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.
Gini index needs auto-calibration for consistent decision-making.
Researchers analyze the relationship between ML cost functions and the C-index in survival analysis.
The 3D index of Dimofte-Gaiotto-Gukov a partially defined function on the set of ideal triangulations of 3-manifolds with torii boundary components. For a fixed tuple of integers, the index takes values in the set of -series with integer coefficients. Our goal is to give an axiomatic definition of the tetra…
In this paper we provide evidence that financial option markets for equity indices give rise to non-trivial dependency structures between its constituents. Thus, if the individual constituent distributions of an equity index are inferred from the single-stock option markets and combined via a Gaussian copula, for examp…
We define Conditional quasi concave Performance Measures (CPMs), on random variables bounded from below, to accommodate for additional information. Our notion encompasses a wide variety of cases, from conditional expected utility and certainty equivalent to conditional acceptability indexes. We provide the characteriza…
The paper demonstrates that a pure-diffusion 3/2 model is able to capture the observed upward-sloping implied volatility skew in VIX options. This observation contradicts a common perception in the literature that jumps are required for the consistent modelling of equity and VIX derivatives. The pure-diffusion model, h…
Abstract reviews algorithms for multi-index models, focusing on polynomial-time methods and their limitations.
Method improves volatility targeting for index construction.
A concept of martingale-fair index of return, consistent with Arbitrage Free Pricing Theory, is introduced. An explicit formula for the average rate of return of a group of investment/pension funds in a discrete time stochastic model is derived and several properties of this index are shown. In particular, it is proven…
The study introduces a high-dimensional tail index model for viral post analysis.
Bank transactions help predict macroeconomic indexes faster and more accurately.
Volatility, fitting with first order Landau expansion, stationarity, and causality of the Taiwan stock market (TAIEX) are investigated based on daily records. Instead of consensuses that consider stock market index change as a random time series we propose the market change as a dual time series consists of the index a…
The study finds robust index bounds for minimal hypersurfaces in specific geometric spaces.
In the spirit of the emergent field of econophysics, a goodness-of-fit test for the Power-Law distribution, based on the Empirical Distribution Function (EDF) is presented, and related problems are discussed. An analysis of the tail behaviour of the daily logarithmic variation of the Mexican Stock Market Index (IPC), s…
We study natural families of d-bar operators on the moduli space of stable parabolic vector bundles. Applying a families index theorem for hyperbolic cusp operators from our previous work, we find formulae for the Chern characters of the associated index bundles. The contributions from the cusps are explicitly expresse…
Study on geodesics proving index and intersection bounds, with examples of multiplicity.
A new tail-shape index based on Value at Risk and Expected Shortfall.
The study analyzes spectral asymmetry and index theory on manifolds with generalized hyperbolic cusps.
Based on the Aristotelian concept of potentiality vs. actuality allowing for the study of energy and dynamics in language, we propose a field approach to lexical analysis. Falling back on the distributional hypothesis to statistically model word meaning, we used evolving fields as a metaphor to express time-dependent c…
We propose a new class of mappings, called Dynamic Limit Growth Indices, that are designed to measure the long-run performance of a financial portfolio in discrete time setup. We study various important properties for this new class of measures, and in particular, we provide necessary and sufficient condition for a Dyn…
The study finds no evidence of stochastic arbitrage opportunities in S&P 500 index options.
New clustering method for financial data with known cluster number.
The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up-down asymmetry, which, surprisingly, is not observed for the individual stocks composing that index. To explain this, we introduce a market model consisting of randomly fluctuating stocks that occas…
New algorithm finds best subset in high-dimensional data models.
Robust Transformer-Based One-Step Stock Index Forecasting via Shifted Data Augmentation
Bitcoin returns exhibit a distinct inverse cubic law scaling behavior.
Let G be a torus acting linearly on a complex vector space M, and let X be the list of weights of G in M. We determine the equivariant K-theory of the open subset of M consisting of points with finite stabilizers. We identify it to the space DM(X) of functions on the lattice of weights of G, satisfying the cocircuit di…
Research builds an index measuring analysts' perception of informational asymmetry.
The Knowledge Gradient policy is improved for MABs by avoiding dominated actions.
Random forests are a type of ensemble method which makes predictions by combining the results of several independent trees. However, the theory of random forests has long been outpaced by their application. In this paper, we propose a novel random forests algorithm based on cooperative game theory. Banzhaf power index …
p-index approach shows efficient-contrarian strategy outperforms others in low-sentiment periods
Hybrid quantum-classical method optimizes financial index tracking.
Study index theory for foliated manifolds with boundary using blup groupoids.
Develops methods for estimating volatility models in high dimensions.
Study shows risk-averse investors have consistent ranking of risky assets.
Study benchmarks 26 clustering validity measures.
Study forecasts U.S. bond index using deep learning, finding persistence is key.
Improved linear upper bound for ribbonlength of knots.
New algorithm learns from sparse data without knowing sparsity index.
We study the distribution of fluctuations over a time scale (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately 1 million records sampled at 1 min intervals for the 13-year period 1984-1996, database (ii) contains 8686 daily records for the 35-year pe…
Researchers develop a numerical method to compute the index of self-shrinkers, finding it to be 5 for the Angenent torus.
The paper proves consistency of GVI posteriors under minimal conditions.
Constructs an analytic index for infinite dimensional manifolds with -action.
The paper characterizes toroidal sets as attractors for flows and homeomorphisms of R^3.
The variational framework for learning inducing variables (Titsias, 2009a) has had a large impact on the Gaussian process literature. The framework may be interpreted as minimizing a rigorously defined Kullback-Leibler divergence between the approximating and posterior processes. To our knowledge this connection has th…
Paper introduces a new framework for MAB processes with arm switch restrictions.
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models the first two moments of the spot recovery rate as its higher moments have almost no contribution to the loss distributio…
One index satisfies the duality axiom if one agent, who is uniformly more risk-averse than another, accepts a gamble, the latter accepts any less risky gamble under the index. Aumann and Serrano (2008) show that only one index defined for so-called gambles satisfies the duality and positive homogeneity axioms. We call …