arXiv research

New method connects veering triangulations to dynamic pairs.

Many dynamical systems exhibit similar structure, as often captured by hand-designed simplified models that can be used for analysis and control. We develop a method for learning to correspond pairs of dynamical systems via a learned latent dynamical system. Given trajectory data from two dynamical systems, we learn a …

Given a matched pair of Lie groups, we show that the tangent bundle of the matched pair group is isomorphic to the matched pair of the tangent groups. We thus obtain the Euler-Lagrange equations on the trivialized matched pair of tangent groups, as well as the Euler-Poincaré equations on the matched pair of Lie algebra…

Analysis of Vlasov plasma dynamics using matched pair Lie-Poisson formulation.

Dynamic paired comparison models, such as Elo and Glicko, are frequently used for sports prediction and ranking players or teams. We present an alternative dynamic paired comparison model which uses a Gaussian Process (GP) as a prior for the time dynamics rather than the Markovian dynamics usually assumed. In addition,…

This work's purpose is to understand the dynamics of limit order books in order-driven markets. We try to illustrate a dynamical trading mechanism attached to the microstructure of limit order markets. We capture the iterative nature of trading processes, which is critical in the dynamics of bid-ask pairs and the switc…

A framework for precontact geometry using pairs of differential forms.

Model-based reinforcement learning algorithms make decisions by building and utilizing a model of the environment. However, none of the existing algorithms attempts to infer the dynamics of any state-action pair from known state-action pairs before meeting it for sufficient times. We propose a new model-based method ca…

It is shown that the cotangent bundle of a matched pair Lie group is itself a matched pair Lie group. The trivialization of the cotangent bundle of a matched pair Lie group are presented. On the trivialized space, the canonical symplectic two-form and canonical Poisson bracket are explicitly written. Various symplectic…

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations across a number of investmen…

This paper is a rigorous study of the dual pair structure of the ideal fluid and the dual pair structure for the $n$-dimensional Camassa-Holm (EPDiff) equation, including the proofs of the necessary transitivity results. In the case of the ideal fluid, we show that a careful definition of the momentum maps leads natura…

Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction costs. To find optimal strategies which determine optimally both trade times and numb…

This study evaluates a dynamic pairs trading strategy in cryptocurrencies using cointegration tests.

Paper shows equivalence between MM and PH for n-D Morse functions.

Model predicts future term connections in biomedical research.

In this article we construct a canonical Kähler-Einstein current on a LC (log canonical) pairs of log general type as the limit of a sequence of canonical Kähler-Einstein currents on KLT(Kawamata log terminal) pairs of log general type. We call the volume form associated with the canonical Kähler-Einstein current the c…

Study stability and instability of Ricci-flat metrics under generalized Ricci flow.

Diffusion models learn simple statistics before complex ones, revealing a sample complexity exponent.

Paper models market dynamics using bull and bear forces.

Rank aggregation based on pairwise comparisons over a set of items has a wide range of applications. Although considerable research has been devoted to the development of rank aggregation algorithms, one basic question is how to efficiently collect a large amount of high-quality pairwise comparisons for the ranking pur…

Model forecasts market structure from financial networks using machine learning.

RL enhances cryptocurrency trading profits.

Sharkovskii proved that the existence of a periodic orbit in a one-dimensional dynamical system implies existence of infinitely many periodic orbits. We obtain an analog of Sharkovskii's theorem for periodic orbits of shear homeomorphisms of the torus. This is done by obtaining a dynamical order relation on the set of …

The paper extends the Manhattan curve concept to complex dynamics and studies its relation to multiplier spectra.

This study analyzes how one-layer transformers learn regular language recognition tasks.

Researchers identify critical protein residues using advanced graph theory.

