arXiv research

The paper simulates Lévy processes and their extremum and hitting time.

The relationship between price volatilty and a market extremum is examined using a fundamental economics model of supply and demand. By examining randomness through a microeconomic setting, we obtain the implications of randomness in the supply and demand, rather than assuming that price has randomness on an empirical …

Stochastic bridges are commonly used to impute missing data with a lower sampling rate to generate data with a higher sampling rate, while preserving key properties of the dynamics involved in an unbiased way. While the generation of Brownian bridges and Ornstein-Uhlenbeck bridges is well understood, unbiased generatio…

The paper finds extremum values for mixed Laplacian eigenvalues on triangles and trapezoids.

Survey about extremum of eigenvalues of geometric operators within a conformal class of a compact riemannian manifold.

In the theory of submanifolds, the following problem is fundamental: to establish simple relationships between the main intrinsic invariants and the main extrinsic invariants of the submanifolds.The basic relationships discovered until now [1, 2, 3, 4] are inequalities. To analyze these problems, we follow the idea of …

New theory for nonsmooth systems helps optimize and control complex functions.

A neural framework corrects bias in estimating individual treatment effects.

For Hamiltonian flows we establish the existence of periodic orbits on a sequence of level sets approaching a Bott-nondegenerate symplectic extremum of the Hamiltonian. As a consequence, we show that a charge on a compact manifold with a nondegenerate (i.e. symplectic) magnetic field has periodic orbits on a sequence o…

Derives integral representations for a Lévy process and its extremum, hitting time, with fast evaluation.

Generalized Berwald manifolds are Finsler manifolds admitting linear connections such that the parallel transports preserve the Finslerian length of tangent vectors (compatibi\-li\-ty condition). By the fundamental result of the theory \cite{V5} such a linear connection must be metrical with respect to the averaged Rie…

Recently, F. Balacheff proved that the Calabi-Croke sphere made of two flat 1-unit-side equilateral triangles glued along their boundaries is a local extremum for the length of the shortest closed geodesic among the Riemannian spheres with conical singularities of fixed area. We give an alternative proof of this theore…

Model selection is difficult to analyse yet theoretically and empirically important, especially for high-dimensional data analysis. Recently the least absolute shrinkage and selection operator (Lasso) has been applied in the statistical and econometric literature. Consis- tency of Lasso has been established under vario…

The paper evaluates functions of stable Lévy processes and their extrema efficiently.

Optimal discrete harmonic maps between hyperbolic surfaces are found via minimizing energy.

Imagine that measurements are made at times $t_0$ and $t_1$ of the trajectory of a physical system whose governing laws are given approximately by a class ${\cal A}$ of so-called {\em prior vector fields}. Because the physical laws are not known precisely, it might be that the measurements are not realised by the integ…

Given a Laplace eigenfunction on a surface, we study the distribution of its extrema on the nodal domains. It is classically known that the absolute value of the eigenfunction is asymptotically bounded by the 4-th root of the eigenvalue. It turns out that the number of nodal domains where the eigenfunction has an extre…

New algorithm explains neural network extrema for better model generalization.

Have you ever felt miserable because of a sudden whipsaw in the price that triggered an unfortunate trade? In an attempt to remove this noise, technical analysts have used various types of moving averages (simple, exponential, adaptive one or using Nyquist criterion). These tools may have performed decently but we show…

Market impact has become a subject of increasing concern among academics and industry experts. We put forward a price impact model which considers the heteroscedasticity of price in the time dimension and dependency between permanent impact and temporary impact. We discuss and derive the extremum of the expectation of …

Much combinatorial optimisation problems constitute a non-polynomial (NP) hard optimisation problem, i.e., they can not be solved in polynomial time. One such problem is finding the shortest route between two nodes on a graph. Meta-heuristic algorithms such as $A^{*}$ along with mixed-integer programming (MIP) methods …

The paper derives formulas for option pricing and random walk expectations.

Paper finds new criteria for conjugate points in fluid flows.

For Machine Learning (ML) classification problem, where a vector of $\mathbf{x}$--observations (values of attributes) is mapped to a single $y$ value (class label), a generalized Radon--Nikodym type of solution is proposed. Quantum--mechanics --like probability states $ψ^2(\mathbf{x})$ are considered and "Cluster Cente…

Let $(M,I)$ be an almost complex 6-manifold. The obstruction to integrability of almost complex structure (so-called Nijenhuis tensor) maps a 3-dimensional bundle to a 3-dimensional one. We say that Nijenhuis tensor is non-degenerate if it is an isomorphism. An almost complex manifold is called nearly Kaehler if it adm…

In this paper, we study the performance of extremum estimators from the perspective of generalization ability (GA): the ability of a model to predict outcomes in new samples from the same population. By adapting the classical concentration inequalities, we derive upper bounds on the empirical out-of-sample prediction e…

Quantum algorithm finds extrema in discrete optimisation problems.

Bayesian optimization surveys information-theoretic acquisition functions.

Deep neural networks are usually trained with stochastic gradient descent (SGD), which minimizes objective function using very rough approximations of gradient, only averaging to the real gradient. Standard approaches like momentum or ADAM only consider a single direction, and do not try to model distance from extremum…

The curvature of the noncommutative torus $T^2_θ$ ($θ$ irrational) endowed with a noncommutative conformal metric has been the focus of attention of several recent works. Continuing the approach taken in the paper [A. Connes and H. Moscovici, http://arxiv.org/abs/1110.3500] we extend the study of the curvature to twist…

Extending Lévi-Civita's concept to non-quadratic spaces, this study finds extremal compatible linear connections.