arXiv research

Paper predicts cryptocurrency bull and bear phases using Bitcoin's moving averages.

The paper finds that bear markets cause recessions and bull markets cause expansions, with bull markets having a stronger causal effect.

Paper models market dynamics using bull and bear forces.

A phenomenon of the financial log-periodicity is discussed and the characteristics that amplify its predictive potential are elaborated. The principal one is self-similarity that obeys across all the time scales. Furthermore the same preferred scaling factor appears to provide the most consistent description of the mar…

Paper introduces Market-adaptive Ratio for better portfolio management.

Study cryptocurrency market complexity using multifractal and cross-correlation analyses.

Method for factor analysis in short panels without assuming sphericity or Gaussianity.

In practice, one must recognize the inevitable incompleteness of information while making decisions. In this paper, we consider the optimal redeeming problem of stock loans under a state of incomplete information presented by the uncertainty in the (bull or bear) trends of the underlying stock. This is called drift unc…

Study compares cryptocurrency and stock markets using statistical equilibrium models.

It is suggested to consider long term trends of financial markets as a growth phenomenon. The question that is asked is what conditions are needed for a long term sustainable growth or contraction in a financial market? The paper discuss the role of traditional market players of long only mutual funds versus hedge fund…

A new framework separates classifier calibration and discrimination.

Paper presents a dynamic tail risk protection strategy using ML and econometrics.

Establishing unambiguously the existence of speculative bubbles is an on-going controversy complicated by the need of defining a model of fundamental prices. Here, we present a novel empirical method which bypasses all the difficulties of the previous approaches by monitoring external indicators of an anomalously growi…

We introduce and treat rigorously a new multi-agent model of the continuous double auction or in other words the order book (OB). It is designed to explain collective behaviour of the market when new information affecting the market arrives. The novel feature of the model is two additional slow changing parameters, the…

Corollary 2.3 in our paper "A geometric proof of the Karpelevich-Mostow theorem", Bull. Lond. Math. Soc. 41 (2009), no. 4, 634-638, is false. Here we give a counterexample and show how to avoid the use of this corollary to give a simpler proof of Karpelevich-Mostow theorem. We also include a short discussion of the ori…

Based on our "finance-prediction-oriented" methodology which involves such elements as log-periodic self-similarity, the universal preferred scaling factor lambda=2, and allows a phenomenon of the "super-bubble" we analyze the 2009 world stock market (here represented by the SP500, Hang Seng and WIG) development. We id…

Network analysis reveals changing cryptocurrency market leaders.

On a closed, connected Riemannian manifold with a Kähler foliation of codimension $q=2m$, any transverse Killing $r\ (\geq 2)$-form is parallel (S. D. Jung and M. J. Jung [\ref{JJ2}], Bull. Korean Math. Soc. 49 (2012)). In this paper, we study transverse conformal Killing forms on Kähler foliations and prove that if th…

The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and find that it is closely related to trading volume as observed in real markets. Th…

Let $(M,g)$ be a complete non-compact Riemannian manifold with the $m$-dimensional Bakry-Émery Ricci curvature bounded below by a non-positive constant. In this paper, we give a localized Hamilton-type gradient estimate for the positive smooth bounded solutions to the following nonlinear diffusion equation \[ u_t=Δu-\n…

We consider the existence of simple closed geodesics or "geodesic knots" in finite volume orientable hyperbolic 3-manifolds. Previous results show that at least one geodesic knot always exists [Bull. London Math. Soc. 31(1) (1999) 81-86], and that certain arithmetic manifolds contain infinitely many geodesic knots [J. …

The study provides a criterion for diffeomorphism via long-time Ricci flow.

We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using Multifractal Detrended Fluctuation Analysis (MFDFA). By calculating the singularity spectra $f(α)$ we show that returns of both signs reveal multiscaling. Curiously, these spectra display a s…

Y. J. Suh and H. Lee (Bull. Korean. Math. Soc. 47, 551-561 (2010)) characterized real hypersurfaces $M$ of type $B$ by the invariance of vector bundle $JTM^\perp$ under the shape operator and the orthogonality of $JTM^\perp$ and $\mathcal {J}TM^\perp$, where $TM^\perp$, $J$ and $\mathcal J$ are the normal bundle of $M$…

Study gradient estimates for nonlinear parabolic equations on Riemannian manifolds.

