and rebalanced on a varying number of cryptocurrencies through time. We find a strong momentum effect in the most liquid cryptocurrenc…

Public debates are a common platform for presenting and juxtaposing diverging views on important issues. In this work we propose a methodology for tracking how ideas flow between participants throughout a debate. We use this approach in a case study of Oxford-style debates---a competitive format where the winner is det…

We consider an ideal closed stock market, in which 100 traders have economic activities. The assets of the traders change through buying and selling stocks. We simulate the assets under conservation of both total currency and total number of stocks. If the traders are identical, then the assets are distributed as a sta…

Application of neural network architectures for financial prediction has been actively studied in recent years. This paper presents a comparative study that investigates and compares feed-forward neural network (FNN) and adaptive neural fuzzy inference system (ANFIS) on stock prediction using fundamental financial rati…

We design an active learning algorithm for cost-sensitive multiclass classification: problems where different errors have different costs. Our algorithm, COAL, makes predictions by regressing to each label's cost and predicting the smallest. On a new example, it uses a set of regressors that perform well on past data t…

This case study tests the possibility of prediction for "success" (or "winner") components of four stock & shares market indices in a time period of three years from 02-Jul-2009 to 29-Jun-2012.We compare their performance ain two time frames: initial frame three months at the beginning (02/06/2009-30/09/2009) and the f…

To mitigate potential contagion from future banking crises, the European Commission recently proposed a framework which would provide for the $\textit{bail-in}$ of bank creditors in the event of failure. In this study, we examine this framework retrospectively in the context of failed European banks during the global f…

In this short note, we formulate three problems relating to nonnegative scalar curvature (NNSC) fill-ins. Loosely speaking, the first two problems focus on: When are $(n-1)$-dimensional Bartnik data $\big(Σ_i ^{n-1}, γ_i, H_i\big)$, $i=1,2$, NNSC-cobordant? (i.e., there is an $n$-dimensional compact Riemannian manifold…

New algorithm finds approximate stationary points faster under differential privacy constraints.

This paper introduces Selective-Backprop, a technique that accelerates the training of deep neural networks (DNNs) by prioritizing examples with high loss at each iteration. Selective-Backprop uses the output of a training example's forward pass to decide whether to use that example to compute gradients and update para…

New algorithm for private non-convex optimization with optimal rates.

In Part III of this study, we apply the price dynamical model with big buyers and big sellers developed in Part I of this paper to the daily closing prices of the top 20 banking and real estate stocks listed in the Hong Kong Stock Exchange. The basic idea is to estimate the strength parameters of the big buyers and the…

Big data sets must be carefully partitioned into statistically similar data subsets that can be used as representative samples for big data analysis tasks. In this paper, we propose the random sample partition (RSP) data model to represent a big data set as a set of non-overlapping data subsets, called RSP data blocks,…

Investors in Bitcoin exhibit the disposition effect, selling winners and holding losers.

In this paper we consider the large genus asymptotics for two classes of Siegel-Veech constants associated with an arbitrary connected stratum $\mathcal{H} (α)$ of Abelian differentials. The first is the saddle connection Siegel-Veech constant $c_{\text{sc}}^{m_i, m_j} \big( \mathcal{H} (α) \big)$ counting saddle conne…

Establishes Kobayashi-Hitchin correspondence for nef and big classes.

Given $(X,ω)$ compact Kähler manifold and $ψ\in\mathcal{M}^{+}\subset PSH(X,ω)$ a model type envelope with non-zero mass, i.e. a fixed potential determing some singularities such that $\int_{X}(ω+dd^{c}ψ)^{n}>0$, we prove that the $ψ-$relative finite energy class $\mathcal{E}^{1}(X,ω,ψ)$ becomes a complete metric space…

This article provides the role of big idea statisticians in future of Big Data Science. We describe the `United Statistical Algorithms' framework for comprehensive unification of traditional and novel statistical methods for modeling Small Data and Big Data, especially mixed data (discrete, continuous).

Geometric quantization extended to big line bundles.

New DP algorithms achieve near-optimal regret bounds for online learning problems.

