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.
Algorithm classifies causal systems into kinds based on shared dynamical symmetries.
We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a strategy chosen from a proportional voting ``dominated'' by a leader's decision. The…
Chebyshev polynomials analyze Czech enterprises' stock dynamics.
New SDE model from machine learning optimization with unique stationary distribution.
We can talk about two kinds of stability of the Ricci flow at Ricci flat metrics. One of them is a linear stability, defined with respect to Perelman's functional . The other one is a dynamical stability and it refers to a convergence of a Ricci flow starting at any metric in a neighbourhood of a considere…
The correctness of Harrods model in the differential form is studied. The inadequacy of exponential growth of economy is shown; an alternative result is obtained. By example of Phillips model, an approach to correction of macroeconomic models (in terms of initial prerequisites) is generalized. A methodology based on ba…
Proves properties of Morse vector fields on compact manifolds.
The correctness of Harrods model in the differential form is studied. The inadequacy of exponential growth of economy is shown; an alternative result is obtained. By example of Phillips model, an approach to correction of macroeconomic models (in terms of initial prerequisites) is generalized. A methodology based on ba…
An interesting toy model has recently been proposed on Schumpeterian economic dynamics by Thurner {\it et al.} following the idea of economist Joseph Schumpeter. Punctuated equilibrium dynamics is shown to emerge from this model and some detail analyses of the time series indicate SOC kind of behaviours. The focus in t…
This note deals with arbitrary Morse-Smale diffeomorphisms in dimension 3 and extends ideas from \cite{GrLaPo}, \cite{GrLaPo1}, where gradient-like case was considered. We introduce a kind of Morse-Lyapunov function, called dynamically ordered, which fits well dynamics of diffeomorphism. The paper is devoted to finding…
In this paper we propose a new class of Dynamic Mixture Models (DAMMs) being able to sequentially adapt the mixture components as well as the mixture composition using information coming from the data. The information driven nature of the proposed class of models allows to exactly compute the full likelihood and to avo…
Dynamic graph models learn from changing data structures.
With the daily and minutely data of the German DAX and Chinese indices, we investigate how the return-volatility correlation originates in financial dynamics. Based on a retarded volatility model, we may eliminate or generate the return-volatility correlation of the time series, while other characteristics, such as the…
We introduce the minority game theory for two kinds of the Korean treasury bond (KTB) in Korean futures exchange markets. Since we discuss numerically the standard deviation and the global efficiency for an arbitrary strategy, our case is found to be approximate to the majority game. Our result presented will be compar…
Study analyzes Echo State Network parameters for Rossler attractor dynamics.
The Minority Game framework was recently generalized to account for the possibility that agents adapt not only through strategy selection but also by diversifying their response according to the kind of dynamical regime, or the risk, they perceive. Here we study the effects of this mechanism in different information st…
We consider the Ricci flow equation for invariant metrics on compact and connected homogeneous spaces whose isotropy representation decomposes into two irreducible inequivalent summands. By studying the corresponding dynamical system, we completely describe the behaviour of the homogeneous Ricci flow on this kind of sp…
Automatically explores geometric loci of curves using software networking.
Financial market dynamics is rigorously studied via the exact generalized Langevin equation. Assuming market Brownian self-similarity, the market return rate memory and autocorrelation functions are derived, which exhibit an oscillatory-decaying behavior with a long-time tail, similar to empirical observations. Individ…
Safe learning of stochastic dynamics with safety constraints.
The possibility that the collective dynamics of a set of stocks could lead to a specific basket violating the efficient market hypothesis is investigated. Precisely, we show that it is systematically possible to form a basket with a non-trivial autocorrelation structure when the examined time scales are at the order of…
Agents learn and control complex mechanical systems through shared memories.
Paper introduces Eden bracket for nonholonomic systems.
Dynamic defense against Byzantine poisoning in federated learning.
GRUs exhibit diverse dynamical behaviors but cannot mimic continuous attractors.
The paper studies the First Order BSPDEs (Backward Stochastic Partial Differential Equations) suggested earlier for a case of multidimensional state domain with a boundary. These equations represent analogs of Hamilton-Jacobi-Bellman equations and allow to construct the value function for stochastic optimal control pro…
A risk-neutral method is always used to price and hedge contingent claims in complete market, but another method based on utility maximization or risk minimization is wildly used in more general case. One can find all kinds of special risk measure in literature. In this paper, instead of using market modified risk meas…
This paper proposes a novel dynamic Hierarchical Dirichlet Process topic model that considers the dependence between successive observations. Conventional posterior inference algorithms for this kind of models require processing of the whole data through several passes. It is computationally intractable for massive or …
Proposes a neural network solution for queuing dynamics.
New conditional risk measures called conditional generalized quantiles defined and characterized.
A neural network approach to learn Cusp Catastrophe dynamics.
Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market model to the valuation of perpetual American options: derivatives with no maturity that can be exercised at any time. Our approach leads to opt…
Paper improves convergence rate of Langevin Dynamics algorithms.
Two new models for forward power prices capture clustering jumps.
We study iterations of two classical constructions, the evolutes and involutes of plane curves, and we describe the limiting behavior of both constructions on a class of smooth curves with singularities given by their support functions. Next we study two kinds of discretizations of these constructions: the curves are r…
Paper proves conformal transformation of special -metrics to Douglas spaces.
We study the tick dynamical behavior of the bond futures in Korean Futures Exchange(KOFEX) market. Since the survival probability in the continuous-time random walk theory is applied to the bond futures transaction, the form of the decay function in our bond futures model is discussed from two kinds of Korean Treasury …
The Davey Stewartson hierarchy will be developed based on a set of three matrix differential operators. These equations will act as evolution equations for different types of surface deformation in Euclidean four space. The Weierstrass representation for surfaces will be developed and its uniqueness up to gauge transfo…
The closed string model in the background gravity field is considered as a bi-Hamiltonian system in assumption that string model is the integrable model for particular kind of the background fields. The dual nonlocal Poisson brackets(PB), depending of the background fields and of their derivatives, are obtained. The in…
Proposes a method to predict both time and mark of next event in marked temporal dynamics.
The article studies curvature operator behavior in 3D under Ricci flow.
We present a simplified model for the exploitation of finite resources by interacting agents, where each agent receives a random fraction of the available resources. An extremal dynamics ensures that the poorest agent has a chance to change its economic welfare. After a long transient, the system self-organizes into a …
The paper resolves a conjecture about curvature conditions on manifolds.
The study finds surfaces with specific curvature properties are essentially known manifolds.
The paper analyzes portfolio selection with non-linear wealth dynamics and random coefficients.
Study LCS structures of the second kind on Lie algebras.
Estimates point counts in Teichmüller space for mapping class groups.
Graph learning captures financial dynamics over time.