arXiv research

The paper describes orbits of circle-valued functions on a 2-torus.

Identifying unambiguously the presence of a bubble in an asset price remains an unsolved problem in standard econometric and financial economic approaches. A large part of the problem is that the fundamental value of an asset is, in general, not directly observable and it is poorly constrained to calculate. Further, it…

We study asset price bubbles in market models with proportional transaction costs $λ\in (0,1)$ and finite time horizon $T$ in the setting of [49]. By following [28], we define the fundamental value $F$ of a risky asset $S$ as the price of a super-replicating portfolio for a position terminating in one unit of the asset…

New quasimorphisms constructed for manifolds with negative curvature.

Defined by Joyce and Matveev, the fundamental quandle is a complete invariant of oriented classical knots. We consider invariants of knots defined from quotients of the fundamental quandle. In particular, we introduce the fundamental Latin Alexander quandle of a knot and consider its Gröbner basis-valued invariants, wh…

The Novikov complex of a circle-valued Morse function is constructed algebraically from the Morse-Smale complex of the restriction to a fundamental domain of the real-valued Morse function on the pullback infinite cyclic cover.

Investigates price dynamics of two assets with and without bubbles, deriving conditions for equilibrium prices.

Market stability depends on a fundamental value anchor, not price crashes.

The paper explains stock market predictability through a model of heterogeneous beliefs.

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…

Offline RL struggles with sample efficiency due to fundamental barriers.

The paper proves rigidity for shells in non-Euclidean spaces.

We classify Lagrangian submanifolds of complex space forms, whose second fundamental form can be written in a certain way, depending on a real parameter. For some special values of this parameter, the resulting submanifolds are ideal in the sense that they realize equality in an inequality for a Chen's delta-curvature.

This paper is intended to explain, in simple terms, some of the mechanisms and agents common to multiagent financial market simulations. We first discuss the necessity to include an exogenous price time series ("the fundamental value") for each asset and three methods for generating that series. We then illustrate one …

We study the curvature of a manifold on which there can be defined a complex-valued submersive harmonic morphism with either, totally geodesic fibers or that is holomorphic with respect to a complex structure which is compatible with the second fundamental form. We also give a necessary curvature condition for the exis…

Study uses machine learning to predict stock trends based on fundamental data.

Extends Fried's result to arbitrary representations of compact hyperbolic manifolds.

Stable fold maps are fundamental tools in a generalization of the theory of Morse functions on smooth manifolds and its application to studies of topological properties of smooth manifolds. Round fold maps were introduced as stable fold maps with singular value sets, defined as the set consisting of all the singular va…

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…

The paper defines cocycles for positive Anosov representations and constructs affine actions with bounded fundamental domains.

Maps from 2-planes to projective spaces using quaternions and octonions.

Why is ``worthless'' fiat money generally accepted as payment for goods and services? In equilibrium theory, the value of money is generally not determined: the number of equations is one less than the number of unknowns, so only relative prices are determined. In the language of mathematics, the equations are ``homoge…

We introduce a topological invariant, it a type of a graph-manifold, which takes natural values. For a 4-dimensional graph-manifold, whose type does not exceed two, it is proved that its universal cover is bi-Lipschitz equivalent to a universal cover of an orthogonal graph-manifold (for any Riemannian metrics on graph-…

We show that the systolic constant, the minimal entropy, and the spherical volume of a manifold depend only on the image of the fundamental class under the classifying map of the universal covering. Moreover, we compute the systolic constant of manifolds with fundamental group of order two (modulo the value on the real…

In this paper we prove that an embedded and simply connected constant mean curvature surface with curvature large at a point contains a multi-valued graph around that point on the scale of $|A|^2$, where $|A|^2$ is the norm squared of the second fundamental form. This generalizes Colding and Minicozzi's result for mini…

Optimal rank-adaptive matrix estimation from linear measurements.

Method constructs fundamental domains for Picard modular groups.

New bounds on Euler characteristics for certain manifolds with finite groups.

We consider the possible Euler characteristics and fundamental groups of the complementary components $X$ and $Y$ of an embedding of a connected closed 3-manifold $M$ in $S^4$. We use a 2-knot satellite construction to change the fundamental groups, and Massey products to limit the values of $χ(X)$ and $χ(Y)$ when $M$ …

The paper explains how to construct a credit spread curve from bond prices.

David Gabai recently proved a smooth 4-dimensional "Light Bulb Theorem" in the absence of 2-torsion in the fundamental group. We extend his result to 4-manifolds with arbitrary fundamental group by showing that an invariant of Mike Freedman and Frank Quinn gives the complete obstruction to "homotopy implies isotopy" fo…

The paper explores the structure of Reeb spaces for smooth functions on manifolds.

Study minimizes market inefficiency in systemic economies.

A new isomorphism connects fundamental group ring quotients to cohomology.

We prove that manifolds of Lusternik-Schnirelmann category 2 necessarily have free fundamental group. We thus settle a 1992 conjecture of Gomez-Larranaga and Gonzalez-Acuna, by generalizing their result in dimension 3, to all higher dimensions. We also obtain some general results on the relations between the fundamenta…

Generalizes mean-value inequality to orbifold setting.

Transform non-private e-values into differentially private ones.

Study optimality conditions for interval-valued optimization problems on Riemannian manifolds.

New invariants defined for framed knots and links.

We show that the lack of arbitrage in a model with both fixed and proportional transaction costs is equivalent to the existence of a family of absolutely continuous single-step probability measures, together with an adapted process with values between the bid-ask spreads that satisfies the martingale property with resp…

Study verifies asymptotic expansion for Reshetikhin-Turaev invariants of fundamental shadow link pairs.

We prove an analogue of the result of Hsiang and Kleiner for 4-dimensional compact orbifolds with positive curvature and an isometric circle action. Additionally, we prove that when the underlying space is simply connected, then the orbifold fundamental group provides a bound on the failure of integer-valued Poincare D…

Let A be an essential complex hyperplane arrangement in an n-dimensional complex vector space V. Let H denote the union of the hyperplanes, and M denote the complement to H in V. We develop the real-valued and circle-valued Morse theory for M and prove, in particular, that M has the homotopy type of a space obtained fr…

We define an integer-valued invariant of special cube complexes called the genus, and prove that having genus one characterizes special cube complexes with abelian fundamental group. Using the genus, we obtain a new proof that the fundamental group of a special cube complex is either free abelian or surjects onto a non…

This paper develops a model of liquidity provision in financial markets by adapting the Madhavan, Richardson, and Roomans (1997) price formation model to realistic order books with quote discretization and liquidity rebates. We postulate that liquidity providers observe a fundamental price which is continuous, efficien…

The study describes the structure of surfaces with constant mean curvature in 3-manifolds.

Examples suggest that there is a correspondence between L-spaces and 3-manifolds whose fundamental groups cannot be left-ordered. In this paper we establish the equivalence of these conditions for several large classes of such manifolds. In particular, we prove that they are equivalent for any closed, connected, orient…

We statistically investigate the distribution of share price and the distributions of three common financial indicators using data from approximately 8,000 companies publicly listed worldwide for the period 2004-2013. We find that the distribution of share price follows Zipf's law; that is, it can be approximated by a …