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.
Paper proposes NNAFC for automatic financial factor construction.
Test-asset construction affects factor model performance.
Proposes an end-to-end deep learning framework for active investing.
This paper shows how forward rate interpolations are equivalent to discount factor interpolations in yield curve construction.
We want to construct a homological link invariant whose Euler characteristic is MOY polynomial as Khovanov and Rozansky constructed a categorification of HOMFLY polynomial. The present paper gives the first step to construct a categorification of MOY polynomial. For the essential colored planar diagrams with additional…
We give a complete algorithm and source code for constructing general multifactor risk models (for equities) via any combination of style factors, principal components (betas) and/or industry factors. For short horizons we employ the Russian-doll risk model construction to obtain a nonsingular factor covariance matrix.…
The MAXFLAT low-pass filter improves factor adjustment for better portfolio performance in China's stock market.
The paper introduces a portfolio construction method using Black-Litterman model and factors.
New framework for interpretable firm characteristics factors.
In 1974, Thurston proved that, up to isotopy, every automorphism of closed orientable surface is either periodic, reducible, or pseudo-Anosov. The latter case has lead to a rich theory with applications ranging from dynamical systems to low dimensional topology. Associated with every pseudo-Anosov map is a real number …
In this paper, we study the Galois conjugates of stretch factors of pseudo-Anosov elements of the mapping class group of a surface. We show that - except in low-complexity cases - these conjugates are dense in the complex plane. For this, we use Penner's construction of pseudo-Anosov mapping classes. As a consequence, …
We present an enhanced prime decomposition theorem for knots that gives the isotopy classes of composite knots that can be constructed from a given list of prime factors (allowing for the mirroring and orientation reversing for each factor). Underlying the theorem is an algebraic construction that also allows for the c…
Study abelian factors in Lie algebras from graph edge labels.
A new factor analysis method using ICA reduces portfolio concentration and diversifies excess kurtosis.
QRAFTI uses multi-agent framework to improve equity factor research.
Investment strategy depends on many factors for venture capital funds.
We introduce a construction of pseudo-Anosov homeomorphisms on n-times punctured spheres and surfaces with higher genus using only sufficiently many positive half-twists. These constructions can produce explicit examples of pseudo-Anosov maps with various number-theoretic properties associated to the stretch factors, i…
The paper studies pseudo-Anosov maps from typical Thurston constructions.
We construct a 2-generated 2-related group without non-trivial finite factors. That answers a question of J. Button.
The paper derives a formula for factorizing categorical data to improve Bayes classifiers.
Study develops sector rotation models using factor and fundamental analysis.
We study diffeomorphisms of compact, oriented surfaces, developing methods of distinguishing those which have positive factorizations into Dehn twists from those which satisfy the weaker condition of right veering. We use these to construct open book decompositions of Stein-fillable 3-manifolds whose monodromies have n…
We construct many examples of Lie groups with compact Levi factor admitting a left-invariant metric with negative Ricci curvature. We start with a Lie algebra with Levi factor su(n) or so(n) acting on an abelian nilradical via the representation on the space of homogeneous polynomials. In the case of su(2) we obtain a …
This article constructs the moduli stack of torsionfree -jet-structures in homotopy type theory with one monadic modality. This yields a construction of this moduli stack for any -topos equipped with any stable factorization systems. In the intended applications of this theory, the factorization systems are …
EFS uses LLMs to optimize sparse portfolios by evolving alpha factors.
Every weak Perron number is realized as a stretch factor of a homeomorphism on a surface.
We propose a 4-factor model for overnight returns and give explicit definitions of our 4 factors. Long horizon fundamental factors such as value and growth lack predictive power for overnight (or similar short horizon) returns and are not included. All 4 factors are constructed based on intraday price and volume data a…
We propose a framework for constructing factor models for alpha streams. Our motivation is threefold. 1) When the number of alphas is large, the sample covariance matrix is singular. 2) Its out-of-sample stability is challenging. 3) Optimization of investment allocation into alpha streams can be tractable for a factor …
A common approach to analyze a covariate-sample count matrix, an element of which represents how many times a covariate appears in a sample, is to factorize it under the Poisson likelihood. We show its limitation in capturing the tendency for a covariate present in a sample to both repeat itself and excite related ones…
Large language models improve futures market factor models in China.
New method constructs translationally equivariant hyperbolic affine spheres.
The paper discusses building ETF risk models using a multilevel classification taxonomy.
Skew parallelogram nets factorize, encompassing discrete differential geometry.
In this paper, we design an integrated algorithm to evaluate the sentiment of Chinese market. Firstly, with the help of the web browser automation, we crawl a lot of news and comments from several influential financial websites automatically. Secondly, we use techniques of Natural Language Processing(NLP) under Chinese…
We explicitly construct pseudo-Anosov maps on the closed surface of genus with orientable foliations whose stretch factor is a Salem number with algebraic degree . Using this result, we show that there is a pseudo-Anosov map whose stretch factor has algebraic degree , for each positive even integer s…
Corporate bond factor research is flawed due to measurement errors and ex-post filtering.
The aim of this paper is to give a new link between integrable systems and minimal surface theory. The dressing operation uses the associated family of flat connections of a harmonic map to construct new harmonic maps. Since a minimal surface in 3-space is a Willmore surface, its conformal Gauss map is harmonic and a d…
The article uses dynamic factor allocation to improve portfolio performance by integrating regime-switching signals.
We give a new description of the Arnoux-Yoccoz mapping classes as a product of two Dehn twists and a finite order element. The construction is analogous to Penner's construction of mapping classes with small stretch factors.
The free factor complex of rank 4+ fails a combinatorial isoperimetric inequality.
New statistical factors improve portfolio risk estimation.
Enhances risk model with new statistical factors.
We construct a pairing, which we call factorization homology, between framed manifolds and higher categories. The essential geometric notion is that of a vari-framing of a stratified manifold, which is a framing on each stratum together with a coherent system of compatibilities of framings along links between strata. O…
GIV methodology extends instrumental variable estimation for high-dimensional data.
Machine learning helps estimate risk premiums of stocks without knowing their factors.
Constructs a representation of the string 2-group on a von Neumann algebra.
Global harmonic maps into SU(1,1) constructed from Smyth potentials using DPW method.
Model-based collaborative filtering analyzes user-item interactions to infer latent factors that represent user preferences and item characteristics in order to predict future interactions. Most collaborative filtering algorithms assume that these latent factors are static, although it has been shown that user preferen…