Investor-driven information diffusion affects excess comovement in China and the U.S. markets.
problem Investor-driven information diffusion and its impact on excess comovement.
method Cross-sectional analysis of 4,533 Chinese and 4,517 U.S. stocks from 2010 to 2022.
result Retail-driven information diffusion significantly drives excess comovement in China, while institution-driven diffusion is the primary driver in the U.S.
A time-varying cointegration model for foreign exchange rates is presented. Unlike previous studies, we allow the loading matrix in the vector error correction (VEC) model to be varying over time. Because the loading matrix in the VEC model is associated with the speed at which deviations from the long-run relationship…
Business cycles tend to comove across countries. However, standard models that attribute comovement to propagation of exogenous shocks struggle to generate a level of comovement that is as high as in the data. In this paper, we consider models that produce business cycles endogenously, through some form of non-linear d…
A proof is given that the maximal Fermi coordinate chart for any comoving observer in a broad class of Robertson-Walker spacetimes consists of all events within the cosmological event horizon, if there is one, or is otherwise global. Exact formulas for the metric coefficients in Fermi coordinates are derived. Sharp uni…
This study examines how economic policy uncertainty impacts commodity prices across different crises.
problem Impact of economic policy uncertainty on commodity prices during various crises.
method Wavelet coherence analysis of time series data.
result Commodity prices are more correlated during global financial and Covid-19 crises.
Study news networks to predict stock returns.
problem Predicting cross-sectional stock returns using news networks.
method Constructed time-varying directed networks of S&P500 stocks from 1 million news articles, identified stock tickers using an algorithm, and tested for comovement and reversal effects.
result News network attention proxy, network degree, predicts monthly stock returns robustly.
Novel method CHPCA simplifies complex market dynamics.
problem Quantifying interactions in rapidly evolving consumer goods markets.
method Complex Hilbert Principal Component Analysis (CHPCA) and Hodge decomposition.
result Revealed comovements and customer heterogeneity in consumer choice process.
A characterization of the foliation by spacelike slices of an (n+1)-dimensional spatially closed Generalized Robertson-Walker spacetime is given by means of studying a natural mean curvature type equation on spacelike graphs. Under some natural assumptions, of physical or geometric nature, all the entire solutions of…
Study examines how economic policy uncertainty impacts stock markets.
problem Dynamic relationship between economic policy uncertainty and stock markets.
method Used symmetric thermal optimal path (TOPS) method.
result Different interaction patterns observed in emerging and developed markets.
COCA accelerates N-body simulations by correcting ML errors.
problem Computational expense and limited trustworthiness of ML emulations.
method Hybrid framework combining ML and N-body simulator in an emulated frame of reference. result COCA reduces emulation errors with fewer force evaluations.
Perpetual futures offer leverage without maturity, with prices influenced by funding rates.
problem Understanding and pricing perpetual futures with funding rates.
method Derive no-arbitrage prices and bounds in markets with trading costs. Empirically analyze deviations and Sharpe ratios of implied arbitrage strategies.
result Implied arbitrage strategies in crypto markets yield high Sharpe ratios, indicating significant pricing inefficiencies.
Mathematical study of excess growth rate connects info theory with finance.
problem Understanding the excess growth rate in portfolio theory.
method Axiomatic characterization theorems of excess growth rate in terms of relative entropy, Jensen's inequality gap, and logarithmic divergence.
result Established rich connections between information theory and finance.
In statistical learning theory, convex surrogates of the 0-1 loss are highly preferred because of the computational and theoretical virtues that convexity brings in. This is of more importance if we consider smooth surrogates as witnessed by the fact that the smoothness is further beneficial both computationally- by at…
New tool detects 'fleeting modes' causing excess risk in financial markets.
problem Detecting portfolios with statistically significant excess risk in financial markets.
method Random Matrix Theory to identify 'fleeting modes' independent of underlying correlation structure.
result Fleeting modes exist in both futures and equity markets, and momentum is a source of excess risk.
The paper explores the information-theoretic nature of excess risk in machine learning.
problem Understanding the excess risk in machine learning models.
method Formulates the minimax excess risk as a zero-sum game and modifies it to allow swapping of the order of play.
result Proves that under certain conditions, the duality gap is zero, allowing for the application of Bayesian results to provide bounds on minimax excess risk.
