arXiv research

In this note, we establish a relationship between fractional Dehn twist coefficients of Riemann surface automorphisms and modular invariants of holomorphic families of algebraic curves. Specially, we give a characterization of pseudo-periodic maps with nontrivial fractional Dehn twist coefficients. We also obtain some …

The paper uses Floer homology to study twist coefficients and their behavior after capping off.

Study shows Dehn twist coefficients are consistent across different actions on surfaces.

Sharp lower bounds for modular invariants and Dehn twist coefficients in genus 2 and 3.

Characterizes fractional Dehn twist coefficient and proves slice-Bennequin inequality.

Sharp fractional Sobolev inequalities on closed manifolds identified.

We discuss how the fractional Dehn twist coefficient behaves under a fully ramified branched covering of an open book, and give applications to both topological and contact 3-manifolds. Among them, we show that non-right-veering closed braids represent virtually loose transverse links.

We establish a relationship between Heegaard Floer homology and the fractional Dehn twist coefficient of surface automorphisms. Specifically, we show that the rank of the Heegaard Floer homology of a 3-manifold bounds the absolute value of the fractional Dehn twist coefficient of the monodromy of any of its open book d…

In this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, we show that the DCCA coefficient can estimate the correlation coefficient accurately regardless the strength of non-stationarity (measured b…

We study fractional configurations in gravity theories and Lagrange mechanics. The approach is based on Caputo fractional derivative which gives zero for actions on constants. We elaborate fractional geometric models of physical interactions and we formulate a method of nonholonomic deformations to other types of fract…

Characterizes braid types and estimates twist coefficients.

We present a new and very concrete connection between cluster algebras and knot theory. This connection is being made via continued fractions and snake graphs. It is known that the class of 2-bridge knots and links is parametrized by continued fractions, and it has recently been shown that one can associate to each con…

New examples show high twisting doesn't guarantee open book maximality.

We introduce an essential open book foliation, a refinement of the open book foliation, and develop technical estimates of the fractional Dehn twist coefficient (FDTC) of monodromies and the FDTC for closed braids, which we introduce as well. As applications, we quantitatively study the `gap' of overtwisted contact str…

When common factors strongly influence two power-law cross-correlated time series recorded in complex natural or social systems, using classic detrended cross-correlation analysis (DCCA) without considering these common factors will bias the results. We use detrended partial cross-correlation analysis (DPXA) to uncover…

New coefficient detects irrational rotation behavior on infinite-type surfaces.

Study of hyperbolic 3-manifolds via fractional Dehn twists and cusp geometry.

Expanding the rough Heston model in $H$

We characterize the fractional Dehn twist coefficient of a braid in terms of a slope of the homogenization of the Upsilon function, where Upsilon is the function-valued concordance homomorphism defined by Ozsváth, Stipsicz, and Szabó. We use this characterization to prove that $n$-braids with fractional Dehn twist coef…

Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed nature of driving Brownian and fractional Brownian motions, probability density for such a model is less studied in the literature. We show i…

The continuous observation of the financial markets has identified some stylized facts which challenge the conventional assumptions, promoting the born of new approaches. On the one hand, the long-range dependence has been faced replacing the traditional Gauss-Wiener process (Brownian motion), characterized by stationa…

Develops fractional de Rham theory for Maxwell equations.

We consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with equidistance $n^{-1}$ between trading times. We derive a non trivial hedging error for a class of European options with convex payoff in the…

Investment strategy using fractional Kelly portfolios for better growth expectations.

This expository article discusses some connections between the geometry of a hyperbolic 3-manifold homotopy-equivalent to a surface, and the combinatorial properties of its end invariants. In particular a necessary and sufficient condition is stated for the manifold to have arbitrarily short geodesics, in terms of a se…

We show that a Kleinian surface group, or hyperbolic 3-manifold with a cusp-preserving homotopy-equivalence to a surface, has bounded geometry if and only if there is an upper bound on an associated collection of coefficients that depend only on its end invariants. Bounded geometry is a positive lower bound on the leng…

An investor faced with a contingent claim may eliminate risk by perfect hedging, but as it is often quite expensive, he seeks partial hedging (quantile hedging or efficient hedging) that requires less capital and reduces the risk. Efficient hedging for European call option was considered in the standard Black-Scholes m…

We explore properties of braids such as their fractional Dehn twist coefficients, right-veeringness, and quasipositivity, in relation to the transverse invariant from Khovanov homology defined by Plamenevskaya for their closures, which are naturally transverse links in the standard contact $3$-sphere. For any $3$-braid…

Using open book foliations we show that an overtwisted disc in a planar open book can be put in a topologically nice position. As a corollary, we prove that a planar open book whose fractional Dehn twist coefficients grater than one for all the boundary components supports a tight contact structure.

We solve a family of fractional Riccati differential equations with constant (possibly complex) coefficients. These equations arise, e.g., in fractional Heston stochastic volatility models, that have received great attention in the recent financial literature thanks to their ability to reproduce a rough volatility beha…

Study confirms fractional norms and quasinorms do not help overcome curse of dimensionality.

We examine in this article the pricing of target volatility options in the lognormal fractional SABR model. A decomposition formula by Ito's calculus yields a theoretical replicating strategy for the target volatility option, assuming the accessibilities of all variance swaps and swaptions. The same formula also sugges…

A new method reparameterizes ridge regression for faster, more interpretable results.

A result of Malyutin shows that a random walk on the mapping class group gives rise to an element whose fractional Dehn twist coefficient is large or small enough. We show that this leads to several properties of random 3-manifolds and links. For example, random closed braids and open books are hyperbolic.

Proof of contact structure from taut foliation for certain knots.

According to a formula by Gordon and Litherland, the signature of a knot K can be computed as the signature of a Goeritz matrix of K minus a suitable correction term, read off from the diagram of K. In this article, we consider the family of two bridge knots K(p/q) and compute the signature of their Goeritz matrices in…

We develop a variational framework for SDEs driven by fractional noise.

We examine the internal geometry of a Kleinian surface group and its relations to the asymptotic geometry of its ends, using the combinatorial structure of the complex of curves on the surface. Our main results give necessary conditions for the Kleinian group to have `bounded geometry' (lower bounds on injectivity radi…

New q-deformed integers help compute Jones polynomials efficiently.

Study approximates rough stochastic volatility models using diffusion processes.

In this paper we apply Markovian approximation of the fractional Brownian motion (BM), known as the Dobric-Ojeda (DO) process, to the fractional stochastic volatility model where the instantaneous variance is modelled by a lognormal process with drift and fractional diffusion. Since the DO process is a semi-martingale,…

We revisit the optimal investment and consumption problem with proportional transaction costs. We prove that both the value function and the slopes of the lines demarcating the no-trading region are analytic functions of cube root of the transaction cost parameter. Also, we can explicitly calculate the coefficients of …

mfBm models and forecasts volatility with different Hurst exponents and correlations.

We show by explicit closed form calculations that a Hurst exponent H that is not 1/2 does not necessarily imply long time correlations like those found in fractional Brownian motion. We construct a large set of scaling solutions of Fokker-Planck partial differential equations where H is not 1/2. Thus Markov processes, …

In this work we propose a new class of long-memory models with time-varying fractional parameter. In particular, the dynamics of the long-memory coefficient, $d$, is specified through a stochastic recurrence equation driven by the score of the predictive likelihood, as suggested by Creal et al. (2013) and Harvey (2013)…

The paper explores how score-driven models can approximate rough volatility.

We study geodesics on the modular surface, comparing WP and hyperbolic metrics.

Efficient algorithms for WRT invariants of torus bundles using algebraic structures.