The following problem is addressed: A $3$-manifold $M$ is endowed with a triple $Ω= \big(Ω^1,Ω^2,Ω^3\big)$ of closed $2$-forms. One wants to construct a coframing $ω= \big(ω^1,ω^2,ω^3\big)$ of $M$ such that, first, ${\rm d}ω^i = Ω^i$ for $i=1,2,3$, and, second, the Riemannian metric $g=\big(ω^1\big)^2+\big(ω^2\big)^2+\…

This note displays an interesting phenomenon for percentiles of independent but non-identical random variables. Let $X_1,\cdots,X_n$ be independent random variables obeying non-identical continuous distributions and $X^{(1)}\geq \cdots\geq X^{(n)}$ be the corresponding order statistics. For any $p\in(0,1)$, we investig…

We study the effect of altruism in two simple asset exchange models: the yard sale model (winner gets a random fraction of the poorer player's wealth) and the theft and fraud model (winner gets a random fraction of the loser's wealth). We also introduce in these models the concept of bargaining efficiency, which makes …

New insights into spectral statistics of sample covariance matrix for stable linear systems.

Refines spinorial Sobolev inequality on sphere, proving stability and new properties of Killing spinors.

Study assesses 'big data' in materials science, highlighting challenges.

Uniform volume estimate for Kähler metrics in big cohomology classes.

Study convexity of Mabuchi functional in big cohomology classes.

Mobile big data contains vast statistical features in various dimensions, including spatial, temporal, and the underlying social domain. Understanding and exploiting the features of mobile data from a social network perspective will be extremely beneficial to wireless networks, from planning, operation, and maintenance…

Currently, the world is witnessing a mounting avalanche of data due to the increasing number of mobile network subscribers, Internet websites, and online services. This trend is continuing to develop in a quick and diverse manner in the form of big data. Big data analytics can process large amounts of raw data and extr…

Big data transforms accounting and auditing, enhancing insights but posing challenges.

Unified view on big bang singularities from initial data.

We consider model-free reinforcement learning for infinite-horizon discounted Markov Decision Processes (MDPs) with a continuous state space and unknown transition kernel, when only a single sample path under an arbitrary policy of the system is available. We consider the Nearest Neighbor Q-Learning (NNQL) algorithm to…

We study the local equivalence problem for real-analytic ($\mathcal{C}^ω$) hypersurfaces $M^5 \subset \mathbb{C}^3$ which, in coordinates $(z_1, z_2, w) \in \mathbb{C}^3$ with $w = u+i\, v$, are rigid: \[ u \,=\, F\big(z_1,z_2,\overline{z}_1,\overline{z}_2\big), \] with $F$ independent of $v$. Specifically, we study th…

Big Data bring new opportunities to modern society and challenges to data scientists. On one hand, Big Data hold great promises for discovering subtle population patterns and heterogeneities that are not possible with small-scale data. On the other hand, the massive sample size and high dimensionality of Big Data intro…

The paper tackles machine unlearning by designing efficient algorithms for adaptive query classes.

Zero-sum games such as chess and poker are, abstractly, functions that evaluate pairs of agents, for example labeling them `winner' and `loser'. If the game is approximately transitive, then self-play generates sequences of agents of increasing strength. However, nontransitive games, such as rock-paper-scissors, can ex…

Once first answers in any dimension to the Green-Griffiths and Kobayashi conjectures for generic algebraic hypersurfaces $\mathbb{X}^{n-1} \subset \mathbb{P}^n(\mathbb{C})$ have been reached, the principal goal is to decrease (to improve) the degree bounds, knowing that the `celestial' horizon lies near $d \geqslant 2n…

In this paper, we consider the problem of sequentially optimizing a black-box function $f$ based on noisy samples and bandit feedback. We assume that $f$ is smooth in the sense of having a bounded norm in some reproducing kernel Hilbert space (RKHS), yielding a commonly-considered non-Bayesian form of Gaussian process …

In this note we show that many subgroups of mapping class groups of infinite-type surfaces without boundary have trivial centers, including all normal subgroups. Using similar techniques, we show that every nontrivial normal subgroup of a big mapping class group contains a nonabelian free group. In contrast, we show th…

Explosive growth in data and availability of cheap computing resources have sparked increasing interest in Big learning, an emerging subfield that studies scalable machine learning algorithms, systems, and applications with Big Data. Bayesian methods represent one important class of statistic methods for machine learni…

Data preprocessing techniques are devoted to correct or alleviate errors in data. Discretization and feature selection are two of the most extended data preprocessing techniques. Although we can find many proposals for static Big Data preprocessing, there is little research devoted to the continuous Big Data problem. A…

Characterizes and analyzes the large scale geometry of big mapping class groups of surfaces.

Proves existence of Kähler-Einstein metrics in big cohomology classes.

Big data analytics improves healthcare through early detection and quality life.