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.
The article presents a new entropy model for assessing stock market interest.
This paper uses SARIMA models to forecast Nifty 50 index.
In mutual fund, an investment adviser gives advice to clients about investing in securities such as stocks, bonds, mutual funds, or exchange traded funds. Some investment advisers manage portfolios of securities. In this paper, we analyze advisor portfolio for each advisor so as to recognize the pattern in each adviser…
American Depositary Receipts (ADRs) are exchange-traded certificates that rep- resent shares of non-U.S. company securities. They are major financial instruments for investing in foreign companies. Focusing on Asian ADRs in the context of asyn- chronous markets, we present methodologies and results of empirical analysi…
The intrinsic entropy model accurately estimates stock market volatility.
Machine learning models outperform traditional technical analysis in Bitcoin trading.
A leveraged exchange traded fund (LETF) is an exchange traded fund that uses financial derivatives to amplify the price changes of a basket of goods. In this paper, we consider the robust hedging of European options on a LETF, finding model-free bounds on the price of these options. To obtain an upper bound, we establi…
The study forecasts ETF return direction using machine learning models.
Investors can enhance their portfolios by strategically using LETFs, especially with dynamic strategies.
STRAPSim measures ETF portfolio similarity better than existing methods.
Using detailed statistical analyses of the size distribution of a universe of equity exchange-traded funds (ETFs), we discover a discrete hierarchy of sizes, which imprints a log-periodic structure on the probability distribution of ETF sizes that dominates the details of the asymptotic tail. This allows us to propose …
We use the 2014 market history of two high-returning biotechnology exchange-traded funds to illustrate how ex post mean-variance analysis should not be done. Unfortunately, the way it should not be done is the way it generally is done -- to our knowledge.
Investigate using LETFs to outperform benchmarks, finding them more likely to succeed.
Paper presents a machine learning algorithm for hedging ETF options, outperforming static hedging methods.
Deep learning optimizes portfolio Sharpe ratio without forecasting returns.
In this article, we consider the small-time asymptotics of options on a \emph{Leveraged Exchange-Traded Fund} (LETF) when the underlying Exchange Traded Fund (ETF) exhibits both local volatility and jumps of either finite or infinite activity. Our main results are closed-form expressions for the leading order terms of …
We review the dynamics of the returns of Leveraged Exchange Traded Funds (LETFs) and propose a new measure of realized volatility: Shortfall from Maximum Convexity. We show that SMC has a more intuitive interpretation and provides more statistical information compared to the traditionally used sample standard deviation…
We propose a Genetic Programming architecture for the generation of foreign exchange trading strategies. The system's principal features are the evolution of free-form strategies which do not rely on any prior models and the utilization of price series from multiple instruments as input data. This latter feature consti…
Optimizes a portfolio for an investor preferring accepted securities over a reference security.
Study shows Bitcoin security tied to mining rewards and prices.
A pair of points in a riemannian manifold makes a secure configuration if the totality of geodesics connecting them can be blocked by a finite set. The manifold is secure if every configuration is secure. We investigate the security of compact, locally symmetric spaces.
Complex contagion model explains financial fire sales through continuous asset prices.
We say that a pair of points x and y is secure if there exist a finite set of blocking points such that any geodesic between x and y passes through one of the blocking points. The main point of this paper is to exhibit new examples of blocking phenomena both in the manifold and the billiard table setting. As an approac…
Industry lacks tools to secure ML systems, study finds.
Sparse oblique decision tree improves security rules for renewable power systems.
RL models improve target control in SSGs for security applications.
The exponential increase in dependencies between the cyber and physical world leads to an enormous amount of data which must be efficiently processed and stored. Therefore, computing paradigms are evolving towards machine learning (ML)-based systems because of their ability to efficiently and accurately process the eno…
A riemannian manifold is secure if the geodesics between any pair of points in the manifold can be blocked by a finite number of point obstacles. Compact, flat manifolds are secure. A standing conjecture says that these are the only secure, compact riemannian manifolds. The conjecture claims, in particular, that a riem…
New model values equity-linked securities with guaranteed return.
Securely trains regression models with secret sharing for data collaboration.
Paper proposes a secure protocol for federated learning.
Proposes a secure communication method independent of eavesdropper's decoder.
Most of the existing solutions to enterprise threat management are preventive approaches prescribing means to prevent policy violations with varying degrees of success. In this paper we consider the complementary scenario where a number of security violations have already occurred, or security threats, or vulnerabiliti…
The paper uses clustering and integer programming to optimize stock selection for investment funds.
Explores security challenges of machine learning in real-world systems.
Deep learning is increasingly used as a building block of security systems. Unfortunately, neural networks are hard to interpret and typically opaque to the practitioner. The machine learning community has started to address this problem by developing methods for explaining the predictions of neural networks. While sev…
In this paper are presented methods of impact analysis on informatics system security accidents, qualitative and quantitative methods, starting with risk and informational system security definitions. It is presented the relationship between the risks of exploiting vulnerabilities of security system, security level of …
Optimizes crypto-oriented neural architectures for faster secure inference.
Unified market-based description of returns and variances of trades.
This paper discusses adversarial attacks on cyber security systems using machine learning.
We propose a new randomized ensemble technique with a provable security guarantee against black-box transfer attacks. Our proof constructs a new security problem for random binary classifiers which is easier to empirically verify and a reduction from the security of this new model to the security of the ensemble classi…
Investigates the cost-effectiveness of security features in smart card chips.
Quantum optimization for portfolios with risk and diversification constraints.
We develop a secure aggregation protocol for federated learning that reduces communication and computation costs.
Contextual bandit framework improves revenue optimization in securities lending market.
Study assesses how much security restaking protocols need to pay for.
The future Internet of Things (IoT) will have a deep economical, commercial and social impact on our lives. The participating nodes in IoT networks are usually resource-constrained, which makes them luring targets for cyber attacks. In this regard, extensive efforts have been made to address the security and privacy is…
Survey examines ML for IoT security, addressing new challenges.