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.
Study examines insurance sector linkages and systemic risk using dynamic spanning trees.
We investigate the time series of the degree of minimum spanning trees obtained by using a correlation based clustering procedure which is starting from (i) asset return and (ii) volatility time series. The minimum spanning tree is obtained at different times by computing correlation among time series over a time windo…
Sharp bounds for spanning tree entropy in planar lattices.
The Jones polynomial can be expressed in terms of spanning trees of the graph obtained by checkerboard coloring a knot diagram. We show there exists a complex generated by these spanning trees whose homology is the reduced Khovanov homology. The spanning trees provide a filtration on the reduced Khovanov complex and a …
A new classification method based on Minimum Spanning Trees
Alexander polynomial equals spanning tree count at t=1.
New spanning tree model connects knot homology, s-invariant, and exotic discs.
For a spanning tree T of a connected graph G and for a labelling φ: E(T) \rightarrow {+, -}, φis called an alternating sign on a spanning tree T of a graph G if for any cotree edge e \in E(G)-E(T), the unique path in T joining both end vertices of e has alternating signs. In the present note, we prove that any graph ha…
A new classifier improves one-class predictions on unevenly sampled data.
We consider the problem of change-point detection in multivariate time-series. The multivariate distribution of the observations is supposed to follow a graphical model, whose graph and parameters are affected by abrupt changes throughout time. We demonstrate that it is possible to perform exact Bayesian inference when…
We use a spanning tree model to prove a result of E. S. Lee on the support of Khovanov homology of alternating knots.
We study the crash dynamics of the Warsaw Stock Exchange (WSE) by using the Minimal Spanning Tree (MST) networks. We find the transition of the complex network during its evolution from a (hierarchical) power law MST network, representing the stable state of WSE before the recent worldwide financial crash, to a superst…
Study asymptotic expansion of graph Laplacian on discretized surfaces, relating spanning trees and cycle-rooted forests.
In this paper, we investigate the statistical features of the weighted international-trade network. By finding the maximum weight spanning trees for this network we make the extraction of the truly relevant connections forming the network's backbone. We discuss the role of large-sized countries (strongest economies) in…
Oriented ribbon graphs (dessins d'enfant) are graphs embedded in oriented surfaces. A quasi-tree of a ribbon graph is a spanning subgraph with one face, which is described by an ordered chord diagram. We show that for any link diagram , there is an associated ribbon graph whose quasi-trees correspond bijectively to …
In this paper we analyzed dependencies in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 - 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The tree provides evidence for sector clusterization of investigated contracts. We a…
Boost-R uses gradient boosted trees for analyzing recurrence data.
Optimal coupling among random vectors with known statistics and correlation structure found using minimum spanning tree over measure-valued vertices.
We introduce block-tree graphs as a framework for deriving efficient algorithms on graphical models. We define block-tree graphs as a tree-structured graph where each node is a cluster of nodes such that the clusters in the graph are disjoint. This differs from junction-trees, where two clusters connected by an edge al…
We iterate Manolescu's unoriented skein exact triangle in knot Floer homology with coefficients in the field of rational functions over . The result is a spectral sequence which converges to a stabilized version of delta-graded knot Floer homology. The page of this spectral sequence …
Estimates tree-based density from random vectors.
In this article we review several techniques to extract information from stock market data. We discuss recurrence analysis of time series, decomposition of aggregate correlation matrices to study co-movements in financial data, stock level partial correlations with market indices, multidimensional scaling and minimum s…
Paper proposes an algorithm to reconstruct optimal model structure from graph adjacency matrix.
We decompose the exchange rates returns of 41 currencies (incl. gold) into their sign and amplitude components. Then we group together all exchange rates with a common base currency, construct Minimal Spanning Trees for each group independently, and analyze properties of these trees. We show that both the sign and the …
Proves bounds on spanning two-forests and random cut sizes.
A new method for one-class classifiers using spanning trees and sub-spaces.
Oriented ribbon graphs (dessins d'enfant) are graphs embedded in oriented surfaces. The Bollobás-Riordan-Tutte polynomial is a three-variable polynomial that extends the Tutte polynomial to oriented ribbon graphs. A quasi-tree of a ribbon graph is a spanning subgraph with one face, which is described by an ordered chor…
A new hierarchical clustering method selects representative points from sub-minimum-spanning-trees.