Study excess capacity in neural networks using Rademacher complexity.
problem Understanding how much capacity deep networks have beyond what's needed for classification.
method Unified Rademacher complexity bounds for function composition and convolutional layers, considering Lipschitz constants and initialization norms.
result There is substantial excess capacity per task, and capacity can be kept similar across different tasks.
A new formula reveals symmetries between mean excess and ES functions.
problem Optimizing risk measures in financial models.
method Established a reverse ES optimization formula.
result Reveals elegant symmetries and relationships between mean excess and ES functions.
The paper analyzes the excess risk of PCA and provides a precise characterization.
problem Understanding the excess risk of principal component analysis (PCA).
method Established a central limit theorem for PCA error and derived the excess risk distribution.
result Obtained a non-asymptotic upper bound on the excess risk of PCA.
Study excess risk in statistical inference with transformations.
problem Excess risk in estimating random variables from feature vectors and transformations.
method Characterize lossless transformations, develop test statistics, and information-theoretic bounds.
result Strongly consistent partitioning test statistic for lossless transformations.
This paper contributes to the literature on international stock market comovements and contagion. The novelty of our approach lies in application of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock markets in a time-frequency domain. While major part of…
We use a continuous-time random walk (CTRW) to model market fluctuation data from times when traders experience excessive losses or excessive profits. We analytically derive "superstatistics" that accurately model empirical market activity data (supplied by Bogachev, Ludescher, Tsallis, and Bunde)that exhibit transitio…
Proponents of behavioral finance have identified several "puzzles" in the market that are inconsistent with rational finance theory. One such puzzle is the "excess volatility puzzle". Changes in equity prices are too large given changes in the fundamentals that are expected to change equity prices. In this paper, we of…
The paper analyzes competition among fund managers using excess logarithmic returns and constructs games to find optimal allocations.
problem Optimal allocation strategies among fund managers considering excess logarithmic returns.
method Constructs both n-player and mean field games to address the competition problem. result The MFE of the MFG represents the limit of n-player game's equilibrium as n approaches infinity. Currency volatility shocks predict lower excess returns, and buying weak transmitters outperforms selling strong ones.
problem Predicting currency returns using volatility shocks.
method Constructed a dynamic, directed network of volatility connections using option-implied volatilities.
result Currencies that transmit more volatility shocks earn lower excess returns.
Optimizes gradual reduction of excess carbon emissions to net-zero.
problem Achieving net-zero carbon emissions through gradual reduction of excess emissions.
method Stochastic control approach to identify optimal emission strategy under constraints.
result Identifies the emission strategy that maximizes future profit from excess emissions.
We derive asset pricing formula for markets with incomplete information and subjective views.
problem Asset pricing in markets with informational imperfections and subjective investor beliefs.
method Closed-form market equilibrium formula based on Merton's model, non-linear system of equations, conditional posterior distribution.
result Derivation of market reference model for excess returns under random shadow-costs.
Local SGD proves efficient in overparameterized linear regression.
problem Efficiently learning overparameterized linear models in distributed settings.
method Distributed SGD (DSGD) with overparameterized models.
result Excess risk of SGD is smaller than ridge regression in the same sample complexity.
We study the relation between the trading behavior of agents and volatility in toy markets of adaptive inductively rational agents. We show that excess volatility, in such simplified markets, arises as a consequence of {\em i)} the neglect of market impact implicit in price taking behavior and of {\em ii)} excessive re…
New method filters large networks from financial data to reveal key subnetworks.
problem Filtering large dimensional networks to isolate key constituents.
method Exploits spectral properties of high-dimensional data networks, tuning for sparsity and consistency.
result Shows method can interpolate between zero and maximal filtering, preserving spectral properties.
The study classifies cellular pseudomanifolds and their properties.
problem Understanding the structure of cellular pseudomanifolds.
method Analyzing the combinatorial and geometric properties of cellular pseudomanifolds.
result Complete classification of cellular pseudomanifolds with excess < 2, and progress towards excess 2.
