Research
On-device research index

arXiv research

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.

168,657 papers · 148 categories

Trend · papers per month

189378567756 · Jun 202019922001200920172026
48 results for event study

Financial event studies often misestimate causal effects due to misspecified factor models.

problem Misspecification of factor models in financial event studies leads to inconsistent estimates of causal effects.
method Proposed synthetic control methods to construct replicating portfolios from control securities.
result Synthetic control methods provide more accurate estimates of causal effects in event studies.

Study examines HTE estimation from time-to-event data with competing events.

problem Estimating HTEs from time-to-event data with competing events.
method Outcome modeling approach using plug-in estimators for potential outcomes.
result Competing events introduce new challenges for HTE estimation.

Develops a method for causal inference in recurrent event data with terminal failure.

problem Causal inference in recurrent event data with a terminal event.
method Multiply robust estimation framework for causal inference.
result Proposes an estimator for the expected number of recurrent events and failure survival function.

Study investigates micro-event detection on FLOSS version releases from Stack Overflow.

problem Detecting micro-events in FLOSS version release events from textual messages.
method Developed pipelines using LDA topic modeling, hSBM topics, and sentiment analysis; optimized feature spaces with RFECV; evaluated models with statistical analysis.
result Found characteristic changes in topics or sentiment features before or after FLOSS version releases.

In an Ultrafast Extreme Event (or Mini Flash Crash), the price of a traded stock increases or decreases strongly within milliseconds. We present a detailed study of Ultrafast Extreme Events in stock market data. In contrast to popular belief, our analysis suggests that most of the Ultrafast Extreme Events are not prima…

2017-07-18abs ↗pdf ↗

Traditional event detection classifies a word or a phrase in a given sentence for a set of predefined event types. The limitation of such predefined set is that it prevents the adaptation of the event detection models to new event types. We study a novel formulation of event detection that describes types via several k…

2019-10-24abs ↗pdf ↗

The study uses financial events to predict stock market movements.

problem Predicting stock market movements using financial events.
method Combined event extraction method, BERT/ALBERT enhanced event representation, and extended hierarchical attention network.
result Significantly better accuracies and higher simulated returns compared to state-of-the-art models.

Study shows pre-event L2 liquidity state predicts crypto futures liquidity better than event labels.

problem Understanding how crypto futures liquidity changes over time.
method Combining L2 order book data, trade-flow records, and macro-event windows to define discrete liquidity-state transitions and evaluate models.
result Pre-event L2 liquidity state predicts post-event liquidity regimes better than event labels, and order flow adds value only when layered on top of the state model.

A deep neural network detects sleep events in polysomnograms with high accuracy.

problem Manual scoring of sleep events in clinical analysis is inconsistent and time-consuming.
method A single deep neural network architecture trained on 1653 recordings for joint detection of arousals, leg movements, and sleep disordered breathing.
result Joint detection of sleep events yields higher accuracy compared to separate models, and correlates well with manual annotations.

Study examines cyber losses across sectors, finds high severity and frequency.

problem Understanding the nature of cyber losses and their variability across sectors.
method Analysis of a leading industry dataset of cyber events, focusing on frequency and severity.
result Cyber risks are heavy-tailed, with high probability of extreme losses.

Proposes a new framework to disentangle event influences in MTPP.

problem Underexplored how individual events influence overall dynamics over time.
method Decoupled MTPP framework using Neural Ordinary Differential Equations (Neural ODEs).
result Significantly improves performance on real-life datasets compared to state-of-the-art methods.

Quantum model captures rare financial events not seen by Gaussian statistics.

problem Underestimation of rare financial events by Gaussian statistics.
method Quantum Bohmian Mechanics applied to multifractal random walk (MRW) models.
result Rare financial events generate a potential barrier in quantum potentials.

Proposes a model for predicting events from event streams.

problem Predicting events like part replacement and failure in manufacturing and teleservice systems.
method Non-parametric prognostic framework using MGCP modulated Poisson processes.
result MGCP prior facilitates sharing of information and analysis of flexible event patterns.

REST framework predicts stock trends by considering stock-specific and related-stock events.

problem Predicting stock trends using event information from news, social media, and discussion boards.
method REST framework addresses two main shortcomings of existing event-driven methods: stock-specific event influence and related-stock event influence.
result REST framework achieves higher investment returns compared to baselines.

Study finds consumers are more price-sensitive before livestreams than after.

problem Understanding consumer demand during livestreaming lifecycle.
method Examined consumer demand for live events and recorded versions using data from a livestreaming platform.
result Demand is more price-sensitive before livestreams than after.

