arXiv research

Study develops sector rotation models using factor and fundamental analysis.

Improved stock selection through predictive fundamentals and uncertainty estimates.

Deep fundamental factor models are developed to automatically capture non-linearity and interaction effects in factor modeling. Uncertainty quantification provides interpretability with interval estimation, ranking of factor importances and estimation of interaction effects. With no hidden layers we recover a linear fa…

Maps between automorphism groups are isomorphisms for free factor complexes.

On a periodic basis, publicly traded companies are required to report fundamentals: financial data such as revenue, operating income, debt, among others. These data points provide some insight into the financial health of a company. Academic research has identified some factors, i.e. computed features of the reported d…

Study finds short-term trading signals can enhance alpha in U.S. S&P 500 portfolios.

The paper proves a transformation theorem under a monotone property of almost Euclidean factors of geodesic balls.

We compute the fundamental class (in the extended Bloch group) for representations of fundamental groups of 3-manifolds to SL(4,R) that factor over SL(2,C), in particular for those factoring over the isomorphism PSL(2,C) = S0(3,1). We also discuss consequences for the number of connected components of SL(4,R)-character…

We discuss a general dynamic replication approach to counterparty credit risk modeling. This leads to a fundamental jump-process backward stochastic differential equation (BSDE) for the credit risk adjusted portfolio value. We then reduce the fundamental BSDE to a continuous BSDE. Depending on the close out value conve…

H-GAT improves stock selection by capturing complex higher-order stock relations and integrating both technical and fundamental analysis.

A nontrivial element in a group is a generalized torsion element if some nonempty finite product of its conjugates is the identity. We prove that any generalized torsion element in a free product of torsion-free groups is conjugate to a generalized torsion element in some factor group. This implies that the fundamental…

In general, a Kobayashi-Hitchin correspondence establishes an isomorphism between a moduli space of stable algebraic geometric objects and a moduli space of solutions of a certain (generalized) Hermite-Einstein equation. We believe that, for a large class of moduli problems, this correspondence respects the virtual fun…

We propose a 4-factor model for overnight returns and give explicit definitions of our 4 factors. Long horizon fundamental factors such as value and growth lack predictive power for overnight (or similar short horizon) returns and are not included. All 4 factors are constructed based on intraday price and volume data a…

We present a general methodology to incorporate fundamental economic factors to our previous theory of herding to describe bubbles and antibubbles. We start from the strong form of Rational Expectation and derive the general method to incorporate factors in addition to the log-periodic power law (LPPL) signature of her…

We analyze linear factor models for asset pricing panels.

Fundamental solutions of Dirac type operators are introduced for a class of conformally flat manifolds. This class consists of manifolds obtained by factoring out the upper half-space of $\mathbb{R}^n$ by arithmetic subgroups of generalized modular groups. Basic properties of these fundamental solutions are presented t…

We want to construct a homological link invariant whose Euler characteristic is MOY polynomial as Khovanov and Rozansky constructed a categorification of HOMFLY polynomial. The present paper gives the first step to construct a categorification of MOY polynomial. For the essential colored planar diagrams with additional…

Proves a conjecture about Lagrangian intersections using new theory.

New method forecasts workforce reintegration success rates.

New complex connects graph separability to group properties.

Study sheaves of Lie-Rinehart algebras and their morphisms, generalizing Lie algebroid concepts.

Einstein metrics are blocked by manifold features and group growth.

We prove a finiteness result for the systolic area of groups, answering a question of M. Gromov. Namely, we show that there are only finitely many possible unfree factors of fundamental groups of~2-complexes whose systolic area is uniformly bounded. Furthermore, we prove a uniform systolic inequality for all 2-complexe…

Nonnegative matrix factorization (NMF) is a powerful tool for data mining. However, the emergence of `big data' has severely challenged our ability to compute this fundamental decomposition using deterministic algorithms. This paper presents a randomized hierarchical alternating least squares (HALS) algorithm to comput…

New exotic 4-manifolds with even $b_2^+$ and $\mathbb{Z}/2\mathbb{Z}$ fundamental group.

Paper shows FB and FC are equally hard up to logarithmic factors.

FSGD uses latent factors to scale SGD for high-dimensional learning.

Investment strategy for NYSE stocks minimizes market correlation.

We extend the notion of an almost flat bundle over a closed Riemannian manifold to bundles over simplicial complexes, and prove that up to a constant factor, this notion is invariant under pullback via maps which induce isomorphisms on fundamental groups. As an application, we show that the property of having infinite …

We consider actions of non-compact simple Lie groups preserving an analytic rigid geometric structure of algebraic type on a compact manifold. The structure is not assumed to be unimodular, so an invariant measure may not exist. Ergodic stationary measures always exist, and when such a measure has full support, we show…

Quantum theory constructs a group and skein module for knot complements.

New distribution simplifies covariance matrix inference.

FactorGCL uses hypergraph learning to predict stock returns by mining hidden factors.

In this paper, complement-equivalent arithmetic Zariski pairs will be exhibited answering in the negative a question by Eyral-Oka on these curves and their groups. A complement-equivalent arithmetic Zariski pair is a pair of complex projective plane curves having Galois-conjugate equations in some number field whose co…

The paper tackles three financial issues: time resolution, nonstationarity, and latent factors.

Introduces fundamental heaps for surfaces, linking them to cocycle invariants.

We study the fundamental group of an open $n$-manifold $M$ of nonnegative Ricci curvature. We show that if there is an integer $k$ such that any tangent cone at infinity of the Riemannian universal cover of $M$ is a metric cone, whose maximal Euclidean factor has dimension $k$, then $π_1(M)$ is finitely generated. In p…

HireVAE adapts to market regimes for online stock prediction.

Optimizes portfolios with constraints and stochastic factors, deriving explicit solutions.

Gradient descent with noise converges to a unique optimum in nonconvex matrix factorization.

EFS uses LLMs to optimize sparse portfolios by evolving alpha factors.

We show that there are Haken 3-manifolds whose fundamental groups do not satisfy the engulfing property. In particular one can construct a pi_1-injective immersion of a surface into a graph manifold which does not factor through any proper finite cover of the 3-manifold.

Paper proposes MIM-DRCFR to learn disentangled factors for better treatment effect estimation.

NeuralFactors uses deep learning to improve factor analysis in equity modeling.

This work connects LLE, factor analysis, and probabilistic PCA through a stochastic perspective.

We describe an algebraic proof of the well-known topological fact that $π_1(SO(n)) \cong Z/2Z$. The fundamental group of $SO(n)$ appears in our approach as the center of a certain finite group defined by generators and relations. The latter is a factor group of the braid group $B_n$, obtained by imposing one additional…

In this article, we study the maximal length of positive Dehn twist factorizations of surface mapping classes. In connection to fundamental questions regarding the uniform topology of symplectic 4-manifolds and Stein fillings of contact 3-manifolds coming from the topology of supporting Lefschetz pencils and open books…

Learning multimodal representations is a fundamentally complex research problem due to the presence of multiple heterogeneous sources of information. Although the presence of multiple modalities provides additional valuable information, there are two key challenges to address when learning from multimodal data: 1) mode…