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.
New algorithm clusters GRBs into two groups: short and long duration.
Develops a hybrid MtFA approach for high-dimensional data clustering.
Two classes of gamma-ray bursts (GRBs), short and long, have been determined without any doubts, and are usually ascribed to different progenitors, yet these classes overlap for a variety of descriptive parameters. A subsample of 46 long and 22 short GRBs with estimated Hurst Exponents (HEs), complemented by mi…
Efficiently clusters incomplete data without imputation or full EM, faster and more accurate.
The -means algorithm is extended to allow for partitioning of skewed groups. Our algorithm is called TiK-Means and contributes a -means type algorithm that assigns observations to groups while estimating their skewness-transformation parameters. The resulting groups and transformation reveal general-structured cl…
Commonly-used clustering algorithms usually find ellipsoidal, spherical or other regular-structured clusters, but are more challenged when the underlying groups lack formal structure or definition. Syncytial clustering is the name that we introduce for methods that merge groups obtained from standard clustering algorit…
New methods model gamma-ray data to better understand Galactic emissions.
To draw inferences about gamma-ray burst (GRB) source populations based on Swift observations, it is essential to understand the detection efficiency of the Swift burst alert telescope (BAT). This study considers the problem of modeling the Swift/BAT triggering algorithm for long GRBs, a computationally expensive proce…
Deep learning techniques, namely convolutional neural networks (CNN), have previously been adapted to select gamma-ray events in the TAIGA experiment, having achieved a good quality of selection as compared with the conventional Hillas approach. Another important task for the TAIGA data analysis was also solved with CN…
A new method uses burst and inter-burst duration to test long-range memory in financial markets.
Modern detectors of cosmic gamma-rays are a special type of imaging telescopes (air Cherenkov telescopes) supplied with cameras with a relatively large number of photomultiplier-based pixels. For example, the camera of the TAIGA-IACT telescope has 560 pixels of hexagonal structure. Images in such cameras can be analyse…
Given a stationary point process, an intensity burst is defined as a short time period during which the number of counts is larger than the typical count rate. It might signal a local non-stationarity or the presence of an external perturbation to the system. In this paper we propose a novel procedure for the detection…
We address the problem of long-range memory in the financial markets. There are two conceptually different ways to reproduce power-law decay of auto-correlation function: using fractional Brownian motion as well as non-linear stochastic differential equations. In this contribution we address this problem by analyzing e…
Model optimal liquidation in asset bubbles with varying entry times.
It is widely accepted that there is strong persistence in the volatility of financial time series. The origin of the observed persistence, or long-range memory, is still an open problem as the observed phenomenon could be a spurious effect. Earlier we have proposed the consentaneous model of the financial markets based…
Nonparametric empirical Bayes denoising on Riemannian manifolds
The origin of the long-range memory in the non-equilibrium systems is still an open problem as the phenomenon can be reproduced using models based on Markov processes. In these cases a notion of spurious memory is introduced. A good example of Markov processes with spurious memory is stochastic process driven by a non-…
In online social media systems users are not only posting, consuming, and resharing content, but also creating new and destroying existing connections in the underlying social network. While each of these two types of dynamics has individually been studied in the past, much less is known about the connection between th…
This working paper analyzes the gold price dynamics on the basis of methodology developed by Didier Sornette. Our calculations indicate that this dynamics is close to the one of the "bubbles" studied by Sornette and that the most probable timing of the "burst of the gold bubble" is April - June 2011. The obtained resul…
Quarter-hour market bursts predict algorithmic trading and returns in crypto futures.
Cascades of information-sharing are a primary mechanism by which content reaches its audience on social media, and an active line of research has studied how such cascades, which form as content is reshared from person to person, develop and subside. In this paper, we perform a large-scale analysis of cascades on Faceb…
Noise is an inherent issue of low-light image capture, one which is exacerbated on mobile devices due to their narrow apertures and small sensors. One strategy for mitigating noise in a low-light situation is to increase the shutter time of the camera, thus allowing each photosite to integrate more light and decrease n…
A new algorithm ThreeSieves maximizes submodular functions efficiently in streaming data.
We investigate large changes, bursts, of the continuous stochastic signals, when the exponent of multiplicativity is higher than one. Earlier we have proposed a general nonlinear stochastic model which can be transformed into Bessel process with known first hitting (first passage) time statistics. Using these results w…
A flexible machine learning model infers the morphology of the Galactic Center Excess.
