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.
Study equilibrium consumption habits in a large population using mean field games.
Optimal investment and consumption model with habit formation constraint.
The paper optimizes retirement spending considering habit formation and pension income.
The "standard" Merton formulation of optimal investment and consumption involves optimizing the integrated lifetime utility of consumption, suitably discounted, together with the discounted future bequest. In this formulation the utility of consumption at any given time depends only on the amount consumed at that time.…
Greedy algorithm optimizes consumption habits with power utility.
We solve an optimal consumption problem with habit formation constraints.
Model asset pricing with habit formation in a large market.
Study optimal investment and consumption strategies for competitive agents with habit formation.
This paper analyzes popular time-nonseparable utility functions that describe "habit formation" consumer preferences comparing current consumption with the time averaged past consumption of the same individual and "catching up with the Joneses" (CuJ) models comparing individual consumption with a cross-sectional averag…
This paper analyzes optimal consumption strategies for loss-averse investors with multiplicative habit formation.
Paper offers a dual formulation for consumption problem with multiplicative habit.
We consider a model of optimal investment and consumption with both habit formation and partial observations in incomplete Itô processes market. The investor chooses his consumption under the addictive habits constraint while only observing the market stock prices but not the instantaneous rate of return. Applying the …
This paper studies the optimal consumption under the addictive habit formation preference in markets with transaction costs and unbounded random endowments. To model the proportional transaction costs, we adopt the Kabanov's multi-asset framework with a cash account. At the terminal time T, the investor can receive unb…
We consider a power utility maximization problem with additive habits in a framework of discrete-time markets and random endowments. For certain classes of incomplete markets, we establish estimates for the optimal consumption stream in terms of the aggregate state price density, investigate the asymptotic behaviour of…
This paper studies a composite problem involving the decision making of the optimal entry time and dynamic consumption afterwards. In stage-1, the investor has access to full market information subjecting to some information costs and needs to choose an optimal stopping time to initiate stage-2; in stage-2, the investo…
Unified framework explains retirement and annuitization decisions under age-dependent mortality.
We provide a detailed characterization of the optimal consumption stream for the additive habit-forming utility maximization problem, in a framework of general discrete-time incomplete markets and random endowments. This characterization allows us to derive the monotonicity and concavity of the optimal consumption as a…
This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxiliary state processes and the modified dual space, we embed our original problem into a time-separable utility maximization problem with a sh…
Many aspects of life are associated with places of human mobility patterns and nowadays we are facing an increase in the pervasiveness of mobile devices these individuals carry. Positioning technologies that serve these devices such as the cellular antenna (GSM networks), global navigation satellite systems (GPS), and …
Survey of methods to incorporate external knowledge into stock price prediction.
In this paper, we work in the framework of the Merton problem but we impose a drawdown constraint on the consumption process. This means that consumption can never fall below a fixed proportion of the running maximum of past consumption. In terms of economic motivation, this constraint represents a type of habit format…
We discuss social network analysis from the perspective of economics. We organize the presentaion around the theme of externalities: the effects that one's behavior has on others' well-being. Externalities underlie the interdependencies that make networks interesting. We discuss network formation, as well as interactio…
The paper analyzes optimal retirement strategies in a market with habit persistence and jump diffusion, finding discontinuous investment strategies.
Study uses multi-agent reinforcement learning to control self-assembly with high-resolution external control.
A deterministic trading strategy can be regarded as a signal processing element that uses external information and past prices as inputs and incorporates them into future prices. This paper uses a market maker based method of price formation to study the price dynamics induced by several commonly used financial trading…
When banks choose similar investment strategies the financial system becomes vulnerable to common shocks. We model a simple financial system in which banks decide about their investment strategy based on a private belief about the state of the world and a social belief formed from observing the actions of peers. Observ…
We explore the efficacy of using a novel activation function in Artificial Neural Networks (ANN) in characterizing exoplanets into different classes. We call this Saha-Bora Activation Function (SBAF) as the motivation is derived from long standing understanding of using advanced calculus in modeling habitability score …
Study on stock price formation on trees with multi-population and non-rational agents.
Proposes a new consumption strategy based on martingale principles.
New study finds environment significantly suppresses star formation in galaxies, contrary to previous beliefs.
Machine learning is usually defined in behaviourist terms, where external validation is the primary mechanism of learning. In this paper, I argue for a more holistic interpretation in which finding more probable, efficient and abstract representations is as central to learning as performance. In other words, machine le…
Study shows instability of naked singularities in perfect fluid models.
This article provides some estimates for the relative sizes of the electric and magnetic contributions to the energy functional for the minimum energy configuration of an SU(2) gauge field on R^3 in the presence of an source in a fixed ball. The surprising fact is that the contribution to both energies from the free fi…
Blended courses that mix in-person instruction with online platforms are increasingly popular in secondary education. These tools record a rich amount of data on students' study habits and social interactions. Prior research has shown that these metrics are correlated with students' performance in face to face classes.…
We present analytical exploration of novel activation functions as consequence of integration of several ideas leading to implementation and subsequent use in habitability classification of exoplanets. Neural networks, although a powerful engine in supervised methods, often require expensive tuning efforts for optimize…
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly incorporated into prices. Because revealed market liquidity is extremely low, large …
Researchers apply concept-based explainability to EEG data.
Online leading has disrupted the traditional consumer banking sector with more effective loan processing. Risk prediction and monitoring is critical for the success of the business model. Traditional credit score models fall short in applying big data technology in building risk model. In this manuscript, data with var…
Develops asset pricing models with mean field game theory for heterogeneous agents.
This study evaluates prewar Japanese financial market efficiency using time-varying models.
Automatically balances blockchain network resources to boost market efficiency.
Extends geometrical description of tensor manifolds in tree-based formats.
Ultra-cold atomic gases are unique in terms of the degree of controllability, both for internal and external degrees of freedom. This makes it possible to use them for the study of complex quantum many-body phenomena. However in many scenarios, the prerequisite condition of faithfully preparing a desired quantum state …
Simulating fluid flow in geological formations requires mesh generation, lithology mapping to the cells, and computing geometric properties such as normal vectors and volume of cells. The purpose of this research work is to compute and process the geometrical information required for performing numerical simulations in…
Paper proposes personalized climate control for driver comfort.
The paper models network formation using mixed logit models.
SoccerCPD detects tactical changes in soccer matches using spatiotemporal tracking data.
Extends ONNX for quantized neural networks with new formats and operators.