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.
Study on symmetries and equilibria in Poisson manifolds, with applications to rigid body dynamics.
The paper explores scaling symmetries in symplectic geometry and their applications to central configurations.
For a symmetric Hamiltonian system, lower bounds for the number of relative equilibria surrounding stable and formally unstable relative equilibria on nearby energy levels are given.
We prove a criterion for stability of relative equilibria in symmetric Hamiltonian systems at singular points of the momentum map. This generalizes a theorem of G.W. Patrick. The method of the proof is also useful in studying the bifurcation of relative equilibria.
We discuss the characterization of relative equilibria of Lagrangian systems with symmetry.
We present applications of the notion of isomorphic vector fields to the study of nonlinear stability of relative equilibria. Isomorphic vector fields were introduced by Hepworth [Theory Appl. Categ. 22 (2009), 542-587] in his study of vector fields on differentiable stacks. Here we argue in favor of the usefulness of …
The study examines Nash equilibria in utility maximization games with multiplicative performance criteria.
We present a framework for studying the dynamics of equivariant vector fields near relative equilibria. To overcome the lack of linearization at a relative equilibrium or the possible non-smoothness of the orbit space, we categorify the space of equivariant vector fields. A category where the objects are equivariant ve…
We generalize the Weinstein-Moser theorem on the existence of nonlinear normal modes near an equilibrium in a Hamiltonian system to a theorem on the existence of relative perodic orbits near a relative equilibrium in a Hamiltonian system with continuous symmetries. In particular we prove that under appropriate hypothes…
The relative equilibria of a symmetric Hamiltonian dynamical system are the critical points of the so-called augmented Hamiltonian. The underlying geometric structure of the system is used to decompose the critical point equations and construct a collection of implicitly defined functions and reduced equations describi…
We study the system of heterogeneous interbank lending and borrowing based on the relative average of log-capitalization given by the linear combination of the average within groups and the ensemble average and describe the evolution of log-capitalization by a system of coupled diffusions. The model incorporates a game…
The paper solves portfolio optimization problems with risk constraints.
A new game-theoretic approach balances downside risk with expected reward.
This paper relaxes the common prior assumption in the public and private information game of Morris and Shin (2000, 2004). For the generalized game, where the agent's prior expectations are heterogenous, it derives a sharp condition for the emergence of unique/multiple equilibria. This condition indicates that unique e…
We present an equivariant Liapunov stability criterion for dynamical systems with symmetry. This result yields a simple proof of the energy-momentum-Casimir stability analysis of relative equilibria of equivariant Hamiltonian systems.
The simplest non-collision solutions of the N-body problem are the "relative equilibria", in which each body follows a circular orbit around the centre of mass and the shape formed by the N bodies is constant. It is easy to see that the moment of inertia of such a solution is constant. In 1970, D. Saari conjectured tha…
Endogenous reinsurance pricing in large insurance markets
The following are expanded lecture notes for the course of eight one hour lectures given by the second author at the 2014 summer school Asymptotic Analysis in General Relativity held in Grenoble by the Institut Fourier. The first four lectures deal with conformal geometry and the conformal tractor calculus, taking as p…
We study the convergence of Nash equilibria in a game of optimal stopping. If the associated mean field game has a unique equilibrium, any sequence of -player equilibria converges to it as . However, both the finite and infinite player versions of the game often admit multiple equilibria. We show that me…
Last-iterate guarantees for learning in co-coercive games under noisy feedback.
We analyze a family of portfolio management problems under relative performance criteria, for fund managers having CARA or CRRA utilities and trading in a common investment horizon in log-normal markets. We construct explicit constant equilibrium strategies for both the finite population games and the corresponding mea…
Study shows randomized strategies can't be Nash equilibria in markets with transient price impact.
The study examines different types of equilibria for stopping problems in one-dimensional diffusion processes.
Upper bounds for Steklov eigenvalues on manifolds with boundary.
We propose local symplectic surgery, a two-timescale procedure for finding local Nash equilibria in two-player zero-sum games. We first show that previous gradient-based algorithms cannot guarantee convergence to local Nash equilibria due to the existence of non-Nash stationary points. By taking advantage of the differ…
Study optimal investment in large populations of competitive, heterogeneous agents.
We consider free and proper cotangent-lifted symmetries of Hamiltonian systems. For the special case of G = SO(3), we construct symplectic slice coordinates around an arbitrary point. We thus obtain a parametrisation of the phase space suitable for the study of dynamics near relative equilibria, in particular for the B…
We present the general theory of curves in conformal geometry using tractor calculus. This primarily involves a tractorial determination of distinguished parametrizations and relative and absolute conformal invariants of generic curves. The absolute conformal invariants are defined via a tractor analogue of the classic…
The paper proves uniqueness of a solution in general relativity.
Study network equilibria in saturated systems, revealing how small shocks can trigger major losses.
Paper develops efficient algorithms for learning rationalizable equilibria in multiplayer games.
A new definition of continuous-time equilibrium controls is introduced. As opposed to the standard definition, which involves a derivative-type operation, the new definition parallels how a discrete-time equilibrium is defined, and allows for unambiguous economic interpretation. The terms "strong equilibria" and "weak …
Study time-inconsistent portfolio optimization for competitive agents with relative performance criteria.
Study global geometry of dynamical systems with entire vector fields.
Variationality of conformal geodesics fails in higher dimensions.
New energy measure for isolated systems in general relativity.
Investors' strategies in a market influenced by price impact are analyzed, showing aggressive behavior when impact exceeds a critical point.
New results on financial equilibria in markets with general semimartingales.
This paper analyzes complex equilibria in a networked bivirus epidemic model.
We reinterpret special relativity, or more precisely its de Sitter deformation, in terms of 3d conformal geometry, as opposed to (3+1)d spacetime geometry. An inertial observer, usually described by a geodesic in spacetime, becomes instead a choice of ways to reverse the conformal compactification of a Euclidean vector…
New findings show pure strategy equilibria are more robust in a war of attrition game.
The constraint equations of general relativity can in many cases be solved by the conformal method. We show that a slight modification of the equations of the conformal method admits no solution for a broad range of parameters. This suggests that the question of existence or non-existence of solutions to the original e…
We introduce a notion of relative isospectrality for surfaces with boundary having possibly non-compact ends either conformally compact or asymptotic to cusps. We obtain a compactness result for such families via a conformal surgery that allows us to reduce to the case of surfaces hyperbolic near infinity recently stud…
Study of superintegrable systems linked to affine hypersurfaces.
Under risk, Arrow-Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long-lived securities. We show that this result generically fails if there is Knightian uncertainty in the volatility. Implementation is only possible if all discounted net trades of the equilibrium allocation are m…
In this paper the possibility of computing equilibrium in pure exchange and production economies by a homotopy method is investigated. The performance of the algorithm is tested on examples with known equilibria taken from the literature on general equilibrium models and numerical results are presented. In computing eq…
Study of MHD equilibria with orientation-reversing symmetry, showing all orbits are periodic.
New method finds all Nash equilibria via vector optimization.