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.
Investor-driven information diffusion affects excess comovement in China and the U.S. markets.
A time-varying cointegration model for foreign exchange rates is presented. Unlike previous studies, we allow the loading matrix in the vector error correction (VEC) model to be varying over time. Because the loading matrix in the VEC model is associated with the speed at which deviations from the long-run relationship…
Business cycles tend to comove across countries. However, standard models that attribute comovement to propagation of exogenous shocks struggle to generate a level of comovement that is as high as in the data. In this paper, we consider models that produce business cycles endogenously, through some form of non-linear d…
A proof is given that the maximal Fermi coordinate chart for any comoving observer in a broad class of Robertson-Walker spacetimes consists of all events within the cosmological event horizon, if there is one, or is otherwise global. Exact formulas for the metric coefficients in Fermi coordinates are derived. Sharp uni…
This study examines how economic policy uncertainty impacts commodity prices across different crises.
Study news networks to predict stock returns.
Novel method CHPCA simplifies complex market dynamics.
A characterization of the foliation by spacelike slices of an -dimensional spatially closed Generalized Robertson-Walker spacetime is given by means of studying a natural mean curvature type equation on spacelike graphs. Under some natural assumptions, of physical or geometric nature, all the entire solutions of…
Study examines how economic policy uncertainty impacts stock markets.
COCA accelerates -body simulations by correcting ML errors.
Perpetual futures offer leverage without maturity, with prices influenced by funding rates.
This paper contributes to the literature on international stock market comovements and contagion. The novelty of our approach lies in application of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock markets in a time-frequency domain. While major part of…
New method filters large networks from financial data to reveal key subnetworks.
The study finds that factor momentum is significant only at short lags compared to stock momentum.
In this article we review several techniques to extract information from stock market data. We discuss recurrence analysis of time series, decomposition of aggregate correlation matrices to study co-movements in financial data, stock level partial correlations with market indices, multidimensional scaling and minimum s…
Milne-like spacetimes are a class of FLRW models which admit spacetime extensions through the big bang. The boundary of a Milne-like spacetime can be identified with a null cone in the extension. We find that the comoving observers all emanate from a single point in the extension. This suggests that something phy…
Study space-like surfaces in Robertson-Walker spacetimes with specific geometric conditions.
Review of financial dependencies using econophysics and financial economics.
We study the statistical properties of the recurrence intervals between successive trading volumes exceeding a certain threshold . The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period from January 2000 to May 2009, and two Chinese indices from January 2003 to April 2…
The paper introduces a new volatility model for state heterogeneous financial markets using high-frequency data.
A multi-neck spacetime wormhole is constructed with a simple metric tensor.
The study explores spacetimes with changing spatial curvature, leading to topological transitions.
On the fifth of February, 2018, the Dow Jones Industrial Average dropped 1,175.21 points, the largest single-day fall in history in raw point terms. This followed a 666-point loss on the second, and another drop of over a thousand points occurred three days later. It is natural to ask whether these events indicate a tr…
New cosmological models with changing curvature slices.
Study reveals how illiquidity network signals Chinese stock market crashes.
Study analyzes AI's impact on firms, markets, and workers using large language model data.
New method cleans cross-covariance matrices for better financial forecasting.
Stock market comovements are examined using cointegration, Granger causality tests and nonlinear approaches in context of mutual information and correlations. Underlying data sets are affected by non-stationarities and trends, we also apply AMF-DFA and AMF-DXA. We find only 170 pair of Stock markets cointegrated, and a…
In a flat space, the global topology of comoving space can induce a weak acceleration effect similar to dark energy. Does a similar effect occur in the case of the Poincare dodecahedral space S^3/I^*? Does the effect distinguish the Poincare space from other well-proportioned spaces? The residual acceleration effect in…