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.
Paper tackles multiplayer symmetric games, securing equal share for n players.
We statistically investigate the distribution of share price and the distributions of three common financial indicators using data from approximately 8,000 companies publicly listed worldwide for the period 2004-2013. We find that the distribution of share price follows Zipf's law; that is, it can be approximated by a …
The paper optimizes risk-sharing in decentralized networks.
Knots parametrized in cylinder coordinates by t -> (st, 3 + cos(nt), cos(mt + φ)) share properties of Lissajous and billiard knots in a cylinder. We use these 'billiard knots in a flat solid torus' to study two topics: when is Z(s,n,m) equal to Z(s,m,n)? And: why are the determinants of certain Lissajous and billiard k…
The balance property is crucial for insurance pricing, ensuring total actuarial price equals loss. Maximum likelihood GLMs fulfill it, but Lindholm-Wüthrich suggests three methods, with constrained GLM being superior.
We define an infinite series of translation coverings of Veech's double-n-gon for odd n greater or equal to 5 which share the same Veech group. Additionally we give an infinite series of translation coverings with constant Veech group of a regular n-gon for even n greater or equal to 8. These families give rise to expl…
The paper explores how to fairly share longevity risk among participants of tontine schemes.
Large uncertainties in many phenomena have challenged decision making. Collecting additional information to better characterize reducible uncertainties is among decision alternatives. Value of information (VoI) analysis is a mathematical decision framework that quantifies expected potential benefits of new data and ass…
We describe a correspondence between augmentations and certain representations of the knot group. The correspondence makes the 2-variable augmentation polynomial into a generalization of the classical -polynomial. It also associates to an augmentation a rank, which is bounded by the bridge number and shares its beha…
There is growing interest in the design of pension annuities that insure against idiosyncratic longevity risk while pooling and sharing systematic risk. This is partially motivated by the desire to reduce capital and reserve requirements while retaining the value of mortality credits; see for example Piggott, Valdez an…
We present a framework to derive risk bounds for vector-valued learning with a broad class of feature maps and loss functions. Multi-task learning and one-vs-all multi-category learning are treated as examples. We discuss in detail vector-valued functions with one hidden layer, and demonstrate that the conditions under…
Optimal sample complexity for learning Gaussian DAG models established.
Model compares altruism and individualism in wealth dynamics.
Investigates MAD-RP portfolios for asset allocation.
We investigate certain natural connections between subriemannian geometry and hyperbolic dynamical systems. In particular, we study dynamically defined horizontal distributions which split into two integrable ones and ask: how is the energy of a subriemannian geodesic shared between its projections onto the integrable …
This paper introduces a novel framework for designing fair and sustainable unemployment benefits, grounded in cooperative game theory and real-time fiscal policy. The labor market is modeled as a coalitional game, where a random subset of participants is employed, generating stochastic economic output. To ensure fairne…
Sharing information between multiple tasks enables algorithms to achieve good generalization performance even from small amounts of training data. However, in a realistic scenario of multi-task learning not all tasks are equally related to each other, hence it could be advantageous to transfer information only between …
The prevalence of social media has made information sharing possible across the globe. The downside, unfortunately, is the wide spread of misinformation. Methods applied in most previous rumor classifiers give an equal weight, or attention, to words in the microblog, and do not take the context beyond microblog content…
The social media revolution has produced a plethora of web services to which users can easily upload and share multimedia documents. Despite the popularity and convenience of such services, the sharing of such inherently personal data, including speech data, raises obvious security and privacy concerns. In particular, …
We quantitatively investigate the ideas behind the often-expressed adage `it takes volume to move stock prices', and study the statistical properties of the number of shares traded for a given stock in a fixed time interval . We analyze transaction data for the largest 1000 stocks for the two-year period 1…
The paper discusses fairness in bank stress tests, comparing various methods to address institutional differences.
