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.
This is the first paper in a series which proposes and develops the polyfold Fredholm structure--Kuranishi structure correspondence, identifying these two abstract perturbative structures which are indispensable for constructing and understanding symplectic invariants in the most general settings. In this paper, I pres…
Abstract: A possibilistic portfolio choice problem using expected utility operators.
problem A possibilistic portfolio choice problem in the framework of expected utility operators.
method Using expected utility operators, the paper formulates a possibilistic choice problem and derives two approximate calculation formulas for optimization.
result Two approximate calculation formulas for optimization of possibilistic portfolio choice problem.
In anomaly-free quantum field theories the integrand in the bosonic functional integral--the exponential of the effective action after integrating out fermions--is often defined only up to a phase without an additional choice. We term this choice ``setting the quantum integrand''. In the low-energy approximation to M-t…
Memory affects how we perceive time and make decisions about the future.
problem Temporal distortions and intertemporal choice preferences in humans and non-human subjects.
method Combining information theory and artificial intelligence, the study explains these phenomena through sensorimotor representation coding efficiency.
result Memory constraints lead to a renormalization of perceived timescales, resulting in different discount functions.
Many investment models in discrete or continuous-time settings boil down to maximizing an objective of the quantile function of the decision variable. This quantile optimization problem is known as the quantile formulation of the original investment problem. Under certain monotonicity assumptions, several schemes to so…
In this paper, we develop differential twisted K-theory and define a twisted Chern character on twisted K-theory which depends on a choice of connection and curving on the twisting gerbe. We also establish the general Riemann-Roch theorem in twisted K-theory and find some applications in the study of twisted K-theory o…
We investigate how the choice of decision makers can be varied under the presence of risk and uncertainty. Our analysis is based on the approach we have previously applied to individual decision makers, which we now generalize to the case of decision makers that are members of a society. The approach employs the mathem…
Unlike the case of surfaces of topologically finite type, there are several different Teichmüller spaces that are associated to a surface of topological infinite type. These Teichmüller spaces first depend (set-theoretically) on whether we work in the hyperbolic category or in the conformal category. They also depend, …
We develop a Bayesian nonparametric extension of the popular Plackett-Luce choice model that can handle an infinite number of choice items. Our framework is based on the theory of random atomic measures, with the prior specified by a gamma process. We derive a posterior characterization and a simple and effective Gibbs…
In this article, we address the question of how non-knowledge about future events that influence economic agents' decisions in choice settings has been formally represented in economic theory up to date. To position our discussion within the ongoing debate on uncertainty, we provide a brief review of historical develop…
The study examines how choice of risk measure and volatility estimator affects procyclicality.
problem Understanding the factors affecting procyclicality in risk measure estimation.
method Examined three risk measures (Value-at-Risk, Expected Shortfall, Expectile), realized volatility estimators (sample variance, mean absolute deviation), and two models (iid and GARCH).
result Procyclicality is always present regardless of the choice of risk measure and realized volatility estimator.