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 explores financial market linkages between Japan and US markets.
Cryptocurrencies are becoming more linked in their returns and volatilities.
The recent financial crisis has stressed the need to understand financial systems as networks of interdependent countries, where cross-border financial linkages play the fundamental role. It has also been emphasized that the relevance of these networks relies on the representation of changes follow-on the occurrence of…
A clustering algorithm based on the Hausdorff distance is introduced and compared to the single and complete linkage. The three clustering procedures are applied to a toy example and to the time series of financial data. The dendrograms are scrutinized and their features confronted. The Hausdorff linkage relies of firm…
Analyzed banking crises across 66 countries, showing interconnections and clustering patterns.
This paper develops a non-Bayesian methodology to analyze the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it to estimate the joint degree of market efficiency in the sense of Fama (1970, 1…
Estimates financial networks using high-frequency trade data.
We develop a structural default model for interconnected financial institutions in a probabilistic framework. For all possible network structures we characterize the joint default distribution of the system using Bayesian network methodologies. Particular emphasis is given to the treatment and consequences of cyclic fi…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables such as trade, foreign direct investments, etc. for several countries across the gl…
We study the international interbank market through a geometrical and a topological analysis of empirical data. The geometrical analysis of the time series of cross-country liabilities shows that the systematic information of the interbank international market is contained in a space of small dimension, from which a to…
This article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques of Hansen and Seo (2002), we show significant threshold stock market linkages between Mexico, Chile and the US. Thus, the dynamics of these …
A new clustering method versatile linkage improves on existing strategies.
New method for estimating firm linkages using CVLs and QCML.
Benchmark evaluates AI-generated financial QA hallucinations, highlighting system vulnerabilities.
The geometric, topological, and symplectic properties of moduli spaces (spaces of configurations modulo rotations and translations) of polygonal linkages have been studied by Kapovich, Millson, and Kamiyama, et. al. One can form a polygonal linkage by taking two free linkages and identifying initial and terminal vertic…
Minimax linkage improves clustering interpretability by minimizing maximum distance to prototypes.
This paper studies the configuration space of all possible positions of a linkage in R^n. For example, it shows that for every compact algebraic set, there is a linkage whose configuration space is analytically isomorphic to a finite number of copies of the algebraic set. If flexible edges are allowed, any compact set …
Paper introduces a method for supervised hierarchical clustering with Exponential Linkage.
New closed linkage mechanisms with Möbius strip properties.
The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visible and invisible financial linkages. Recently, a lot of attention has been paid to the understanding of the mechanisms that can lead to a b…
Paper addresses limitations of traditional hierarchical clustering methods.
Paper analyzes a three-loop linkage, showing it's overconstrained and shaky.
Moduli spaces of planar polygonal linkages admit a cell structure which can be realized as a surgery on the permutohedron. We present a 3D visualization of the result of the surgery for all types of non-degenerate pentagonal linkages.
We prove realizability theorems for vector-valued polynomial mappings, real-algebraic sets and compact smooth manifolds by moduli spaces of planar linkages. We also establish a relation between universality theorems for moduli spaces of mechanical linkages and projective arrangements.
The study uses financial events to predict stock market movements.
A mechanical linkage is a mechanism made of rigid rods linked together by flexible joints, in which some vertices are fixed and others may move. The partial configuration space of a linkage is the set of all the possible positions of a subset of the vertices. We characterize the possible partial configuration spaces of…
Study reveals dynamic linkage between Peanut and Soybean Oil futures markets.
RLINK uses deep reinforcement learning to improve user identity linkage across social networks.
Study examines insurance sector linkages and systemic risk using dynamic spanning trees.
A linkage is a finite graph with lengths assigned to each edge. A planar realization is a map to the plane which preserves edge lengths. It can be thought of as a mechanical device formed from stiff rods and rotating joints. We look at the configuration space of all planar realizations of a linkage (following work of K…
The study identifies extremal dependence in financial markets using a bootstrap-based testing procedure.
Crimes emerge out of complex interactions of human behaviors and situations. Linkages between crime incidents are highly complex. Detecting crime linkage given a set of incidents is a highly challenging task since we only have limited information, including text descriptions, incident times, and locations. In practice,…
A mechanical linkage is a mechanism made of rigid rods linked together by flexible joints, in which some vertices are fixed and others may move. The partial configuration space of a linkage is the set of all the possible positions of a subset of the vertices. We characterize the possible partial configuration spaces of…
Record linkage involves merging records in large, noisy databases to remove duplicate entities. It has become an important area because of its widespread occurrence in bibliometrics, public health, official statistics production, political science, and beyond. Traditional linkage methods directly linking records to one…
The study measures systemic risk using common and tail dependence factors.
New bounds improve linkage methods for clustering, distinguishing complete-link from single-link.
The task of matching co-referent records is known among other names as rocord linkage. For large record-linkage problems, often there is little or no labeled data available, but unlabeled data shows a reasonable clear structure. For such problems, unsupervised or semi-supervised methods are preferable to supervised met…
In the wake of the still ongoing global financial crisis, bank interdependencies have come into focus in trying to assess linkages among banks and systemic risk. To date, such analysis has largely been based on numerical data. By contrast, this study attempts to gain further insight into bank interconnections by tappin…
We study configuration spaces of linkages whose underlying graph are polygons with diagonal constrains, or more general, partial two-trees. We show that (with an appropriate definition) the oriented area is a Bott-Morse function on the configuration space. Its critical points are described and Bott-Morse indices are co…
Hierarchical clustering uses OWA operators to generalize linkage methods and avoid dendrogram inversions.
We study spaces of realisations of linkages (weighted graphs) whose underlying graph is a series parallel graph. In particular, we describe an algorithm for determining whether or not such spaces are connected.
The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages, yet we still lack fundamental knowledge about the evolution of the financial web. In particular, interbank credit networks shape the core of the financial system, in which …
A linkage mechanism consists of rigid bodies assembled by joints which can be used to translate and transfer motion from one form in one place to another. In this paper, we are particularly interested in a family of spacial linkage mechanisms which consist of -copies of a rigid body joined together by hinges to form…
Standard agglomerative clustering suggests establishing a new reliable linkage at every step. However, in order to provide adaptive, density-consistent and flexible solutions, we study extracting all the reliable linkages at each step, instead of the smallest one. Such a strategy can be applied with all common criteria…
We prove diffeomorphisms of polygonal linkage moduli spaces to Euclidean spaces.
Study maps interdependence of SDGs, finds complex, dynamic linkages.
Knowledge graphs have emerged as an important model for studying complex multi-relational data. This has given rise to the construction of numerous large scale but incomplete knowledge graphs encoding information extracted from various resources. An effective and scalable approach to jointly learn over multiple graphs …
Grinch efficiently clusters large datasets with complex structures.