There is intense interest in understanding the stochastic and dynamical properties of the global Foreign Exchange (FX) market, whose daily transactions exceed one trillion US dollars. This is a formidable task since the FX market is characterized by a web of fluctuating exchange rates, with subtle inter-dependencies wh…
The classical Matrix-Tree Theorem allows one to list the spanning trees of a graph by monomials in the expansion of the determinant of a certain matrix. We prove that in the case of three-graphs (that is, hypergraphs whose edges have exactly three vertices) the spanning trees are generated by the Pfaffian of a suitably…
We use the spanning tree model for Khovanov homology to study Legendrian links. This leads to an alternative proof for Ng's Khovanov bound for the Thurston-Bennequin number and to both a necessary and a sufficient condition for this bound to be sharp.
We consider the detection of activations over graphs under Gaussian noise, where signals are piece-wise constant over the graph. Despite the wide applicability of such a detection algorithm, there has been little success in the development of computationally feasible methods with proveable theoretical guarantees for ge…
We investigate the problem of sequentially predicting the binary labels on the nodes of an arbitrary weighted graph. We show that, under a suitable parametrization of the problem, the optimal number of prediction mistakes can be characterized (up to logarithmic factors) by the cutsize of a random spanning tree of the g…
Mutual information minimum spanning trees are used to explore nonlinear dependencies on Brazilian equity network in the periods from June/01/2015 to January/26/2016, in which Brazil was under the government of President Dilma Rousseff, and from January/27/2016 to September/08/2016 which includes the government transiti…
We study relations between the Alexander-Conway polynomial and Milnor higher linking numbers of links from the point of view of finite-type (Vassiliev) invariants. We give a formula for the first non-vanishing coefficient of of an m-component link L all of whose Milnor numbers van…
Lumbermark clusters data robustly, slicing limbs of mutual reachability trees.
Correlation matrices of foreign exchange rate time series are investigated for 60 world currencies. Minimal Spanning Tree (MST) graphs for the gold, silver and platinum are presented. Inverse power like scaling is discussed for these graphs as well as for four distinct currency groups (major, liquid, less liquid and no…
We investigate the problem of nodes clustering under privacy constraints when representing a dataset as a graph. Our contribution is threefold. First we formally define the concept of differential privacy for structured databases such as graphs, and give an alternative definition based on a new neighborhood notion betw…
New method estimates root-directed tree from extreme data.
We introduce a new class of lower bounds on the log partition function of a Markov random field which makes use of a reversed Jensen's inequality. In particular, our method approximates the intractable distribution using a linear combination of spanning trees with negative weights. This technique is a lower-bound count…
This paper uses two hierarchical techniques, a minimal spanning tree and an ultrametric hierarchical tree, to extract a topological influence map for major currencies from the ultrametric distance matrix for 1996-2001. We find that these two techniques generate a defined and robust scale free network with meaningful ta…
We studied the topology of correlation networks among 34 major currencies using the concept of a minimal spanning tree and hierarchical tree for the full years of 2007-2008 when major economic turbulence occurred. We used the USD (US Dollar) and the TL (Turkish Lira) as numeraires in which the USD was the major currenc…
Determinants of theta curves and symmetric graphs are studied.
One-class classifiers are trained with target class only samples. Intuitively, their conservative modelling of the class description may benefit classical classification tasks where classes are difficult to separate due to overlapping and data imbalance. In this work, three methods are proposed which leverage on the co…
This paper proposes a new method to adapt ROMs for new parameter settings.
flexBART improves BART for categorical predictors by creating flexible tree partitions.
We investigate hierarchical structure in various complex systems according to Minimum Spanning Tree methods. Firstly, we investigate stock markets where the graphis obtained from the matrix of correlations coefficient computed between all pairs of assets by considering the synchronous time evolution of the difference o…
It is conjectured that the Khovanov homology of a knot is invariant under mutation. In this paper, we review the spanning tree complex for Khovanov homology, and reformulate this conjecture using a matroid obtained from the Tait graph (checkerboard graph) G of a knot diagram K. The spanning trees of G provide a filtrat…