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.
Skewness dispersion predicts future stock market returns, especially in months with monetary policy announcements.
Proposes a new portfolio optimization method considering reward, dispersion, and asymmetry.
In this paper, we establish the stochastic ordering of the Gini indexes for multivariate elliptical risks which generalized the corresponding results for multivariate normal risks. It is shown that several conditions on dispersion matrices and the components of dispersion matrices of multivariate normal risks for the m…
The standard deviation and Gini mean difference order based on tail behavior.
Urban dispersal events are processes where an unusually large number of people leave the same area in a short period. Early prediction of dispersal events is important in mitigating congestion and safety risks and making better dispatching decisions for taxi and ride-sharing fleets. Existing work mostly focuses on pred…
The paper links labor income risk to stock returns using industry portfolio returns.
Network models assume unrealistic idiosyncratic risk, which can be mitigated by allowing for correlated shocks.
The study analyzes the differences between physical and risk-neutral correlation estimates for equity baskets.
New risk class penalizes loss deviations from mean on both sides.
New Gini indices capture more nuanced income inequality.
New model predicts weekly earthquakes with better tail risk assessment.
New dispersion indices based on inaccuracy and divergence introduced for information measures.
We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occurs with certain probability penalized by the dispersion of results that are worse than such an expectation. SDR combines Expected Shortfall (ES) and Shortfall Deviation (SD), which we also introduce, contemplating t…
In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution (CoD) measures as measures of systemic risk and analyze their properties and representations. The classes include the well-known conditional Value-at-Risk, conditional Expected Shortfall, and r…
New heat dispersion laws established for smooth compact manifolds.
MallowsPO enhances LLM fine-tuning with a dispersion index of human preferences.
Geometric focusing affects dispersive estimates for Schrödinger and wave equations.
Study on stock market volatility and return dispersion during COVID-19.
In the recent years, banks have sold structured products such as worst-of options, Everest and Himalayas, resulting in a short correlation exposure. They have hence become interested in offsetting part of this exposure, namely buying back correlation. Two ways have been proposed for such a strategy : either pure correl…
The study examines Hawkes processes and their long-term behavior.
Transformers for binary decisions are sensitive to evidence order, leading to unreliable outcomes.
New framework controls statistical dispersion for high-stakes applications.
I report a new statistical distribution formulated to confront the infamous, long-standing, computational/modeling challenge presented by highly skewed and/or leptokurtic ("fat- or heavy-tailed") data. The distribution is straightforward, flexible and effective. Even when working with far fewer data points than are rou…
Bayesian model tackles spatial count data issues with flexible non-parametric techniques.
Short-term incentives lead to riskier trading strategies.
Procyclicality of historical risk measure estimation means that one tends to over-estimate future risk when present realized volatility is high and vice versa under-estimate future risk when the realized volatility is low. Out of it different questions arise, relevant for applications and theory: What are the factors w…
JojoSCL improves scRNA-seq clustering by reducing intra-cluster dispersion.
Bayesian Quadrature improves ensembling for neural networks with dispersed likelihood peaks.
Proposes a new metric for financial risk based on volatility's local deviations.
We consider time-domain digital backpropagation with chromatic dispersion filters jointly optimized and quantized using machine-learning techniques. Compared to the baseline implementations, we show improved BER performance and >40% power dissipation reductions in 28-nm CMOS.
Study on billiard trajectories with fixed bounces.
Machine learning techniques have recently received significant attention as promising approaches to deal with the optical channel impairments, and in particular, the nonlinear effects. In this work, a machine learning-based classification technique, known as the Parzen window (PW) classifier, is applied to mitigate the…
Paper transforms a complex equation into simpler forms for analysis.
Probabilistic modeling is cyclical: we specify a model, infer its posterior, and evaluate its performance. Evaluation drives the cycle, as we revise our model based on how it performs. This requires a metric. Traditionally, predictive accuracy prevails. Yet, predictive accuracy does not tell the whole story. We propose…
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous semimartingale price representations, and is thus consistent with virtually any ass…
Study robustness of conformal prediction to label noise in regression and classification.
We provide a mathematical definition of fragility and antifragility as negative or positive sensitivity to a semi-measure of dispersion and volatility (a variant of negative or positive "vega") and examine the link to nonlinear effects. We integrate model error (and biases) into the fragile or antifragile context. Unli…
Reduced-order model improves LES for atmospheric pollutant dispersion.
We develop an optimal currency hedging strategy for fund managers who own foreign assets to choose the hedge tenors that maximize their FX carry returns within a liquidity risk constraint. The strategy assumes that the offshore assets are fully hedged with FX forwards. The chosen liquidity risk metric is Cash Flow at R…
Dropout improves regularization in flexible models for rare features.
Study dispersive estimates for Schrödinger and wave equations on a cone with specific metric.
The uncertainty or the variability of the data may be treated by considering, rather than a single value for each data, the interval of values in which it may fall. This paper studies the derivation of basic description statistics for interval-valued datasets. We propose a geometrical approach in the determination of s…
We discuss a short-time existence theorem of solutions to the initial value problem for a third order dispersive flow for closed curves into a compact almost Hermitian manifold. Our equations geometrically generalize a physical model describing the motion of vortex filament. The classical energy method cannot work for …
The purpose of this paper is to study the generalized Fong--Vasicek two-factor interest rate model with stochastic volatility. In this model the dispersion of the stochastic short rate (square of volatility) is assumed to be stochastic as well and it follows a non-negative process with volatility proportional to the sq…
We present a machine-learning approach to classifying the phases of surface wave dispersion curves. Standard FTAN analysis of surfaces observed on an array of receivers is converted to an image, of which, each pixel is classified as fundamental mode, first overtone, or noise. We use a convolutional neural network (U-ne…
We study productivity dispersions across workers, firms and industrial sectors. Empirical study of the Japanese data shows that they all obey the Pareto law, and also that the Pareto index decreases with the level of aggregation. In order to explain these two stylized facts, we propose a theoretical framework built upo…
Improved peak detection in ChIP-seq data reduces over-dispersion.
A new risk budgeting scheme derived from universal portfolio theory.