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.
New model solves equity premium puzzle with risk aversion coefficient.
Solves equity premium puzzle with time-varying variables.
Study on CEF discount in Bangladesh, finds size and maturity impact, turnover negative.
Solves the equity premium puzzle without calibrated values.
New model solves equity premium puzzle.
Puzzle Mix optimizes mixup by leveraging saliency and local statistics.
Siegel's paradox is a fundamental question in international finance about exchange rates for futures contracts and has puzzled many scholars for over forty years. The unorthodox approach presented in this article leads to an arbitrage-free solution which is invariant under currency re-denominations and is symmetric, as…
New puzzles from geometry and topology.
We analyze higher-dimensional sliding puzzles, finding solvability patterns.
Open geometry puzzles keep the author engaged.
New distribution resolves excess volatility puzzle in finance.
In this article we prove the impossibility of some disentanglement puzzles, first building mathematical models that reflect the essential characteristics of these puzzles.
This paper introduces the first deep neural network-based estimation metric for the jigsaw puzzle problem. Given two puzzle piece edges, the neural network predicts whether or not they should be adjacent in the correct assembly of the puzzle, using nothing but the pixels of each piece. The proposed metric exhibits an e…
We solve in closed-form an equilibrium model in which a finite number of exponential investors continuously consume and trade with price-impact. Compared to the analogous Pareto-efficient equilibrium model, price-impact has an amplification effect on risk-sharing distortions that helps resolve the interest rate puzzle …
We introduce Quintessence: a family of burr puzzles based on the geometry and combinatorics of the 120-cell. We discuss the regular polytopes, their symmetries, the dodecahedron as an important special case, the three-sphere, and the quaternions. We then construct the 120-cell, giving an illustrated survey of its geome…
In his stimulating article on the reasons for two puzzling observations about the behaviour of interest rates, exchange rates and the rate of inflation, Charles Engel (2016) puts forward an explanation that rests on the concept of a non-pecuniary liquidity return on assets. Albeit intriguing the analysis struggles to a…
Algorithm finds characteristic maps over complex shapes.
Solved Dudeney's 100-year-old puzzle about triangle to square dissection.
The paper explains a geometry puzzle from Plato's Meno.
Globalization is one of the central concepts of our age. The common perception of the process is that, due to declining communication and transport costs, distance becomes less and less important. However, the distance coefficient in the gravity model of trade, which grows in time, indicates that the role of distance i…
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as anomalies the theory of rational finance cannot explain: Predictability of asset returns, The Equity Premium, (The Volatility Puzzle. We offer resolutions of those objections within the rational finance…
Voluntary insurance contracts constitute a puzzle because they increase the expectation value of one party's wealth, whereas both parties must sign for such contracts to exist. Classically, the puzzle is resolved by introducing non-linear utility functions, which encode asymmetric risk preferences; or by assuming the p…
Understanding and reasoning about physics is an important ability of intelligent agents. We develop the PHYRE benchmark for physical reasoning that contains a set of simple classical mechanics puzzles in a 2D physical environment. The benchmark is designed to encourage the development of learning algorithms that are sa…
An edge tessellation is a tiling of the plane generated by reflecting a polygon in its edges. We prove that a polygon generating an edge tessellation is one the following eight types: a rectangle; an equilateral, 60-right, isosceles right, or 120-isosceles triangle; a 120-rhombus; a 60-90-120 kite; or a regular hexagon…
Archaeologists are in dire need of automated object reconstruction methods. Fragments reassembly is close to puzzle problems, which may be solved by computer vision algorithms. As they are often beaten on most image related tasks by deep learning algorithms, we study a classification method that can solve jigsaw puzzle…
Financial markets provide a natural quantitative lab for understanding some of the most advanced human behaviours. Among them is the use of mathematical tools known as financial instruments. Besides money, the two most fundamental financial instruments are bonds and equities. More than 30 years ago Mehra and Prescott f…
A hybrid scheme uses GAs and DL for tile panel reconstruction.
Generating music medleys is about finding an optimal permutation of a given set of music clips. Toward this goal, we propose a self-supervised learning task, called the music puzzle game, to train neural network models to learn the sequential patterns in music. In essence, such a game requires machines to correctly sor…
New method makes robust estimators work without knowing corruption levels.
Paper develops a discounted algorithm for online convex optimization that adapts to unknown discount factors.
Paper introduces non-linear discounting models for default compensation and climate valuation.
By using two different invariants for the Rubik's Magic puzzle, one of metric type, the other of topological type, we can dramatically reduce the universe of constructible configurations of the puzzle. Finding the set of actually constructible shapes remains however a challenging task, that we tackle by first reducing …
We introduce two operations named biflip and puzzle-move on simple polytopes producing polytopes with diffeomorphic moment-angle manifolds.
Chess engines Stockfish and LCZero differ in their approach to solving endgame puzzles.
Study analyzes how discounts affect train ticket purchases and rescheduling in Switzerland.
We demonstrate a limitation of discounted expected utility, a standard approach for representing the preference to risk when future cost is discounted. Specifically, we provide an example of the preference of a decision maker that appears to be rational but cannot be represented with any discounted expected utility. A …
Proves lower discount rates are needed for future losses.
Reinforcement learning (RL) typically defines a discount factor as part of the Markov Decision Process. The discount factor values future rewards by an exponential scheme that leads to theoretical convergence guarantees of the Bellman equation. However, evidence from psychology, economics and neuroscience suggests that…
There is an observed basis between repo discounting, implied from market repo rates, and bond discounting, stripped from the market prices of the underlying bonds. Here, this basis is explained as a convexity effect arising from the decorrelation between the discount rates for derivatives and bonds. Using a Hull-White …
Proposes a new framework for discount models.
Revises derivative pricing post financial crisis by defining a discount rate.
This paper shows how forward rate interpolations are equivalent to discount factor interpolations in yield curve construction.
Deep networks generalize well due to hidden mechanisms like renormalization.
New RL approach handles non-exponential discounting for sequential decisions.
The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself. Yields vary across different investment opportunities and their interrelations are …
We optimize discounts to maximize influence spread in social networks.
Study optimal portfolio strategies with time-varying discount rates.
The Unified Growth Theory is a puzzling collection of myths based on illusions created by hyperbolic distributions. Some of these myths are discussed. The examination of data shows that the three stages of growth (Malthusian Regime, Post-Malthusian Regime and Modern Growth Regime) did not exist and that Industrial Revo…