In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities, and constant relative risk aversion trades with small proportional transaction costs. We derive explicit formulas for the optimal investment policy, its implied welfare, liquidity premium, and trading volu…
The family of translation surfaces constructed by Arnoux and Yoccoz from self-similar interval exchange maps encompasses one example from each genus greater than or equal to . We triangulate these surfaces and deduce general properties they share. The surfaces converge to a surface $(X_\i…
I explain the root of persistent failure of efforts to remove tax-induced distortions of economic incentives. It lies in FUNDAMENTAL IMPOSSIBILITY of objectively evaluating tax base. Distortions can be entirely avoided in the sector of publicly traded corporations. Evaluation can be bypassed by taxing it in shares (to …
Study of knots sharing 0-surgeries, classifying and computing their properties.
It is well known that the minimum crossing number of an alternating link equals the number of crossings in any reduced alternating link diagram of the link. This remarkable result is an application of the Jones polynomial. In the case of the braid index of an alternating link, Murasugi had conjectured that the number o…
One of the most critical problems in weight-sharing neural architecture search is the evaluation of candidate models within a predefined search space. In practice, a one-shot supernet is trained to serve as an evaluator. A faithful ranking certainly leads to more accurate searching results. However, current methods are…
Quantum kernels show no advantage in stock return prediction, but differ in stability metrics.
Most companies utilize demographic information to develop their strategy in a market. However, such information is not available to most retail companies. Several studies have been conducted to predict the demographic attributes of users from their transaction histories, but they have some limitations. First, they focu…
Stable cooperation emerges in fluctuating environments.
In this study, we extend the optimal execution problem with convex market impact function studied in Kato (2014) to the case where the market impact function is S-shaped, that is, concave on and convex on for some . We study the corresponding Hamilton-Jacobi-…
Various Alexandrov-Fenchel type inequalities have appeared and played important roles in convex geometry, matrix theory and complex algebraic geometry. It has been noticed for some time that they share some striking analogies and have intimate relationships. The purpose of this article is to shed new light on this by c…
The Kac-Ward formula allows to compute the Ising partition function on any finite graph G from the determinant of 2^{2g} matrices, where g is the genus of a surface in which G embeds. We show that in the case of isoradially embedded graphs with critical weights, these determinants have quite remarkable properties. Firs…
Heuristic algorithm for portfolio optimization reduces solve times to milliseconds.
Develops methods to learn centre groupings from summary statistics in multi-centre studies.
Proposes HOTA-FedGradNorm for faster and robust PFL in noisy channels.
The heterogeneity-gap between different modalities brings a significant challenge to multimedia information retrieval. Some studies formalize the cross-modal retrieval tasks as a ranking problem and learn a shared multi-modal embedding space to measure the cross-modality similarity. However, previous methods often esta…
A framework for anonymized risk sharing without revealing identities or preferences.
New skein theory for Links-Gould polynomial simplifies link evaluations.
Optimizing news headlines is important for publishers and media sites. A compelling headline will increase readership, user engagement and social shares. At Yahoo Front Page, headline testing is carried out using a test-rollout strategy: we first allocate equal proportion of the traffic to each headline variation for a…
Proposes HeteroJIVE for joint subspace estimation in multi-view data with statistical and structural heterogeneity.
Wealth tax equivalent to government stake, affecting returns and portfolio choice.
Not all neural network architectures are created equal, some perform much better than others for certain tasks. But how important are the weight parameters of a neural network compared to its architecture? In this work, we question to what extent neural network architectures alone, without learning any weight parameter…
We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intra-day contributions. We find, as perhaps expected, that the overnight and intra-day returns behave completely differently. For example, while past intra-day returns affect equally the future intra-day and overnight volatilitie…
New EPS insurance offers partial protection against superannuation losses.
Boosts share routing for multi-task learning with flexible sparse connections.
Paper finds a method to compute fair risk-sharing rules.
Studies of wealth inequality often assume that an observed wealth distribution reflects a system in equilibrium. This constraint is rarely tested empirically. We introduce a simple model that allows equilibrium but does not assume it. To geometric Brownian motion (GBM) we add reallocation: all individuals contribute in…