Paper defines the payback period for nonconventional cash flows using axioms.
problem Defining the payback period for nonconventional cash flows is challenging.
method Used axiomatic approach to define the payback period.
result The last break-even point of the project balance is the only definition consistent with axioms.
The early phase of training of deep neural networks is critical for their final performance. In this work, we study how the hyperparameters of stochastic gradient descent (SGD) used in the early phase of training affect the rest of the optimization trajectory. We argue for the existence of the "break-even" point on thi…
We consider a simple investment project with the following parameters: I>0: Initial investment which is amortizable in n years; n: Number of years the investment allows production with constant output per year; A>0: Annual amortization (A=I/n); Q>0: Quantity of products sold per year; Cv>0: Variable cost per unit; p>0:…
ROI-driven data analytics guides investment in empirical data analysis.
problem Determining the optimal depth and breadth of data analytics.
method Conceptual framework validated through empirical studies focusing on dependency extraction in Mozilla Firefox project.
result ROI-driven data analytics helps avoid over-analyzing empirical data.
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consist of the pricing of nth-to-default baskets under the Gaussian copula model (GCM). We provide necessary and sufficient co…
The paper addresses dynamic capital structure models with defaultable debt, proving existence and uniqueness.
problem Dynamic capital structure models with an investor break-even condition may not generate a contraction mapping.
method Provided an example and used a dual problem and change of measure to prove existence and uniqueness.
result A unique Markov-perfect equilibrium exists where firm decisions reflect state-dependent targets.
Although not a formal pricing consideration, gap risk or hedging errors are the norm of derivatives businesses. Starting with the gap risk during a margin period of risk of a repurchase agreement (repo), this article extends the Black-Scholes-Merton option pricing framework by introducing a reserve capital approach to …
A Support Vector Method for multivariate performance measures was recently introduced by Joachims (2005). The underlying optimization problem is currently solved using cutting plane methods such as SVM-Perf and BMRM. One can show that these algorithms converge to an eta accurate solution in O(1/Lambda*e) iterations, wh…
Cash collateral is perfect in that it provides simultaneous counterparty credit risk protection and derivatives funding. Securities are imperfect collateral, because of collateral segregation or differences in CSA haircuts and repo haircuts. Moreover, the collateral rate term structure is not observable in the repo mar…
The paper analyzes a five-factor capital market model and facilitates exact simulation.
problem Analyzing and simulating a five-factor capital market model.
method Using a Vasicek interest rate model, mean-reverting excess return, and realized inflation with expectation, the paper derives the necessary distributional results and describes practical methods to overcome rank deficiency.
result Exact simulation from the model can be achieved by sampling from a seven-dimensional normal distribution.
A new model forecasts optimal portfolio weights from high-frequency data.
problem Forecasting optimal portfolio weights from high-frequency data.
method Dynamic Conditional Weights (DCW) model for portfolio weights dynamics.
result DCW model outperforms other models in portfolio allocations and measures.
We analyze annual revenues and earnings data for the 500 largest-revenue U.S. companies during the period 1954-2007. We find that mean year profits are proportional to mean year revenues, exception made for few anomalous years, from which we postulate a linear relation between company expected mean profit and revenue. …
Privacy-preserving crypto exchanges adjust prices based on Gaussian noise.
problem Ensuring fair pricing in privacy-preserving cryptocurrency exchanges.
method Derive Kyle equilibrium with Gaussian noise perturbation, rescaling price-impact and strategy factors.
result Identify a privacy subsidy as a transfer from LP pool to traders, invariant to noise.
Technical trading rules and linear regressive models are often used by practitioners to find trends in financial data. However, these models are unsuited to find non-linearly separable patterns. We propose a decision tree forecasting model that has the flexibility to capture arbitrary patterns. To illustrate, we constr…
Continuous-time Kyle model shows privacy subsidy from noise-perturbed order flow.
problem Quantifying break-even fees for committed-AMM exchanges under privacy-aggregated information.
method Extended Nakamura's (2026) single-period result to continuous-time, observing order flow perturbed by Brownian noise.
result Cumulative privacy subsidy is identified as equivalent to Loss-Versus-Rebalancing in price observation gap.
This paper compares classical shadows and direct quantum measurement for efficient information extraction.
problem Efficiently extracting classical information from quantum states with limited classical post-processing.
method Quantitative resource analysis comparing classical shadows and direct quantum measurement.
result An efficiency frontier between classical shadows and direct quantum measurement is identified.
