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.
An agent-based computational economical toy model for the emergence of money from the initial barter trading, inspired by Menger's postulate that money can spontaneously emerge in a commodity exchange economy, is extensively studied. The model considered, while manageable, is significantly complex, however. It is alrea…
Automated trading systems on developed and emerging capital markets are studied in this paper. The standard for developed market is automated trading system with 40-days simple moving average. We tested it for the index SIX Industrial for 1000 and 730 trading days of the slovak emerging capital market. The Buy and Hold…
Early detection and precise characterization of emerging topics in text streams can be highly useful in applications such as timely and targeted public health interventions and discovering evolving regional business trends. Many methods have been proposed for detecting emerging events in text streams using topic modeli…
Quantum systems are viewed as emergent systems from the fundamental degrees of freedom. The laws and rules of quantum mechanics are understood as an effective description, valid for the emergent systems and specially useful to handle probabilistic predictions of observables. After introducing the geometric theory of Ha…
We show that the emergence of systemic risk in complex systems can be understood from the evolution of functional networks representing interactions inferred from fluctuation correlations between macroscopic observables. Specifically, we analyze the long-term collective dynamics of the New York Stock Exchange between 1…
Viral zoonoses have emerged as the key drivers of recent pandemics. Human infection by zoonotic viruses are either spillover events -- isolated infections that fail to cause a widespread contagion -- or species jumps, where successful adaptation to the new host leads to a pandemic. Despite expensive bio-surveillance ef…
Given a six-dimensional symplectic manifold (M,B), a nondegenerate, co-closed four-form C introduces a dual symplectic structure B=∗C independent of B via the Hodge duality ∗. We show that the doubling of symplectic structures due to the Hodge duality results in two independent classes of nonc…
Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using concepts of network synchronization. We consider networks constructed by the correlatio…
Unified analytic account of correlation emergence and Epps effect in coupled limit order books
problem Correlation emergence and Epps effect in coupled limit order books
method Discrete random-walk description of order flow with creation, cancellation, and diffusion, coupled reaction-diffusion equations with moving reaction boundary
result Realized correlations as a function of aggregation time
The aim of this paper is to identify the determinants of international stock markets integration. Intuitively we selected a great number of factors linked to financial integration. Then, we developed an international asset-pricing model with time-varying degree of integration. This model is estimated for 30 countries (…
This note continues investigation of randomness-type properties emerging in idealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variation exponent of non-constant price processes has to be 2, as in the case of continuous martingales.
Emerging market hard-currency bonds are an asset class of growing importance, and contain exposure to an EM sovereign and the underlying industry. The authors investigate how to model this as a modification of the well-known first-to-default (FtD) basket, using the structural model, and find the approach feasible.
This note refers to our previous paper "The emergence of torsion in the continuum limit of distributed edge-dislocations". It identifies and fixes an error in the notion of convergence of Weitzenböck manifolds defined in the paper, and in the proof of the well-definiteness of this notion of convergence.
Catastrophic events, though rare, do occur and when they occur, they have devastating effects. It is, therefore, of utmost importance to understand the complexity of the underlying dynamics and signatures of catastrophic events, such as market crashes. For deeper understanding, we choose the US and Japanese markets fro…