Research
On-device research index

arXiv research

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.

169,341 papers · 148 categories

Trend · papers per month

12.5%25.0%37.5%50.0% · Nov 199319922001200920182026
48 results for fractal index

New risk index measures insolvency risk using fractal geometry of balance sheets.

problem Measuring insolvency risk in financial firms.
method Developed a symmetrical, proportional, and scale-invariant Firm Insolvency Risk Index (FIRI) based on fractal geometry of balance sheets.
result The fractal index can differentiate between asset risk and is bounded to a risk thermometer.

In this paper we study BSE Index financial time series for fractal and multifractal behaviour. We show that Bombay stock Exchange (BSE)Index time series is mono-fractal and can be represented by a fractional Brownian motion.

2001-08-28abs ↗pdf ↗

New estimator for fractal index robust to noise in non-Gaussian time series.

problem Estimating fractal index of non-Gaussian time series with noise.
method Developed a robust estimator and hypothesis test for fractal index.
result Proposed estimator is robust to measurement noise and can detect its presence.

This study analyzes how the Indian stock market reacts to budget announcements using fractal methods.

problem Understanding the impact of Union Budget announcements on the Indian stock market.
method Utilizes fractal interpolation function and fractal dimensional analysis to study the NIFTY50 index over -15 to +15 days post-budget day.
result The budget announcements significantly affect the Indian stock market, as evidenced by average abnormal return and cumulative abnormal return.

We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using Multifractal Detrended Fluctuation Analysis (MFDFA). By calculating the singularity spectra f(α)f(α) we show that returns of both signs reveal multiscaling. Curiously, these spectra display a s…

2008-03-10abs ↗pdf ↗

Study the link between entropy and market efficiency using fractal properties.

problem Determining market efficiency using entropy-based measures and fractal properties.
method Theoretical expression for market information using fractional Brownian motion and Lamperti transform. Multiscale method to interpret entropy and market information.
result A Hurst exponent close to 1/2 can lead to high informativeness of time series due to stationarity.

The total value of domestic market capitalization of the Mexican Stock Exchange was calculated at 520 billion of dollars by the end of November 2013. To manage this system and make optimum capital investments, its dynamics needs to be predicted. However, randomness within the stock indexes makes forecasting a difficult…

2014-11-12abs ↗pdf ↗

This paper is an attempt at understanding the quantum-like dynamics of financial markets in terms of non-differentiable price-time continuum having fractal properties. The main steps of this development are the statistical scaling, the non-differentiability hypothesis, and the equations of motion entailed by this hypot…

2013-12-11abs ↗pdf ↗

Study on heat content for domains with fractal boundaries.

problem Analyzing short-time asymptotics of heat content for domains with fractal boundaries.
method Developing mathematical analysis on de Gennes' hypothesis and exploring fractal curvatures.
result Fractal curvatures and their scaling exponents may emerge in the short-time heat content asymptotics of domains with fractal boundaries.

We apply a recently developed wavelet based approach to characterize the correlation and scaling properties of non-stationary financial time series. This approach is local in nature and it makes use of wavelets from the Daubechies family for detrending purpose. The built-in variable windows in wavelet transform makes t…

2006-01-31abs ↗pdf ↗

Paper proves existence of area-minimizing submanifolds on almost any manifold with fractal singular sets.

problem Existence of area-minimizing submanifolds with fractal singular sets.
method Constructing and proving existence on almost any smooth manifold.
result Existence of area-minimizing submanifolds with fractal singular sets on almost any smooth manifold.

The paper proves prevalent existence and partially determines moduli space of area-minimizing surfaces with fractal singular sets.

problem Existence and moduli space of area-minimizing surfaces with fractal singular sets.
method Proof of prevalent existence, determination of moduli space, refinement of strata.
result Sharp results on moduli space and refinement of strata, showing fractal singularities do not completely dissolve under generic perturbations.

In this pre-print we explore the multi-fractal properties of 1 minute traded volume of the equities which compose the Dow Jones 30. We also evaluate the weights of linear and non-linear dependences in the multi-fractal structure of the observable. Our results show that the multi-fractal nature of traded volume comes es…

2005-12-24abs ↗pdf ↗

This paper evaluates fractal dimension and persistent homology for neural network generalization.

problem Bounding and predicting the generalization gap of neural networks.
method Empirical evaluation of fractal dimension and persistent homology as generalization measures.
result Fractal dimension and persistent homology fail to predict generalization of models trained from poor initializations.

Smooth fractal trees via analytic generators, preserving combinatorial and geometric properties.

problem Constructing smooth fractal trees from discrete models.
method Using analytic generator fields to integrate smooth vector fields in an internal state space, generating geometric curves as projections of generator trajectories.
result Analytic generators can represent any discrete tree specification and preserve the asymptotic limit geometry.

New framework links fractal complexity to separation dimension.

problem Quantifying the complexity of fractal partitions.
method Introducing Separation Dimension ($\sepdim$) and Geometrically Regular Partitions (GRPs).
result Sharp upper bound for chromatic number of fractal partitions.

Estimates box dimension of fractal interpolation surfaces using oscillation vectors.

problem Estimating the complexity of fractal interpolation surfaces.
method Defined vertical scaling matrices and used them to relate oscillation vectors of different levels.
result Obtained the box dimension of generalized affine fractal interpolation surfaces.

We analyze the market efficiency of 25 commodity futures across various groups -- metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently proposed Efficiency Index to find that the most efficient of all the analyzed commodities is heating oil, closely followed by WTI crude oil,…

2013-09-05abs ↗pdf ↗

Study finds Bitcoin crypto currency rate correlates with social network activity.

problem Detecting correlation between crypto currency rate and social network activity.
method Comparative correlation and fractal analysis of time series data.
result Time series of Bitcoin rate and social network activities exhibit self-similar and multifractal properties.

Cohomology fractals are visual representations of cohomology classes on hyperbolic 3-manifolds.

problem Visualizing cohomology classes on hyperbolic 3-manifolds.
method Cohomology fractals are images associated to cohomology classes. They are related to limit sets of Kleinian groups but differ in key aspects. An implementation using ideal triangulations and ray-casting is presented.
result Cohomology fractals allow for real-time zooming in any direction at arbitrary depth.

This work is an analytical and numerical study of the composition of several fractals into one and of the relation between the composite dimension and the dimensions of the component fractals. In the case of composition of standard IFS with segments of equal size, the composite dimension can be expressed as a function …

2014-07-10abs ↗pdf ↗

Study on topological order on fractal geometries, proving no-go theorem and fault-tolerant gates.

problem Investigating topological order on fractal geometries embedded in n dimensions.
method Using quantum error-correcting codes and systolic geometry to diagnose topological order.
result Proves no-go theorem for topological order on 2D fractals, survival on higher dimensions, and construction of fault-tolerant gates.

Fractal Flow enhances normalizing flows with interpretable latent space and hierarchical modeling.

problem High-dimensional density estimation and generative modeling challenges.
method Integrates topic modeling (LDA) and fractal strategy into normalizing flows.
result Achieves latent clustering, controllable generation, and superior estimation accuracy.

Fractal Lipschitz-Killing curvature measures C^f_k(F,.), k = 0, ..., d, are determined for a large class of self-similar sets F in R^d. They arise as weak limits of the appropriately rescaled classical Lipschitz-Killing curvature measures C_k(F_r,.) from geometric measure theory of parallel sets F_r for small distances…

2010-07-05abs ↗pdf ↗