Two sweeps of the Brennan-Schwartz algorithm solve American options under negative rates.
arXiv research
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.
Trend · papers per month
Continuous Sweep improves binary quantifier performance.
We prove the absence of a universal diameter bound on lengths of curves in a sweep-out of a Riemannian 2-sphere. If such bound existed it would yield a simple proof of existence of short geodesic segments and closed geodesics on a sphere of small diameter.
Trading floors need to be twice as deep as electronic markets to compete.
Paper estimates area covered by a line-sweep sensor in robotics.
New algorithm learns efficiently in multi-agent settings.
It is known that the almost-Kaehler anti-self-dual metrics on a given 4-manifold sweep out an open subset in the moduli space of anti-self-dual metrics. However, we show here by example that this subset is not generally closed, and so need not sweep out entire connected components in the moduli space. Our construction …
The paper proves the existence of CMC surfaces with controlled topology in 3-manifolds.
Develops an algorithm to find the best subset of points for maximizing the coefficient of determination.
Paper tackles non-uniform coverage planning for robots.
Study efficient power iteration for tensor models, proving convergence under specific conditions.
Our goal is to generalize the Choe-Hoppe helicoid and Clifford cones in Euclidean space. By sweeping out indpendent Clifford cones in via the multi-screw motion, we construct minimal submanifolds in . Also, we sweep out the -rays Clifford cone (introduced in Sectio…
SMC analysis reveals key transient effects in macroeconomic ABM.
SHIFT improves robustness in estimating dose-response functions with heavy-tailed contamination.
Study on 3D surfaces and tangles formed by Poncelet triangles.
We give a stereological version of the Gauss-Bonnet formula in order to compute the Euler characteristic of a domain with boundary in a smooth orientable surface in R^3, by looking at contacts with a "sweeping" plane.
Tool manipulation is vital for facilitating robots to complete challenging task goals. It requires reasoning about the desired effect of the task and thus properly grasping and manipulating the tool to achieve the task. Task-agnostic grasping optimizes for grasp robustness while ignoring crucial task-specific constrain…
We observe that the maximal open set of constant curvature k in a Riemannian manifold with curvature bounded below or above by k has a convexity type property, which we call "two-convexity". This statement is used to prove a number of rigidity statements in comparison geometry.
We present a novel method in the family of particle MCMC methods that we refer to as particle Gibbs with ancestor sampling (PG-AS). Similarly to the existing PG with backward simulation (PG-BS) procedure, we use backward sampling to (considerably) improve the mixing of the PG kernel. Instead of using separate forward a…
Proves local noncollapsing estimate for mean curvature flow.
We use Khovanov-Rozansky gl(N) link homology to define invariants of oriented smooth 4-manifolds, as skein modules constructed from certain 4-categories with well-behaved duals. The technical heart of this construction is a proof of the sweep-around property, which makes these link homologies well defined in the 3-sphe…
3D spheres can't be swept by short curves, complicating geodesic length estimates.
Particle Markov chain Monte Carlo (PMCMC) is a systematic way of combining the two main tools used for Monte Carlo statistical inference: sequential Monte Carlo (SMC) and Markov chain Monte Carlo (MCMC). We present a novel PMCMC algorithm that we refer to as particle Gibbs with ancestor sampling (PGAS). PGAS provides t…
We show that the sum of the Morse indices of the Willmore spheres realising the width of Willmore type sweep-outs is bounded by the number of the parameters of the min-max. As an application, we deduce that among the true Willmore spheres realising the min-max sphere eversion, at most one of them one has index 1, while…
15 Einstein 4-manifolds with positive conformal curvature are classified.
A new principle for optimizer selection improves training speed and performance.
