arXiv research

The article proves the existence of horizontal immersions into fat distributions and contact structures.

Study horizontal discs in fat distributions, proving their existence.

A classic problem in physics is the origin of fat tailed distributions generated by complex systems. We study the distributions of stock returns measured over different time lags $τ.$ We find that destroying all correlations without changing the $τ= 1$ d distribution, by shuffling the order of the daily returns, causes…

New example disproves complex contact theory for fat distributions with Reeb directions.

This study empirically re-examines fat tails in stock return distributions by applying statistical methods to an extensive dataset taken from the Korean stock market. The tails of the return distributions are shown to be much fatter in recent periods than in past periods and much fatter for small-capitalization stocks …

The h-principle fails for prelegendrians in fat distributions of corank 2.

We propose a random walk model of asset returns where the parameters depend on market stress. Stress is measured by, e.g., the value of an implied volatility index. We show that model parameters including standard deviations and correlations can be estimated robustly and that all distributions are approximately normal.…

Elliptical processes generalize Gaussian and Student-t models with fat tails and computational efficiency.

I report a new statistical distribution formulated to confront the infamous, long-standing, computational/modeling challenge presented by highly skewed and/or leptokurtic ("fat- or heavy-tailed") data. The distribution is straightforward, flexible and effective. Even when working with far fewer data points than are rou…

It is well known that the distribution of returns from various financial instruments are leptokurtic, meaning that the distributions have "fatter tails" than a Normal distribution, and have skew toward zero. This paper presents a graceful micro-level explanation for such fat-tailed outcomes, using agents whose private …

New method models fat-tailed distributions with anisotropic tail-adaptive flows.

We study the problems related to the estimation of the Gini index in presence of a fat-tailed data generating process, i.e. one in the stable distribution class with finite mean but infinite variance (i.e. with tail index $α\in(1,2)$). We show that, in such a case, the Gini coefficient cannot be reliably estimated usin…

Starting from an exact relationship between news, threshold and price return distributions in the stationary state, I discuss the ability of the Ghoulmie-Cont-Nadal model of traders to produce fat-tailed price returns. Under normal conditions, this model is not able to transform Gaussian news into fat-tailed price retu…

This note presents an operational measure of fat-tailedness for univariate probability distributions, in $[0,1]$ where 0 is maximally thin-tailed (Gaussian) and 1 is maximally fat-tailed. Among others,1) it helps assess the sample size needed to establish a comparative $n$ needed for statistical significance, 2) allows…

The SV-GARCH-EVT model improves risk assessment in financial markets.

Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are not only relatively likely, but they also occur in a rather peculiar way where a finite fraction of the whole sample deviation is concentrated on a single variable. The regime of large deviations is separated from the regi…

The literature of heavy tails (typically) starts with a random walk and finds mechanisms that lead to fat tails under aggregation. We follow the inverse route and show how starting with fat tails we get to thin-tails when deriving the probability distribution of the response to a random variable. We introduce a general…

Efficiently estimate Boolean product distribution parameters from truncated samples.

We analyze quantitatively the effect of spurious multifractality induced by the presence of fat-tailed symmetric and asymmetric probability distributions of fluctuations in time series. In the presented approach different kinds of symmetric and asymmetric broad probability distributions of synthetic data are examined s…

The aim of this paper is to propose a heterogeneous agent model of stock markets that develop complicated endogenous price fluctuations. We find occurrences of non-stationary chaos, or speculative bubble, are caused by the heterogeneity of traders' strategies. Furthermore, we show that the distributions of returns gene…

Paper classifies fibers of fat Riemannian submersions with non-negative curvature.

(The third edition corrects minor typos and adds 3 chapters synthesized from published papers plus an appendix on maximum entropy distributions.) The monograph investigates the misapplication of conventional statistical techniques to fat tailed distributions and looks for remedies, when possible. Switching from thin ta…

In this paper we introduce an efficient fat-tail measurement framework that is based on the conditional second moments. We construct a goodness-of-fit statistic that has a direct interpretation and can be used to assess the impact of fat-tails on central data conditional dispersion. Next, we show how to use this framew…

This paper investigates multiscaling in the rough Bergomi model, finding it primarily due to fat-tailed returns.