Paper compares RL models for finance, finding Reward Clipping best.

Motivated by a recent work of X. Chen and M. Zhu (Commun. Math. Stat., 1 (2013) 369-385), we establish a Trudinger-Moser inequality on compact Riemannian surface without boundary. The proof is based on blow-up analysis together with Carleson-Chang's result (Bull. Sci. Math. 110 (1986) 113-127). This inequality is diffe…

Using a method rooted in information theory, we present results that have identified a large set of stocks for which social media can be informative regarding financial volatility. By clustering stocks based on the joint feature sets of social and financial variables, our research provides an important contribution by …

In this paper, we solve portfolio rebalancing problem when security returns are represented by uncertain variables considering transaction costs. The performance of the proposed model is studied using constant-proportion portfolio insurance (CPPI) as rebalancing strategy. Numerical results showed that uncertain paramet…

Solves Dirichlet problem for Lagrangian phase equation with critical and supercritical phase.

Portfolio allocation is crucial for investment companies. However, getting the best strategy in a complex and dynamic stock market is challenging. In this paper, we propose a novel Adaptive Deep Deterministic Reinforcement Learning scheme (Adaptive DDPG) for the portfolio allocation task, which incorporates optimistic …

We investigate how the local fluctuations of the signed traded volumes affect the dependence of demands between stocks. We analyze the empirical dependence of demands using copulas and show that they are well described by a bivariate $\mathcal{K}$ copula density function. We find that large local fluctuations strongly …

We consider the mean--variance portfolio optimization problem under the game theoretic framework and without risk-free assets. The problem is solved semi-explicitly by applying the extended Hamilton--Jacobi--Bellman equation. Although the coefficient of risk aversion in our model is a constant, the optimal amounts of m…

Kock [Bull. Austral. Math. Soc., 25 (1982), 357-386] has considered differential forms with values in a group in a context where neighborhood relations are available. By doing so, he has made it clear where the so-called Maurer-Cartan formula should come from. In this paper, while we retain the classical definition of …

During a stock market peak the price of a given stock ($i$) jumps from an initial level $p_1(i)$ to a peak level $p_2(i)$ before falling back to a bottom level $p_3(i)$. The ratios $A(i) = p_2(i)/p_1(i)$ and $B(i)= p_3(i)/p_1(i)$ are referred to as the peak- and bottom-amplitude respectively. The paper show…

We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use transaction volume probability to describe price volatility uncertainty and intens…

A major issue in harmonic analysis is to capture the phase dependence of frequency representations, which carries important signal properties. It seems that convolutional neural networks have found a way. Over time-series and images, convolutional networks often learn a first layer of filters which are well localized i…

Researchers adaptively analyze market regimes to reveal investor behavior shifts.

New algorithms handle phase retrieval with rank d measurements, revealing phase transitions.

Model predicts risk-adjusted returns across various financial markets.

New estimators improve efficiency in two-phase designs with coarsened data.

Paper develops estimates for Lagrangian phase changes in 2D.

The purpose of this article is to provide, with the help of a fluctuation identity, a generic link between a number of known identities for the first passage time and overshoot above/below a fixed level of a Levy process and the solution of Gerber and Shiu [Astin Bull. 24 (1994) 195-220], Boyarchenko and Levendorskii […

Machine learning predicts phase behavior in active matter suspensions.

In this paper, we perform statistical segmentation and clustering analysis of the Dow Jones Industrial Average time series between January 1997 and August 2008. Modeling the index movements and log-index movements as stationary Gaussian processes, we find a total of 116 and 119 statistically stationary segments respect…

Machine learning approximates phase transitions using Fisher information.

UPR hybrid model improves phase retrieval performance.

If a given behavior of a multi-agent system restricts the phase variable to a invariant manifold, then we define a phase transition as change of physical characteristics such as speed, coordination, and structure. We define such a phase transition as splitting an underlying manifold into two sub-manifolds with distinct…