TransformerLSR models longitudinal, recurrent, and survival data jointly.

problem Joint modeling of longitudinal measurements, recurrent events, and survival data with dependencies.
method Transformer-based deep learning framework integrating deep temporal point processes and latent structure representation.
result TransformerLSR effectively models all three components simultaneously, demonstrating necessity and effectiveness through simulations and real-world data.

Deep learning for particle classification on large event images.

problem Training deep learning models on large, high-fidelity event images from MicroBooNE is challenging and time-consuming.
method Scaling training to multiple GPUs and architectures, using simulated MicroBooNE events.
result Demonstrated successful scaling of particle classification training to multiple GPUs and architectures.

Paper develops robust econometric methods for staggered adoption studies.

problem Estimation challenges in event studies with staggered adoption.
method Design-first framework with exact probability limits, diagnostics, and orthogonal score constructions.
result Uniformly valid inference under restricted violations of parallel trends.

LOBDIF predicts limit order book events using a diffusion model.

problem Predicting the timing and type of events in a dynamic market system.
method LOBDIF uses a diffusion model to learn the complex time-event distribution in limit order book streams.
result LOBDIF significantly outperforms existing methods in real-world data experiments.

Calibrates Hawkes models for market events, revealing power-law feedback kernels.

problem Estimating the influence of past events and price changes on future market events.
method Proposes a calibration procedure for Quadratic Hawkes models, analyzing the kernel components.
result Empirically calibrated kernel components reveal power-law behavior, suggesting system near critical point.

Efficient event generation for collider phenomenology using parallel Langevin sampling and learned Stein diagnostics.

problem Event generation for precision collider phenomenology.
method Parallel Langevin sampling with learned Stein diagnostics.
result Relaxation time is estimated using a data-driven approach.

Companies and financial investors are paying increasing attention to social consciousness in developing their corporate strategies and making investment decisions to support a sustainable economy for the future. Public discussion on incidents and events -- controversies -- of companies can provide valuable insights on …

2019-08-25abs ↗pdf ↗

Event datasets are sequences of events of various types occurring irregularly over the time-line, and they are increasingly prevalent in numerous domains. Existing work for modeling events using conditional intensities rely on either using some underlying parametric form to capture historical dependencies, or on non-pa…

2020-02-21abs ↗pdf ↗

Graph neural networks detect anomalies in object-centric business processes.

problem Detecting anomalies in graph-like business processes.
method Graph convolutional autoencoder architecture for anomaly detection.
result Promising performance in detecting anomalies at the activity type and attributes level.

The paper analyzes logistic regression for rare events data, deriving new insights on estimator efficiency and sampling strategies.

problem Binary logistic regression for rare events data with significantly fewer events than controls.
method Derives asymptotic distribution of MLE, proves under-sampling advantage, and compares over-sampling efficiency.
result Under-sampling a small proportion of nonevents can improve efficiency in rare events data analysis.

Continuous-time event sequences represent discrete events occurring in continuous time. Such sequences arise frequently in real-life. Usually we expect the sequences to follow some regular pattern over time. However, sometimes these patterns may be interrupted by unexpected absence or occurrences of events. Identificat…

2019-12-19abs ↗pdf ↗

Proposes a non-conjugate model selection method for chain event graphs.

problem Existing model selection algorithms for chain event graphs rely on conjugate priors, which is unrealistic for many real-world applications.
method Proposes a mixture modelling approach to model selection in chain event graphs that does not rely on conjugacy.
result The proposed method is more scalable and robust than existing algorithms.

Develops a method to estimate rare-event probabilities under distributional uncertainty.

problem Distributional uncertainty limits the effectiveness of rare-event simulation techniques.
method Wasserstein distributionally robust rare-event simulation (DRIS) framework.
result DRIS achieves vanishing relative error in estimating rare-event probabilities.

We study few-shot acoustic event detection (AED) in this paper. Few-shot learning enables detection of new events with very limited labeled data. Compared to other research areas like computer vision, few-shot learning for audio recognition has been under-studied. We formulate few-shot AED problem and explore different…

2020-02-21abs ↗pdf ↗

The paper analyzes sports commentary to automatically recognize events and extract insights.

problem Automatically recognizing and categorizing major actions in sports events from commentary.
method Used multiple Natural Language Processing techniques for classification and sentiment analysis.
result Identified insights from analyzing live sport commentaries and classifying major actions.