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.
We present a survey on generic singularities of geodesic flows in smooth signature changing metrics (often called pseudo-Riemannian) in dimension 2. Generically, a pseudo-Riemannian metric on a 2-manifold changes its signature (degenerates) along a curve , which locally separates into a Riemannian () an…
New method improves speed of estimating bivariate functional data.
Market activity scales near a constant of 0.632 in intrinsic time.
The goal of the change-point detection is to discover changes of time series distribution. One of the state of the art approaches of the change-point detection are based on direct density ratio estimation. In this work we show how existing algorithms can be generalized using various binary classification and regression…
This study investigates empirically whether the degree of stock market efficiency is related to the prediction power of future price change using the indices of twenty seven stock markets. Efficiency refers to weak-form efficient market hypothesis (EMH) in terms of the information of past price changes. The prediction …
New loops found in universe's timeline, challenging traditional time direction.
Stock price prediction is a rich research topic that has attracted interest from various areas of science. The recent success of machine learning in speech and image recognition has prompted researchers to apply these methods to asset price prediction. The majority of literature has been devoted to predicting either th…
During the directional drilling, a bit may sometimes go to a nonproductive rock layer due to the gap about 20m between the bit and high-fidelity rock type sensors. The only way to detect the lithotype changes in time is the usage of Measurements While Drilling (MWD) data. However, there are no general mathematical mode…
Online CPD for weighted and directed graphs using RDPG model.
Study slopes of direct images in complex manifolds, proving a Mehta-Ramanathan type theorem.
The objective of change-point detection is to discover abrupt property changes lying behind time-series data. In this paper, we present a novel statistical change-point detection algorithm based on non-parametric divergence estimation between time-series samples from two retrospective segments. Our method uses the rela…
Recent years have seen an increasing popularity of learning the sparse \emph{changes} in Markov Networks. Changes in the structure of Markov Networks reflect alternations of interactions between random variables under different regimes and provide insights into the underlying system. While each individual network struc…
This paper analyzes the direction of the causality between crude oil, gold and stock markets for the largest economy in the world with respect to such markets, the US. To do so, we apply non-linear Granger causality tests. We find a nonlinear causal relationship among the three markets considered, with the causality go…
Audit fees change based on company and economic factors during auditor switching.
The telegraph process models a random motion with finite velocity and it is usually proposed as an alternative to diffusion models. The process describes the position of a particle moving on the real line, alternatively with constant velocity or . The changes of direction are governed by an homogeneous Poisso…
The objective of the change-point detection is to discover the abrupt property changes lying behind the time-series data. In this paper, we firstly summarize the definition and in-depth implication of the changepoint detection. The next stage is to elaborate traditional and some alternative model-based changepoint dete…
Paper detects changes in graph-based data streams using likelihood-ratios.
Develops statistical methods for rates of change on Riemannian manifolds.
We generalise the description of the dynamics of the order book of financial markets in terms of a Brownian particle embedded in a fluid of incoming, exiting and annihilating particles by presenting a model of the velocity on each side (buy and sell) independently. The improved model builds on the time-averaged number …
This paper analyzes quantiles of heavy-tailed distributions, separating projection direction and quantile threshold effects.
A method detects changes in heterogeneous data streams over graph nodes.
Predicts short-term futures contract direction using neural networks and order flow data.
We propose a new method for detecting changes in Markov network structure between two sets of samples. Instead of naively fitting two Markov network models separately to the two data sets and figuring out their difference, we \emph{directly} learn the network structure change by estimating the ratio of Markov network m…
Study uses deep learning to predict asset prices, finds complex target processes lead to meaningless predictions.
In this paper, we look to address the problem of estimating the dynamic direction of arrival (DOA) of a narrowband signal impinging on a sensor array from the far field. The initial estimate is made using a Bayesian compressive sensing (BCS) framework and then tracked using a Bayesian compressed sensing Kalman filter (…
New algorithms improve causal direction inference accuracy using parallel ensemble methods.
Novel optimization method detects change points in Gaussian data.
New method recovers causal DAGs from general environments without strict assumptions.
Trend change prediction in complex systems with a large number of noisy time series is a problem with many applications for real-world phenomena, with stock markets as a notoriously difficult to predict example of such systems. We approach predictions of directional trend changes via complex lagged correlations between…
We study the problem of learning sparse structure changes between two Markov networks and . Rather than fitting two Markov networks separately to two sets of data and figuring out their differences, a recent work proposed to learn changes \emph{directly} via estimating the ratio between two Markov network models…
We study coordinate-invariance of some asymptotic invariants such as the ADM mass or the Chruściel-Herzlich momentum, given by an integral over a "boundary at infinity". When changing the coordinates at infinity, some terms in the change of integrand do not decay fast enough to have a vanishing integral at infinity; bu…
Defect of knot polynomials remains invariant under certain braid substitutions.
Two methods find at least two solutions to Kazdan-Warner's problem on surfaces.
Study shows changes in information sharing between Bitcoin markets during 2017 crash.
A new approach to obtaining market--directional information, based on a non-stationary solution to the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. In our previous work[2], we established that it is the share execution flow () and…
PGD-trained models have a preferential direction in their gradients, which improves robustness.
Local solubility of Bao--Ratiu equations proven for surfaces with specific curvature conditions.
ZDP detects drift in large language models without labels, proving key theorems and metrics.
We introduce a new measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes are due to endogenous feedback processes, as opposed to exogenous news. For this, we calibrate the self-excited conditional Poisson Hawkes model, whi…
Robustly detects and attributes climate change impacts under interventions.
Learning rates in stochastic neural network training are currently determined a priori to training, using expensive manual or automated iterative tuning. This study proposes gradient-only line searches to resolve the learning rate for neural network training algorithms. Stochastic sub-sampling during training decreases…
The study categorizes Korean Exchange member firms into three types and analyzes their trading behavior.
Analyzing real data on international trade covering the time interval 1950-2000, we show that in each year over the analyzed period the network is a typical representative of the ensemble of maximally random weighted networks, whose directed connections (bilateral trade volumes) are only characterized by the product of…
AutoML struggles with climate change data, but offers potential improvements.
While market is a social field where information flows over the interacting agents, there have been not so many methods to observe the spreading information in the prices comprising the market. By incorporating the entropy transfer in information theory in its relation to the Granger causality, the paper proposes a tre…
A novel framework infers causal direction from symbolic sequences using pattern entropy.
The present paper introduces a jump-diffusion extension of the classical diffusion default intensity model by means of subordination in the sense of Bochner. We start from the bi-variate process of a diffusion state variable driving default intensity and a default indicator process and time change it wi…
It is commonplace to encounter heterogeneous or nonstationary data, of which the underlying generating process changes across domains or over time. Such a distribution shift feature presents both challenges and opportunities for causal discovery. In this paper, we develop a framework for causal discovery from such data…