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.
Enhances graph neural networks with Relational Pooling for better graph classification.
We present a novel family of deep neural architectures, named partially exchangeable networks (PENs) that leverage probabilistic symmetries. By design, PENs are invariant to block-switch transformations, which characterize the partial exchangeability properties of conditionally Markovian processes. Moreover, we show th…
Paper establishes MLE consistency for market microstructure models.
Study lead-lag relationships in foreign exchange markets using three approaches.
We prove a general duality result for multi-stage portfolio optimization problems in markets with proportional transaction costs. The financial market is described by Kabanov's model of foreign exchange markets over a finite probability space and finite-horizon discrete time steps. This framework allows us to compare v…
Derives Black-Scholes model without stochastic calculus or PDEs.
New priors for deep neural networks converge to Gaussian processes.
Directed graphs occur throughout statistical modeling of networks, and exchangeability is a natural assumption when the ordering of vertices does not matter. There is a deep structural theory for exchangeable undirected graphs, which extends to the directed case via measurable objects known as digraphons. Using digraph…
Mobile agents classify images via reinforcement learning and consensus.
We consider an optimal trading problem over a finite period of time during which an investor has access to both a standard exchange and a dark pool. We take the exchange to be an order-driven market and propose a continuous-time setup for the best bid price and the market spread, both modelled by Lévy processes. Effect…
Correlation matrices are omnipresent in multivariate data analysis. When the number d of variables is large, the sample estimates of correlation matrices are typically noisy and conceal underlying dependence patterns. We consider the case when the variables can be grouped into K clusters with exchangeable dependence; t…
The article provides representations of exchange option prices under SVJD dynamics.
Paper proposes an efficient method for pricing FX options with stochastic volatility and interest rates.
This paper introduces cluster exchange groupoids for Coxeter-Dynkin diagrams and finds their fundamental groups are braid groups.
Develops numerical methods for pricing exchange options in a market with limited liquidity.
Geometric Mean Market Makers super-hedge impermanent loss without models.
In this paper, we discuss the crossing change operation along exchangeable double curves of a surface-knot diagram. We show that under certain condition, a finite sequence of Roseman moves preserves the property of those exchangeable double curves. As an application for this result, we also define a numerical invariant…
Unified approach for predicting missing segments in partially observed functions.
In order to obtain a Markov theorem without stabilization, Birman and Menasco introduced the notion of exchange related braids. In this paper I study the way the Fiedler polynomial distinguishes conjugacy classes of some particular braided knots. I introduce the Kauffman bracket in the solid torus. Its Taylor expansion…
Data-aware activation function customization reduces neural network error.
We perform a comparative analysis of the Chinese stock market around the occurrence of the 2008 crisis based on the random matrix analysis of high-frequency stock returns of 1228 stocks listed on the Shanghai and Shenzhen stock exchanges. Both raw correlation matrix and partial correlation matrix with respect to the ma…
The value of an asset in a financial market is given in terms of another asset known as numeraire. The dynamics of the value is non-stationary and hence, to quantify the relationships between different assets, one requires convenient measures such as the means and covariances of the respective log returns. Here, we dev…
Study collective pricing and hedging with admissible risk exchanges forming a finitely generated convex cone.
It is known since 40 years old paper by M. Keane that minimality is a generic (i.e. holding with probability one) property of an irreducible interval exchange transformation. If one puts some integral linear restrictions on the parameters of the interval exchange transformation, then minimality may become an "exotic" p…
Study shows NCCP can replace CP for ACI in non-exchangeable data.
A dynamical model of capital exchange is introduced in which a specified amount of capital is exchanged between two individuals when they meet. The resulting time dependent wealth distributions are determined for a variety of exchange rules. For ``greedy'' exchange, an interaction between a rich and a poor individual r…
Proposes a new method for completing swap cycles in decentralized exchanges.
New method for selective prediction under interventions learns causal structure from data.
Global convergence proved for multi-agent LQRs with hierarchical actor-critic.
Study Nash equilibrium between broker and informed trader in dealer and lit markets.
Decentralized detection avoids sharing data, controls false discoveries.
A knot type is exchange reducible if an arbitrary closed n-braid representative can be changed to a closed braid of minimum braid index by a finite sequence of braid isotopies, exchange moves and +/- destabilizations. In the manuscript [J Birman and NC Wrinkle, On transversally simple knots, preprint (1999)] a transver…
Reciprocating interactions represent a central feature of all human exchanges. They have been the target of various recent experiments, with healthy participants and psychiatric populations engaging as dyads in multi-round exchanges such as a repeated trust task. Behaviour in such exchanges involves complexities relate…
New approach for adaptive conformal inference using Blackwell's theory.
If a rectangular diagram represents the trivial knot, then it can be deformed into the trivial rectangular diagram with only four edges by a finite sequence of merge operations and exchange operations, without increasing the number of edges, which was shown by I. A. Dynnikov. Using this, Henrich and Kauffman gave an up…
Exchange uses incentives to optimize limit order book dynamics.
If a rectangular diagram represents the trivial knot, then it can be deformed into the rectangular diagram with only two vertical edges by a finite sequence of merge operations and exchange operations, without increasing the number of vertical edges, which was shown by I. A. Dynnikov. We show in this paper that we need…
Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equity trades in the US. Such markets are thought to increase liquidity because of the presence of market makers, who are willing to trade as co…
We say that a graph is intrinsically knotted or completely 3-linked if every embedding of the graph into the 3-sphere contains a nontrivial knot or a 3-component link any of whose 2-component sublink is nonsplittable. We show that a graph obtained from the complete graph on seven vertices by a finite sequence of $\tria…
Develops a new model for cross-currency derivatives pricing.
Study proposes a method to construct copulas using corrected Hermite polynomial expansion for estimating foreign exchange volatility.
Numerical method for pricing exchange options with stochastic volatility and jumps.
On contact manifolds we describe a notion of (contact) finite-type for linear partial differential operators satisfying a natural condition on their leading terms. A large class of linear differential operators are of finite-type in this sense, and for any such operator we construct a partial connection on a (finite ra…
Bayesian nonparametric approach for clustering non-exchangeable groups.
Research shows finiteness in triangulations with girth constraints.
This thesis explores supervised classification methods using Bayesian and exchangeability theories.
Novel algorithms improve efficiency of finite width NTK computation.
Concentration of infinitely exchangeable sequences with bounded-difference constants