Constructs fat, shellable 3-spheres with specific $f$-vectors.

Paper introduces fat CW complexes including all closed manifolds.

Introduces fat Lie theory for Lie groupoids and algebroids.

New rigidity result for fat bundles with equal vertical curvatures.

The paper integrates behavioral distortions into portfolio optimization using implied probability weighting functions.

We perform a systematic investigation on the components of the empirical multifractality of financial returns using the daily data of Dow Jones Industrial Average from 26 May 1896 to 27 April 2007 as an example. The temporal structure and fat-tailed distribution of the returns are considered as possible influence facto…

Improved uniform convergence bound with fat-shattering dimension reduces sample complexity gap.

Revisits granular models explaining firm growth rates and sizes.

This work is devoted to new constructions of symplectically fat fiber bundles. The latter are constructed in two ways: using the Kirwan map and expressing the fatness condition in terms of the isotropy representation related to the G-structure over some homogeneous spaces.

Godin introduced the categories of open closed fat graphs $Fat^{oc}$ and admissible fat graphs $Fat^{ad}$ as models of the mapping class group of open closed cobordism. We use the contractibility of the arc complex to give a new proof of Godin's result that $Fat^{ad}$ is a model of the mapping class group of open-close…

We use the GARCH model with a fat-tailed error distribution described by a rational function and apply it for the stock price data on the Tokyo Stock Exchange. To determine the model parameters we perform the Bayesian inference to the model. The Bayesian inference is implemented by the Metropolis-Hastings algorithm wit…

Deep forecasting models show output heads significantly improve performance on fat-tailed financial returns.

The paper combines Bitcoin price models with expert corrections for better predictions.

Estimates fat-shattering dimension of aggregated function classes.

We study closed non-positively curved Riemannian manifolds $M$ which admit `fat $k$-flats': that is, the universal cover $\tilde M$ contains a positive radius neighborhood of a $k$-flat on which the sectional curvatures are identically zero. We investigate how the fat $k$-flats affect the cardinality of the collection …

We assume the market price to diffuse in a hierarchical comb of barriers, the heights of which represent the importance of new information entering the market. We find fat tails with the desired exponent for the price change distribution, and effective multifractality for intermediate times.

New bounds on inscribed triangles in arbitrary planar domains.

This paper addresses the statistical properties of time series driven by rational bubbles a la Blanchard and Watson (1982), corresponding to multiplicative maps, whose study has recently be revived recently in physics as a mechanism of intermittent dynamics generating power law distributions. Using insights on the beha…

We introduce a deterministic dealer model which implements most of the empirical laws, such as fat tails in the price change distributions, long term memory of volatility and non-Poissonian intervals. We also clarify the causality between microscopic dealers' dynamics and macroscopic market's empirical laws.

This article deals with fat bundles. Berard-Bergery classified all homogeneous bundles of that type. We ask a question of a possibility to generalize his description in the case of arbitrary G-structures over homogeneous spaces. We obtain necessary conditions for the existence of such bundles. These conditions yield a …

This paper offers a precise analytical characterization of the distribution of returns for a portfolio constituted of assets whose returns are described by an arbitrary joint multivariate distribution. In this goal, we introduce a non-linear transformation that maps the returns onto gaussian variables whose covariance …

Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the distribution of fluctuations in returns. Empirical studies conducted over the last decade …

We apply generative adversarial network (GAN) technology to build an event generator that simulates particle production in electron-proton scattering that is free of theoretical assumptions about underlying particle dynamics. The difficulty of efficiently training a GAN event simulator lies in learning the complicated …

In stochastic finance, one traditionally considers the return as a competitive measure of an asset, {\it i.e.}, the profit generated by that asset after some fixed time span $Δt$, say one week or one year. This measures how well (or how bad) the asset performs over that given period of time. It has been established tha…