Pairs trading is a market-neutral strategy that exploits historical correlation between stocks to achieve statistical arbitrage. Existing pairs-trading algorithms in the literature require rather restrictive assumptions on the underlying stochastic stock-price processes and the so-called spread function. In contrast to…

We study the local structure of Lie bialgebroids at regular points. In particular, we classify all transitive Lie bialgebroids. In special cases, they are connected to classical dynamical $r$-matrices and matched pairs induced by Poisson group actions

In this paper, we establish a fluid limit for a two--sided Markov order book model. Our main result states that in a certain asymptotic regime, a pair of measure-valued processes representing the "sell-side shape" and "buy-side shape" of an order book converges to a pair of deterministic measure-valued processes in a c…

Study ping-pong dynamics in hyperbolic-like groups with non-simple points.

We introduce two tools, dynamical thickening and flow selectors, to overcome the infamous discontinuity of the gradient flow endpoint map near non-degenerate critical points. More precisely, we interpret the stable fibrations of certain Conley pairs $(N,L)$, established in [2,3], as a dynamical thickening of the stable…

DQN outperforms static policies in a dynamic fee environment for automated market makers.

It is known that some equations of differential geometry are derived from variational principle in form of Euler-Lagrange equations. The equations of geodesic flow in Riemannian geometry is an example. Conversely, having Lagrangian dynamical system in a manifold, one can consider it as geometric equipment of this manif…

We study the question of how to imitate tasks across domains with discrepancies such as embodiment, viewpoint, and dynamics mismatch. Many prior works require paired, aligned demonstrations and an additional RL step that requires environment interactions. However, paired, aligned demonstrations are seldom obtainable an…

We give a complete characterization of the relationship between the shape of a Euclidean polygon and the symbolic dynamics of its billiard flow. We prove that the only pairs of tables that can have the same bounce spectrum are right-angled tables that differ by an affine map. The main tool is a new theorem that establi…

Model shows how heterogeneity in strategies and risk tolerance affects financial market stability.

New model predicts network events better than existing ones.

The global log canonical threshold (or Tian's alpha-invariant) plays an important role in the geometry of Fano varieties. Tian showed that Fano manifolds with big alpha-invariant can be equipped with a Kahler-Einstein metric. In recent years Donaldson drafted a programme to determine when a smooth Fano variety X admits…

We characterize the collective phenomena of a liquid market. By interpreting the behavior of a no-arbitrage N asset market in terms of a particle system scenario, (thermo)dynamical-like properties can be extracted from the asset kinetics. In this scheme the mechanisms of the particle interaction can be widely investiga…

We consider the learning of algorithmic tasks by mere observation of input-output pairs. Rather than studying this as a black-box discrete regression problem with no assumption whatsoever on the input-output mapping, we concentrate on tasks that are amenable to the principle of divide and conquer, and study what are it…

We consider dynamic risk measures induced by Backward Stochastic Differential Equations (BSDEs) in enlargement of filtration setting. On a fixed probability space, we are given a standard Brownian motion and a pair of random variables $(τ, ζ) \in (0,+\infty) \times E$, with $E \subset \mathbb{R}^m$, that enlarge the re…

Paper introduces 'zippers' for constructing universal circles.

Study finds Binance's tether-margined contracts significantly impact bitcoin volatility.

Multi-domain dialogue state tracking (DST) is a critical component for conversational AI systems. The domain ontology (i.e., specification of domains, slots, and values) of a conversational AI system is generally incomplete, making the capability for DST models to generalize to new slots, values, and domains during inf…

It has been known for a while that the effective geometrical description of compactified strings on $d$-dimensional target spaces implies a generalization of geometry with a doubling of the sets of tangent space directions. This generalized geometry involves an $O(d,d)$ pairing $η$ and an $O(2d)$ generalized metric $\m…

For the first time, we apply the wavelet coherence methodology on biofuels (ethanol and biodiesel) and a wide range of related commodities (gasoline, diesel, crude oil, corn, wheat, soybeans, sugarcane and rapeseed oil). This way, we are able to investigate dynamics of correlations in time and across scales (frequencie…

In this work, we study a dynamic portfolio optimization problem related to pairs trading, which is an investment strategy that matches a long position in one security with a short position in another security with similar characteristics. The relationship between pairs, called a spread, is modeled by a Gaussian mean-re…

Develops an oblique projection technique to approximate a foliation for non-normal dynamics.