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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.

168,694 papers · 148 categories

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12243648 · May 202619922001200920172026
48 results for carry

Paper compares ETF and futures carry rates in segmented Bitcoin markets.

problem Limitations in cross-margining between spot Bitcoin and CME futures.
method Estimates carry rates from IBIT options and CME futures, uses put-call parity and daily ETF holdings.
result Mean and median wedge in carry rates is 2.58 and 2.52 percent, respectively.

We derive general Novikov-Morse type inequalities in a Conley type framework for flows carrying cocycles, therefore generalizing our results in [FJ2] derived for integral cocycle. The condition of carrying a cocycle expresses the nontriviality of integrals of that cocycle on flow lines. Gradient-like flows are distingu…

2003-11-30abs ↗pdf ↗

Study reveals a hidden cost in derivatives markets through option-implied discount factors.

problem The hidden cost in derivatives markets, not visible in price space.
method Minute-level NBBO data on options, reduced-form specification linking carry gap to implementation risk, trading frictions, and financial conditions.
result An annualized carry gap exists, linked to implementation risk and financial conditions.

A contamination in a 3-manifold is an object interpolating between the contact structure and the lamination. Contaminations seem to provide a link between 3-dimensional contact geometry and the classical topology of 3-manifolds, as described in a separate paper. In this paper we deal with contaminations carried by bran…

2003-07-21abs ↗pdf ↗

Classifies manifolds with specific spinors and constructs parallel spinors.

problem Classifying manifolds with generalized Killing spinors.
method Explicitly constructs parallel spinors and considers modified Dirac currents.
result Classifies Riemannian spin^c manifolds with type I and II imaginary generalized Killing spinors.

In this work, we describe how to obtain the structure of an infinite-dimensional Lie group on the group of compactly carried bundle automorphisms Autc(P) for a locally convex prinicpal bundle P over a finite-dimensional smooth sigma-compact base M. This is a generalization of previous work by Wockel, where the base M w…

2013-10-31abs ↗pdf ↗

We consider the problem of finding optimal strategies that maximize the average growth-rate of multiplicative stochastic processes. For a geometric Brownian motion the problem is solved through the so-called Kelly criterion, according to which the optimal growth rate is achieved by investing a constant given fraction o…

2015-10-17abs ↗pdf ↗

We present a sketch of the proof of the following theorems: (1) Every 3-manifold has only finitely many homotopy classes of 2-plane fields which carry tight contact structures. (2) Every closed atoroidal 3-manifold carries finitely many isotopy classes of tight contact structures.

2003-05-13abs ↗pdf ↗

Suppose ττ is a train track on a surface SS. Let C(τ)C(τ) be the set of isotopy classes of simple closed curves carried by ττ. Masur and Minsky [2004] prove C(τ)C(τ) is quasi-convex inside the curve complex C(S)C(S). We prove the complement, C(S)C(τ)C(S) - C(τ), is quasi-convex.

2014-10-17abs ↗pdf ↗

A homeomorphism of a compact metric space is {\em tight} provided every non-degenerate compact connected (not necessarily invariant) subset carries positive entropy. It is shown that every C1+αC^{1+α} diffeomorphism of a closed surface factors to a tight homeomorphism of a generalized cactoid (roughly, a surface with nod…

2002-11-04abs ↗pdf ↗

We characterize certain CR structures of arbitrary codimension (different from 3, 4 and 5) on Riemannian Spinc^c manifolds by the existence of a Spinc^c structure carrying a strictly partially pure spinor field. Furthermore, we study the geometry of Riemannian Spinc^c manifolds carrying a strictly partially pure spi…

2012-08-09abs ↗pdf ↗

Train a lightweight carry-on model on existing LLMs for faster customization.

problem Customizing large language models for specific tasks is computationally expensive.
method Train an additional branch of transformer blocks on the final-layer embedding of pretrained LLMs, then merge them with a carry-on module.
result Training a 100M carry-on layer requires less than 1GB GPU memory, making it scalable and affordable.