In this paper, we use several techniques with conventional vocal feature extraction (MFCC, STFT), along with deep-learning approaches such as CNN, and also context-level analysis, by providing the textual data, and combining different approaches for improved emotion-level classification. We explore models that have not…
We develop methods for efficient amortized approximate Bayesian inference over posterior distributions of probabilistic clustering models, such as Dirichlet process mixture models. The approach is based on mapping distributed, symmetry-invariant representations of cluster arrangements into conditional probabilities. Th…
We establish a min-max estimate on the volume width of a closed Riemannian manifold with nonnegative Ricci curvature. More precisely, we show that every closed Riemannian manifold with nonnegative Ricci curvature admits a PL Morse function whose level set volume is bounded in terms of the volume of the manifold. As a c…
We analyse all Mini Flash Crashes (or Flash Equity Failures) in the US equity markets in the four most volatile months during 2006-2011. In contrast to previous studies, we find that Mini Flash Crashes are the result of regulation framework and market fragmentation, in particular due to the aggressive use of Intermarke…
Ancient pancake solutions found for curvature flows.
Page's Einstein metric on CP_2 # (-CP_2) is conformally related to an extremal Kaehler metric. Here we construct a family of conformally Kähler solutions of the Einstein-Maxwell equations that deforms the Page metric, while sweeping out the entire Kaehler cone of CP_2 # (-CP_2).The same method also yields analogous sol…
A general theory of partial balayage on Riemannian manifolds is developed, with emphasis on compact manifolds. Partial balayage is an operation of sweeping measures, or charge distributions, to a prescribed density, and it is closely related to (construction of) quadrature domains for subharmonic functions, growth proc…
When a Dehn filled link manifold contains a geometrically incompressible one-sided surface, it is shown there is a unique boundary incompressible position that the surface can take in the link space. The proof uses a version of the sweep-out technique from two-sided Heegaard splitting theory. When applied to one-sided …
A Klein surface is a surface with a dianalytic structure. A double of a Klein surface is a Klein surface such that there is a degree two morphism (of Klein surfaces) . There are many doubles of a given Klein surface and among them the so-called natural doubles which are: the complex double, the …
New distances for comparing heterogeneous probability measures efficiently.
We define a general notion of abstract double Lie algebroid. We show (1) that the double Lie algebroid of a double Lie groupoid is a double Lie algebroid in this sense; (2) that the double cotangent constructed from Lie algebroid structures on a vector bundle A and its dual A* is a double Lie algebroid if and only if (…
Flip symmetry on knot diagrams affects Khovanov homology.
The word `double' was used by Ehresmann to mean `an object X in the category of all X'. Double categories, double groupoids and double vector bundles are instances, but the notion of Lie algebroid cannot readily be doubled in the Ehresmann sense, since a Lie algebroid bracket cannot be defined diagrammatically. In this…
A Monge surface is a surface obtained by sweeping a generating plane curve along a trajectory that is orthogonal to the moving plane containing the curve. Locally, they are characterized as being foliated by a family of planar geodesic lines of curvature. We call surfaces with the latter property PGF surfaces, and inve…
We prove that given a three manifold with an arbitrary metric of positive Ricci curvature, there exists a sweepout of by surfaces of genus and areas bounded by . We use this result to construct a sweepout of by 1-cycles of length at most . The sweepo…
We define double principal bundles (DPBs), for which the frame bundle of a double vector bundle, double Lie groups and double homogeneous spaces are basic examples. It is shown that a double vector bundle can be realized as the associated bundle of its frame bundle. Also dual structures, gauge transformations and conne…
Generalizes Hecke algebra for double torus, linking to skein algebra.
Introduces Poisson double algebroids and their relation to Lie 2-bialgebras.
Survey of global geometry for double field theory.
This paper establishes an equivalence between transitive double Lie algebroids and core diagrams.
Unified framework for SGMoE resolves estimation and selection issues.
We define an abstract notion of double Lie algebroid, which includes as particular cases: (1) the double Lie algebroid of a double Lie groupoid in the sense of the author, such as the iterated tangent bundle of an ordinary manifold, and various iterated tangent/cotangent constructions in symplectic and Poisson geometry…