This study optimizes trading strategy parameters using walk-forward techniques and finds robust performance.
problem Optimizing trading strategy performance through parameter optimization.
method Walk-forward optimization with varying window lengths, tested on Bitcoin, Binance Coin, and Ethereum.
result The strategy outperforms Buy-and-Hold with lower drawdown and higher Information Ratio.
Simulation framework assesses ROI of chronic disease adherence and policy timing.
problem Uncertainty in ROI of adherence-enhancing interventions under heterogeneous patient behavior and socioeconomic variation.
method Simulation-based framework integrating disease progression, time-varying adherence, and policy timing.
result Early and adaptive interventions yield highest ROI, exceeding 20% under certain conditions.
Model predicts time evolution of supply chain networks under varying costs.
problem Regulating downstream relationships for sustainable SMEs.
method Time varying SCN model based on Lagrangian mechanics, incorporating EDES cost kernels.
result Model predicts bankruptcy and break-even states under different cost scenarios.
New method speeds up Bayesian inverse problem solving with neural operators.
problem Solving infinite-dimensional Bayesian inverse problems with high computational cost.
method Delayed-acceptance geometric MCMC driven by derivative-informed neural operator surrogates.
result Significant speedup in generating posterior samples (3-9 times faster).
Develops a framework to estimate NBA player salary ROI.
problem Measuring the relative return of player salaries in NBA.
method Five-part framework: GCP measure, SGV calculation, cash flow series, ROI calculation.
result Illustrates framework with 2022-2023 NBA data, showing top and bottom performers.
Estimator calculates surface curvature from point cloud samples.
problem Accurately estimating curvature from limited point cloud data.
method Algorithm using probability distribution and nearby points control.
result Controlled number of points ensures accurate curvature estimation.
New tools for constructing fixed point sets in digital topology.
problem Constructing fixed point sets in digital topology.
method Defining excludable points and articulation points, and showing their exclusion from freezing sets.
result Excludable points and articulation points can be excluded from all freezing sets.
While Multiple Instance (MI) data are point patterns -- sets or multi-sets of unordered points -- appropriate statistical point pattern models have not been used in MI learning. This article proposes a framework for model-based MI learning using point process theory. Likelihood functions for point pattern data derived …
Study on connection points on double regular polygons, providing coordinates and proving non-connection points.
problem Identifying connection points on double regular polygons.
method Examined coordinates in trace field, provided constructive proof for prime n. result For n=7, conjectured all remaining points are connection points; for n≥7 prime, provided explicit separatrix. New families of translation surfaces with multiple oblivious points discovered.
problem Identifying points on translation surfaces without nearby closed geodesics.
method Constructing new families of translation surfaces and proving existence in higher genera.
result Translation surfaces in every genus ≥3 have at least one oblivious point.
This paper reverses a construction by merging boundary critical points into an interior one.
problem Pushing interior critical points to the boundary and splitting them into two boundary points.
method Specific assumptions allow merging two boundary critical points into one interior critical point.
result Merging two boundary critical points into a single interior critical point.
A new model for point processes without intensity function trade-offs.
problem Inefficiency and trade-offs in existing point process models.
method Point Set Diffusion, a diffusion-based latent variable model.
result Achieves state-of-the-art performance in point process generation.
PINNACLE optimizes point selection for PINNs, improving accuracy.
problem Challenges in selecting points for training Physics-Informed Neural Networks (PINNs).
method Introduces PINNACLE, an algorithm that jointly optimizes collocation and experimental points selection, adjusting point proportions dynamically.
result PINNACLE outperforms existing methods in forward, inverse, and transfer learning problems.
The minimal number of critical points is studied for smooth functions on closed manifolds.
problem Determining the minimal number of critical points for smooth functions on closed manifolds.
method Investigates cylindrical ball neighborhoods and exotic critical points, proving the conjecture for certain types of critical points.
result The minimal number of critical points is the same for smooth functions without exotic critical points on closed manifolds of dimension at least 6.
Convergence to a saddle point for convex-concave functions has been studied for decades, while recent years has seen a surge of interest in non-convex (zero-sum) smooth games, motivated by their recent wide applications. It remains an intriguing research challenge how local optimal points are defined and which algorith…
Investigates point spectra of vector fields and their properties.
problem Understanding the point spectra of vector fields.
method Define and study point spectra, prove properties under isometries, and analyze compactly supported fields.
result Point spectra are well-behaved under isometries and trivial for compactly supported fields.
