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.
The paper confirms two groups of gamma-ray bursts using a new nonparametric metric.
Introduces a new spectral geometry framework with dissipative data.
The paper analyzes network models with binary values and sub-Gamma noise, deriving asymptotic properties.
Develops Bayesian inference methods for gamma models.
Develops a data augmentation method for models with gamma functions.
Study on sphere-valued maps, proving energy convergence and current limits.
Introduces a new Lévy process for modeling illiquid markets.
Researchers calculated EVaR for various distributions using Lambert function.
New insights into Gamma-Poisson model for count data.
After fixing a marking (V, W) of a quasifuchsian punctured torus group G, the complex length l_V and the complex twist tau_V,W parameters define a holomorphic embedding of the quasifuchsian space QF of punctured tori into C^2. It is called the complex Fenchel-Nielsen coordinates of QF. For a complex number c, let Q_gam…
In this article we show the relationship between the Pareto distribution and the gamma distribution. This shows that the second one, appropriately extended, explains some anomalies that arise in the practical use of extreme value theory. The results are useful to certain phenomena that are fitted by the Pareto distribu…
This paper fills in local bounds for Spearman's footrule and Gini's gamma measures of association.
VES-Gamma adapts EI using information-theoretic principles.
In this paper we propose a model with a Dirichlet process mixture of gamma densities in the bulk part below threshold and a generalized Pareto density in the tail for extreme value estimation. The proposed model is simple and flexible allowing us posterior density estimation and posterior inference for high quantiles. …
Bayesian analysis of financial time series using R-INLA.
PRGDS models count tensors with sparsity and burstiness.
The paper models and predicts co-occurrence counts using Gamma regression.
A new RBM model handles both linear and log-amplitude spectrograms.
New pricing model uses variance-gamma process for financial assets.
If Gamma is any finite graph, then the unlabelled configuration space of n points on Gamma, denoted UC^n(Gamma), is the space of n-element subsets of Gamma. The braid group of Gamma on n strands is the fundamental group of UC^n(Gamma). We apply a discrete version of Morse theory to these UC^n(Gamma), for any n and any …
Bayesian hierarchical tensor factorization model for international trade flows
Study on gamma-related OU processes with simulation methods.
Study examines Blomqvist's beta and four concordance measures on copulas.
Develops Bilateral Gamma processes for financial market modeling.
LLMs detect market patterns through causal reasoning, not just temporal association.
Let Gamma be a non-elementary Kleinian group acting on the closed n-dimensional unit ball and assume that its Poincare series converges at the exponent alpha. Let M_Gamma be the Gamma-quotient of the open unit ball. We consider certain families E = {E_1,...,E_p} of open subsets of M_Gamma such that M_Gamma minus the un…
We consider complex projective space P^{n} and a smooth closed curve gamma in P^{n}. Harvey and Lawson have defined the notion of the projective hull \hat{K} of a compact subset K in P^n. This concept is an analogue of the polynomial hull of compact subsets of C^{n}. In the present note we study the relation between th…
Proposes a nonparametric tensor factorization for sparse data.
Let Gamma_k be the lower central series of a surface group Gamma of a compact surface S with one boundary component. A simple question to ponder is whether a mapping class of S can be determined to be pseudo-Anosov given only the data of its action on Gamma/Gamma_k for some k. In this paper, to each mapping class f whi…
Mixture models with Gamma and or inverse-Gamma distributed mixture components are useful for medical image tissue segmentation or as post-hoc models for regression coefficients obtained from linear regression within a Generalised Linear Modeling framework (GLM), used in this case to separate stochastic (Gaussian) noise…
Efficiently clusters incomplete data without imputation or full EM, faster and more accurate.
Let P be a locally finite circle packing in the plane invariant under a non-elementary Kleinian group Gamma and with finitely many Gamma-orbits. When Gamma is geometrically finite, we construct an explicit Borel measure on the plane which describes the asymptotic distribution of small circles in P, assuming that either…
We consider discrete subgroups Gamma of the simply connected Lie group SU~(1,1), the universal cover of SU(1,1), of finite level, i.e. the subgroup intersects the centre of SU~(1,1) in a subgroup of finite index, this index is called the level of the group. The Killing form induces a Lorentzian metric of constant curva…
Carter, Jelsovsky, Kamada, Langford and Saito have defined an invariant of classical links associated to each element of the second cohomology of a finite quandle. We study these invariants for Alexander quandles of the form Z[t,t^{-1}]/(p, t^2 + kappa t + 1), where p is a prime number and t^2 + kappa t + 1 is irreduci…
New calibration methods improve fitting of weak variance-alpha-gamma process.
The so-called Pareto-Levy or power-law distribution has been successfully used as a model to describe probabilities associated to extreme variations of worldwide stock markets indexes data and it has the form from empirical d…
Let G=SO(n,1) and Gamma a geometrically finite Zariski dense subgroup of G which is contained in an arithmetic subgroup of G. Denoting by Gamma(q) the principal congruence subgroup of Gamma of level q, and fixing a positive number λ_0 strictly smaller than (n-1)^2/4, we show that, as q tends to infinity along primes, t…
Low-rank matrix estimation from incomplete measurements recently received increased attention due to the emergence of several challenging applications, such as recommender systems; see in particular the famous Netflix challenge. While the behaviour of algorithms based on nuclear norm minimization is now well understood…
Proposes a method to identify key components for predicting epidemic dynamics with limited resources.
A quick gamma approximation speeds up Bayesian inference.
There is an established bijection between finite-index subgroups Gamma of Gamma(2) and bipartite graphs on surfaces, or, equivalently, certain triples of permutations. We utilize this relationship to study both congruence and noncongruence subgroups in terms of the corresponding graphs. We show some elementary criteria…
New formulas derived for variance gamma model option pricing.
In a previous paper, the author (together with Matthew Emerton) proved that the completed cohomology groups of SL_N(Z) are stable in fixed degree as N goes to infinity (Z may be replaced by the ring O_F of integers of any number field). In this paper, we relate these completed cohomology groups to K-theory and Galois c…
Researchers extend Gamma index theorem to non-compact spacetimes.
For i = 1,2, let Gamma_i be a lattice in a simply connected, solvable Lie group G_i, and let X_i be a connected Lie subgroup of G_i. The double cosets Gamma_igX_i provide a foliation F_i of the homogeneous space Gamma_i\G_i. Let f be a continuous map from Gamma_1\G_1 to Gamma_2\G_2 whose restriction to each leaf of F_1…
The article prices exchange options using variance gamma-like models.
Study shows variance gamma model outperforms Black-Scholes for USD-INR currency options.
Let Gamma be a finitely generated, amenable group. Using an idea of E Ghys, we prove that if Gamma has a nontrivial, orientation-preserving action on the real line, then Gamma has an infinite, cyclic quotient. (The converse is obvious.) This implies that if Gamma has a faithful action on the circle, then some finite-in…