The infinite matrix `Schwartz' group GG^{-\infty} is a classifying group for odd K-theory and carries Chern classes in each odd dimension, generating the cohomology. These classes are closely related to the Fredholm determinant on G.G^{-\infty}. We show that while the higher (even, Schwartz) loop groups of $G^{-\infty…

2006-06-16abs ↗pdf ↗

Let S^3_r(K) be the oriented 3--manifold obtained by rational r-surgery on a knot K in S^3. Using the contact Ozsvath-Szabo invariants we prove, for a class of knots K containing all the algebraic knots, that S^3_r(K) carries positive, tight contact structures for every r not= 2g_s(K)-1, where g_s(K) is the slice genus…

2004-04-06abs ↗pdf ↗

Let XX be an infinite Riemann surface equipped with its conformal hyperbolic metric such that the action of the covering group π1(X)π_1(X) on X~\tilde{X} is of the first kind-i.e., the surface XX is equal to its convex core. We first prove that any geodesic lamination on XX is nowhere dense. Given a fixed geodesic pant…

2019-02-09abs ↗pdf ↗

The technique of Formal Concept Analysis is applied to a dataset describing the traits of rodents, with the goal of identifying zoonotic disease carriers,or those species carrying infections that can spillover to cause human disease. The concepts identified among these species together provide rules-of-thumb about the …

2016-08-25abs ↗pdf ↗

For elliptic principal bundles $π:X\ra B$ over Kähler manifolds it was shown by Blanchard that XX has a Kähler metric if and only both Chern classes (with real coefficients) of ππ vanish. For some elliptic principal bundles, when the span of these Chern classes is 1-dimensional, it was shown by Vaisman that XX carry…

2010-01-06abs ↗pdf ↗

A Riemann-Lie algebra is a Lie algebra G\cal G such that its dual G{\cal G}^* carries a Riemannian metric compatible (in the sense introduced by th author in C. R. Acad. Paris, t. 333, Série I, (2001) 763-768) with the canonical linear Poisson sructure of G{\cal G}^*. The notion of Riemann-Lie algebra has its origin…

2003-10-18abs ↗pdf ↗

We determine all Ricci flat left invariant Lorentzian metrics on simply connected 2-step nilpotent Lie groups. We show that the 2k+12k+1-dimensional Heisenberg Lie group H2k+1H_{2k+1} carries a Ricci flat left invariant Lorentzian metric if and only if k=1k=1. We show also that for any 2qk2\leq q\leq k, H2k+1H_{2k+1} carries a R…

2009-10-14abs ↗pdf ↗

Let L be a link in a thickened annulus. We show that its sutured annular Khovanov homology carries an action of the exterior current algebra of the Lie algebra sl_2. When L is an m-framed n-cable of a knot K in the three-sphere, its sutured annular Khovanov homology carries a commuting action of the symmetric group S_n…

2015-05-17abs ↗pdf ↗

We describe a necessary and sufficient condition for a principal circle bundle over an even-dimensional manifold to carry an invariant contact structure. As a corollary it is shown that all circle bundles over a given base manifold carry an invariant contact structure, only provided the trivial bundle does. In particul…

2011-07-25abs ↗pdf ↗

Pattern recognition in neuroimaging distinguishes between two types of models: encoding- and decoding models. This distinction is based on the insight that brain state features, that are found to be relevant in an experimental paradigm, carry a different meaning in encoding- than in decoding models. In this paper, we a…

2015-12-15abs ↗pdf ↗

Model criticism is usually carried out by assessing if replicated data generated under the fitted model looks similar to the observed data, see e.g. Gelman, Carlin, Stern, and Rubin [2004, p. 165]. This paper presents a method for latent variable models by pulling back the data into the space of latent variables, and c…

2017-11-13abs ↗pdf ↗

We develop an optimal currency hedging strategy for fund managers who own foreign assets to choose the hedge tenors that maximize their FX carry returns within a liquidity risk constraint. The strategy assumes that the offshore assets are fully hedged with FX forwards. The chosen liquidity risk metric is Cash Flow at R…

2019-03-15abs ↗pdf ↗

We study existence of complex structures on semidirect products $\g \oplus_ρ \v$ where $\g$ is a real Lie algebra and ρρ is a representation of $\g$ on $\v$. Our first examples, the Euclidean algebra $\e(3)$ and the Poincaré algebra $ \e(2,1)$, carry complex structures obtained by deformation of a regular complex stru…

2003-07-29abs ↗pdf ↗

In this paper we give a complete local parametric classification of the hypersurfaces with dimension at least three of a space form that carry a totally geodesic foliation of codimension one. A classification under the assumption that the leaves of the foliation are complete was given in \cite{drt} for Euclidean hypers…

2018-04-03abs ↗pdf ↗