Sharp stability of Alexandrov's theorem for C1 domains in the small-excess regime
problem Stability of Alexandrov's theorem for C1 domains in the small-excess regime method Combines a BV version of Fuglede's spectral-gap argument, a star-shaped rearrangement for sets of finite perimeter, quantitative estimates for the part of the boundary contained in the tentacles, and a polyhedral approximation argument for the non-graphical region result Sharp stability estimate in a genuinely non-parametric regime
Study on excess mortality in Germany during 2020-21.
problem Analyzing excess mortality during the pandemic in Germany.
method Empirical study using official death counts.
result Provided conclusions for insurance businesses.
The study finds that factor momentum is significant only at short lags compared to stock momentum.
problem Investigating the relationship between factor momentum and stock momentum.
method Replicated earlier findings and conducted a spanning test controlling for stock momentum and factor exposure.
result Factor momentum is significant only at short lags after controlling for stock momentum and factor exposure.
New method estimates model risk without knowing function class.
problem Evaluating model risk for complex, opaque models.
method Wild refitting with Bregman losses and randomized symmetrization.
result Valid upper bound on excess risk for opaque models.
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…
AlphaMLDigger predicts excess returns in fluctuating markets.
problem Mining effective information for investment decisions in a volatile market.
method Two-phase approach using deep NLP for sentiment analysis and ensemble ML models.
result Ensemble models achieve 0.984 accuracy, significantly outperforming baseline.
News attention to financial intermediaries and crises predicts excess bond premium and macroeconomic movements.
problem Drivers of the excess bond premium (EBP).
method News attention to 180 topics captures up to 80% of EBP variation and forecasts macroeconomic movements.
result News attention to financial intermediaries and crises drives up the EBP and predicts macroeconomic downturns.
The paper bounds the excess risk of deep neural networks for weakly dependent processes.
problem Learning with weakly dependent data using deep neural networks.
method Approximation of smooth functions by deep neural networks and a bound on excess risk.
result The excess risk bound for deep learning under weak dependence is close to O(n−1/2) for sufficiently smooth functions. Study non-asymptotic bounds for robust estimators under misspecified models.
problem Evaluate performance of robust estimators under adversarial conditions.
method Propose a general approach to adversarial risk analysis, including investigations on generalization and approximation errors.
result Establish non-asymptotic upper bounds for adversarial excess risk under Lipschitz loss functions.
Paper introduces a novel measure to analyze excess error in classification under covariate shift.
problem Analyzing excess error in classification under covariate shift.
method Utilizes vicinity information to characterize excess error.
result Faster or competitive convergence rates compared to previous techniques.
New algorithm achieves optimal privacy and efficiency in non-Euclidean convex optimization.
problem Optimizing convex functions while maintaining privacy in non-Euclidean settings.
method Developed a linear-time algorithm for ℓp-setups, leveraging geometric properties. result Optimal excess risk achieved in linear time for 1<p≤2. The paper simplifies arguments for stationary varifolds results.
problem Height bound and Lipschitz approximation for stationary varifolds.
method Simpler arguments to obtain height bound and Lipschitz approximation.
result Excess decay as a consequence of height bound and Lipschitz approximation.
This paper analyzes multi-pass SGD for least squares, improving generalization bounds.
problem Improving generalization bounds for multi-pass SGD in the least squares problem.
method Develops an instance-dependent excess risk bound for least squares in the interpolation regime.
result SGD performs worse than GD instance-wise but saves computational time.
Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be considered independent. Based on the structural framework by Merton (1974), we discuss …
New method for unbiased regression reduces excess risk.
problem Least squares regression with optimal solution and Hessian matrix.
method Averaged stochastic gradient descent with time-average estimator.
result Unbiased estimator with O(1/k) expected excess risk.
Paper improves clustering risk bounds for kernel k-means.
problem Improving clustering risk bounds for kernel k-means.
method Analyzes kernel k-means and Nyström approximation.
result Achieves nearly optimal excess clustering risk bound.
We study differentially private (DP) algorithms for stochastic convex optimization (SCO). In this problem the goal is to approximately minimize the population loss given i.i.d. samples from a distribution over convex and Lipschitz loss functions. A long line of existing work on private convex optimization focuses on th…
It is proved by Brendle in [4] that the equatorial disk Dk has least area among k-dimensional free boundary minimal surfaces in the Euclidean ball Bn. By comparing the excess of free boundary minimal surfaces with the excess of the associated cones over the boundary, we prove the existence of a gap for the area…