We revisit an example of a semi-Riemannian geodesic that was discussed by Musso, Pejsachowicz and Portaluri in 2007 to show that not every conjugate point is a bifurcation point. We point out a mistake in their argument, showing that on this geodesic actually every conjugate point is a bifurcation point. Finally, we pr…
Hard to approximate critical points for simple nonconvex functions.
problem Approximating critical points of nonconvex functions.
method Proving hardness results for polynomial-time approximation of critical points.
result Proving that approximating critical points is intractable for simple nonconvex functions.
Algorithm finds periodic points on Veech surfaces.
problem Finding periodic points on non-square-tiled Veech surfaces.
method Developed an algorithm to compute periodic points.
result Proved that in low discriminant, non-square-tiled Veech surfaces have no periodic points, except for fixed points of the Prym involution.
Estimating boundaries from point clouds with improved accuracy and rigorous error estimates.
problem Identifying the boundary of a domain from point cloud samples.
method Developed new estimators for normal vectors, distances, and boundary tests; provided error estimates.
result Efficient and accurate estimators for boundary properties on point clouds.
The paper classifies circle actions on 6D manifolds with isolated fixed points.
problem Classifying circle actions on 6D manifolds with isolated fixed points.
method Performing equivariant connected sums at fixed points with specific manifolds.
result A sequence of operations can reduce the fixed point data to the empty collection.
PoPPy is a Point Process toolbox based on PyTorch, which achieves flexible designing and efficient learning of point process models. It can be used for interpretable sequential data modeling and analysis, e.g., Granger causality analysis of multi-variate point processes, point process-based simulation and prediction of…
The paper models user-advertiser interactions using point processes.
problem Causal inference problems in user-advertiser interaction.
method Temporal marked point processes and neural point processes.
result Neural point processes as practical solutions.
A limit point p of a discrete group of Mobius transformations acting on S^n is called a concentration point if for any sufficiently small connected open neighborhood U of p, the set of translates of U contains a local basis for the topology of S^n at p. For the case of Fuchsian groups (n = 1), every concentration point…
The paper develops methods to create private synthetic spatial point patterns.
problem Generating private synthetic spatial point patterns.
method Developed differentially private Poisson and Cox point synthesizers.
result The synthesizers effectively maintain privacy and utility of synthetic data.
Self-focal points on ellipsoids of dimension 3 or higher are rare.
problem Existence of self-focal points on Riemannian manifolds of dimension 3 or higher.
method Analyzing geodesics and umbilic points on ellipsoids of various dimensions.
result Ellipsoids of dimension 3 or higher with at least 4 distinct axes have no self-focal points.
We construct non-trapping asymptotically hyperbolic manifolds with boundary conjugate points but no interior conjugate points.
The paper introduces a method to probabilistically select inducing points in sparse Gaussian processes.
problem The challenge is selecting the optimal number of inducing points in sparse Gaussian processes.
method A point process prior is applied to the inducing points, and the posterior is approximated using stochastic variational inference.
result The model learns which and how many inducing points to use, leading to fewer inducing points being preferred as they become less informative.
Groups with special properties always have fixed points.
problem Groups acting on finite CW-complexes without fixed points.
method Exhibited specific groups with strong fixed-point properties.
result Groups with finite generation and torsion-freeness have global fixed points.
The paper proves Γ-convergence of discrete tangent-point energies to continuous energies and ropelength, with applications to biarc curves.
problem Proving convergence of discrete tangent-point energies to continuous energies and ropelength.
method Using biarc curves and interpolation, the paper proves Γ-convergence of discretized tangent-point energies to the continuous tangent-point energies and ropelength functional. result Discrete almost minimizing biarc curves converge to ropelength minimizers and minimizers of continuous tangent-point energies.
The study confirms a conjecture about critical points of smooth functions.
problem Understanding isolated critical points of smooth functions.
method Investigated cone-like, reasonable, and Rothe H hypothesis critical points.
result The conjecture holds true for certain critical points.
New method upsamples sparse, non-uniform point clouds more accurately.
problem Suboptimal results from existing point cloud upsampling methods.
method Imposes manifold distribution constraints using Gaussian functions.
result Generates higher-quality, more uniformly distributed dense point clouds.