arXiv research

News might trigger jump arrivals in financial time series. The "bad" and "good" news seems to have distinct impact. In the research, a double exponential jump distribution is applied to model downward and upward jumps. Bayesian double exponential jump-diffusion model is proposed. Theorems stated in the paper enable est…

Study confirms complex crypto market dynamics via non-linear potentials.

Deep neural networks can generalize by reducing high-frequency noise over time, not always following a monotonic learning bias.

Paper reduces recommender system model size by 90%.

Modeling price clustering in financial markets using discrete distributions.

New method bypasses global fit for LISA's Galactic binaries, extracting population parameters directly.

Study predicts evolution patterns for pretzel knots, revealing abrupt transitions and hidden non-linearity.

In this study, we present a simple stochastic order-book model for investors' swarm behaviors seen in the continuous double auction mechanism, which is employed by major global exchanges. Our study shows a characteristic called "fat tail" is seen in the data obtained from our model that incorporates the investors' swar…

Bayesian nonparametric approaches, in particular the Pitman-Yor process and the associated two-parameter Chinese Restaurant process, have been successfully used in applications where the data exhibit a power-law behavior. Examples include natural language processing, natural images or networks. There is also growing em…

The paper develops a neural network method for estimating drift functions of diffusion processes from discrete observations.

In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book. The agents follow a noise decision making process where their actions are related to a s…

Improved stock trading model using sentiment analysis and machine learning.

A novel version of the Continuous-Time Random Walk (CTRW) model with memory is developed. This memory means the dependence between arbitrary number of successive jumps of the process, while waiting times between jumps are considered as i.i.d. random variables. The dependence was found by analysis of empirical histogram…

RL agent learns to place limit orders for trading signals in financial markets.

Let $\mathbb{M}$ be a compact $C^\infty$-smooth Riemannian manifold of dimension $n$, $n\geq 3$, and let $\varphi_λ: Δ_M \varphi_λ+ λ\varphi_λ= 0$ denote the Laplace eigenfunction on $\mathbb{M}$ corresponding to the eigenvalue $λ$. We show that $H^{n-1}(\{ \varphi_λ=0\}) \leq C λ^α,$ where $α>1/2$ is a constant, whi…

RL agents optimize order execution in a realistic market simulation.

Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We introduce a Markov-switching modeling approach for price change, where the latent Markov proc…

The paper analyzes the joint dynamics of prices and order flow in electronic order books.

A Klein surface is a surface with a dianalytic structure. A double of a Klein surface $X$ is a Klein surface $Y$ such that there is a degree two morphism (of Klein surfaces) $Y\rightarrow X$. There are many doubles of a given Klein surface and among them the so-called natural doubles which are: the complex double, the …

We use high-frequency data of 1364 Chinese A-share stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange to investigate the intraday patterns in the bid-ask spreads. The daily periodicity in the spread time series is confirmed by Lomb analysis and the intraday bid-ask spreads are found to exhibit $L$…

We define a general notion of abstract double Lie algebroid. We show (1) that the double Lie algebroid of a double Lie groupoid is a double Lie algebroid in this sense; (2) that the double cotangent constructed from Lie algebroid structures on a vector bundle A and its dual A* is a double Lie algebroid if and only if (…

The word `double' was used by Ehresmann to mean `an object X in the category of all X'. Double categories, double groupoids and double vector bundles are instances, but the notion of Lie algebroid cannot readily be doubled in the Ehresmann sense, since a Lie algebroid bracket cannot be defined diagrammatically. In this…

HyFAD improves time series imputation by combining time and frequency diffusion.

We define double principal bundles (DPBs), for which the frame bundle of a double vector bundle, double Lie groups and double homogeneous spaces are basic examples. It is shown that a double vector bundle can be realized as the associated bundle of its frame bundle. Also dual structures, gauge transformations and conne…

Generalizes Hecke algebra for double torus, linking to skein algebra.

Introduces Poisson double algebroids and their relation to Lie 2-bialgebras.

Survey of global geometry for double field theory.

SSMs have a built-in bias towards low-frequency components, which can be adjusted.

This paper establishes an equivalence between transitive double Lie algebroids and core diagrams.

Geometrically interprets frequency in electric circuits.

Criteria found for knots not determined by their double branched covers.

Trading affects grid frequency fluctuations, making them more extreme.

Study on frequencies of non-simple curves in surfaces of large genus.

CNNs show sensitivity to low-frequency signals due to image frequency distribution.

We define an abstract notion of double Lie algebroid, which includes as particular cases: (1) the double Lie algebroid of a double Lie groupoid in the sense of the author, such as the iterated tangent bundle of an ordinary manifold, and various iterated tangent/cotangent constructions in symplectic and Poisson geometry…

The paper examines how parabolic frequency behaves under Ricci flow and Ricci-harmonic flow on manifolds.

New method constrains CNN filter frequencies to improve robustness.

We develop new algebraic methods refining the Witt group of linking forms and Ranicki's torsion algebraic L-groups into double Witt groups and double L-groups. At each prime ideal of the underlying ring, our double Witt groups capture infinitely many more integral signatures of the linking form than the single Witt gro…

Study uses multi-kernel Hawkes models to analyze high-frequency price dynamics.

Paper extends SI method for detecting CPs in complex systems' frequency domain.

The paper defines a frequency for mean curvature flow and proves its monotonicity.

PhaseDNN speeds up learning of high-dimensional functions across wide frequencies.

A theory of double affine and special double affine bundles, i.e. differential manifolds with two compatible (special) affine bundle structures, is developed as an affine counterpart of the theory of double vector bundles. The motivation and basic examples come from Analytical Mechanics, where double affine bundles hav…

Existence of double bubbles with high constant mean curvatures in Riemannian manifolds.

We show that if K is any knot whose Ozsvath-Szabo concordance invariant tau(K) is positive, the all-positive Whitehead double of any iterated Bing double of K is topologically but not smoothly slice. We also show that the all-positive Whitehead double of any iterated Bing double of the Hopf link (e.g., the all-positive…

Paper defines parabolic frequency for Ricci flow solutions, proving monotonicity and uniqueness.

Proves monotonicity of parabolic frequency on all manifolds without curvature assumptions.

New Fourier-based diffusion model improves high-frequency generation quality.