Young isolated neutron stars (INS) most commonly manifest themselves as rotationally powered pulsars (RPPs) which involve conventional radio pulsars as well as gamma-ray pulsars (GRPs) and rotating radio transients (RRATs). Some other young INS families manifest themselves as anomalous X-ray pulsars (AXPs) and soft gam…
In low light or short-exposure photography the image is often corrupted by noise. While longer exposure helps reduce the noise, it can produce blurry results due to the object and camera motion. The reconstruction of a noise-less image is an ill posed problem. Recent approaches for image denoising aim to predict kernel…
We consider models of the population or opinion dynamics which result in the non-linear stochastic differential equations (SDEs) exhibiting the spurious long-range memory. In this context, the correspondence between the description of the birth-death processes as the continuous-time Markov chains and the continuous SDE…
New deep learning model estimates scattering timescale of FRBs efficiently.
Voice Onset Time (VOT), a key measurement of speech for basic research and applied medical studies, is the time between the onset of a stop burst and the onset of voicing. When the voicing onset precedes burst onset the VOT is negative; if voicing onset follows the burst, it is positive. In this work, we present a deep…
Study uses multidimensional SE-NBD process to analyze default portfolios and identify shock amplification.
In this paper, we quantitatively investigate the statistical properties of a statistical ensemble of stock prices. We selected 1200 stocks traded on the Tokyo Stock Exchange, and formed a statistical ensemble of daily stock prices for each trading day in the 3-year period from January 4, 1999 to December 28, 2001, corr…
Amid the current financial crisis, there has been one equity index beating all others: the Shanghai Composite. Our analysis of this main Chinese equity index shows clear signatures of a bubble build up and we go on to predict its most likely crash date: July 17-27, 2009 (20%/80% quantile confidence interval).
In the aftermath of the burst of the ``new economy'' bubble in 2000, the Federal Reserve aggressively reduced short-term rates yields in less than two years from 6.5% to 1.25% in an attempt to coax forth a stronger recovery of the US economy. But, there is growing apprehension that this is creating a new bubble in real…
In this paper, we quantitatively investigate the properties of a statistical ensemble of stock prices. We focus attention on the relative price defined as , where is the initial price. We selected approximately 3200 stocks traded on the Japanese Stock Exchange and formed a statistical ensem…
This article develops a statistical test for the null hypothesis of strict stationarity of a discrete time stochastic process in the frequency domain. When the null hypothesis is true, the second order cumulant spectrum is zero at all the discrete Fourier frequency pairs in the principal domain. The test uses a window …
Patients with epilepsy can manifest short, sub-clinical epileptic "bursts" in addition to full-blown clinical seizures. We believe the relationship between these two classes of events---something not previously studied quantitatively---could yield important insights into the nature and intrinsic dynamics of seizures. A…
PINNs solve neuronal parameter and state estimation problems with limited data.
To achieve the ambitious aims of the Paris climate agreement, the majority of fossil-fuel reserves needs to remain underground. As current national government commitments to mitigate greenhouse gas emissions are insufficient by far, actors such as institutional and private investors and the social movement on divestmen…
Evaluation of hydrocarbon reservoir requires classification of petrophysical properties from available dataset. However, characterization of reservoir attributes is difficult due to the nonlinear and heterogeneous nature of the subsurface physical properties. In this context, present study proposes a generalized one cl…
It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion reflect bursts of frequent or less frequent trading, which cause both clustered…
Paper proposes using CNN for stock trading with data normalization.
Performance of nuclear threat detection systems based on gamma-ray spectrometry often strongly depends on the ability to identify the part of measured signal that can be attributed to background radiation. We have successfully applied a method based on Principal Component Analysis (PCA) to obtain a compact null-space m…
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with respect to the bulk of drawdown price movement distribution. This paper goes on dee…
Recurrence Plot (RP) and Recurrence Quantification Analysis RQA) are signal numerical analysis methodologies able to work with non linear dynamical systems and non stationarity. Moreover they well evidence changes in the states of a dynamical system. It is shown that RP and RQA detect the critical regime in financial i…
Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linked with strong correlations between them. This means that markets tend to behave as one during great crashes. In order to do so, we investiga…
This study examines non-performing assets and cryptocurrencies in Japan.