Study BSΔE on lattices for asset price analysis.
problem Optimal investment and market equilibrium analysis in asset price models.
method Backward stochastic difference equations on lattices.
result Applications to optimal investment and market equilibrium analysis.
Novel trading strategy for generalized lattice markets ensures positive profits.
problem Trading in markets with serially correlated returns and asset correlation.
method Multi-double linear policies in a generalized lattice market model.
result Proposed policies ensure positive expected profits in a lattice market.
We explore a simple lattice field model intended to describe statistical properties of high frequency financial markets. The model is relevant in the cross-disciplinary area of econophysics. Its signature feature is the emergence of a self-organized critical state. This implies scale invariance of the model, without tu…
We extend our studies of a quantum field model defined on a lattice having the dilation group as a local gauge symmetry. The model is relevant in the cross-disciplinary area of econophysics. A corresponding proposal by Ilinski aimed at gauge modeling in non-equilibrium pricing is realized as a numerical simulation of t…
New risk measures for incomplete markets without lattice structures.
problem Risk measures on incomplete markets without lattice structures.
method Study of risk measures without lattice structures, focusing on tractable dual representations and solid superspaces.
result Existence of a tractable dual representation equivalent to a Fatou-like property, and extension theorems under certain conditions.
The traditional Sznajd model, as well as its Ochrombel simplification for opinion spreading, are applied to marketing with the help of advertising. The larger the lattice is the smaller is the amount of advertising needed to convince the whole market
In this article we perform a computational study of Polyrakis algorithms presented in [12,13]. These algorithms are used for the determination of the vector sublattice and the minimal lattice-subspace generated by a finite set of positive vectors of R^k. The study demonstrates that our findings can be very useful in th…
Unified framework for complex financial networks using lattice theory.
problem Complex financial networks with multiple currencies and dependencies.
method Recast classical financial clearing model into lattice liability networks.
result Lattice-valued clearing sections form a complete lattice, enabling tractable analysis.
Abstract framework for no-arbitrage concepts in topological vector lattices.
problem Generalization of no-arbitrage concepts in topological vector lattices.
method Imposing a structural condition on trading strategies and deriving abstract FTAP.
result NUPBR, NAA1, and NA1 may not be equivalent in general setting. Develops a new integration theory for financial markets.
problem No classical measure theory applies to financial markets.
method Introduces conditional non-lattice integrals for non-lattice vector spaces.
result Validates the new integration theory through hedging and pricing.
Deriving option prices from operational-time Markov lattices
problem Option pricing
method Operational-time Markov lattice
result Derives option-pricing equations from an operational-time Markov lattice
Empirical analysis of financial market trends and reversions across various time scales.
problem Understanding trends and reversions in financial markets over different time scales.
method Analysis of 14 years of futures tick data, 30 years of daily futures prices, 330 years of monthly asset prices, and yearly financial data since medieval times.
result Markets exhibit trending and reversion regimes with different time scales, explaining trends persistence and reversions.
We study the collective behavior of interacting agents in a simple model of market economics originally introduced by Nørrelykke and Bak. A general theoretical framework for interacting traders on an arbitrary network is presented, with the interaction consisting of buying (namely, consumption) and selling (namely, pro…
In the spirit of behavioral finance, we study the process of opinion formation among investors using a variant of the 2D Voter Model with a tunable social temperature. Further, a feedback acting on the temperature is introduced, such that social temperature reacts to market imbalances and thus becomes time dependent. I…
We outline the theory of sets with distributive operations: multishelves and multispindles, with examples provided by semi-lattices, lattices and skew lattices. For every such a structure we define multi-term distributive homology and show some of its properties. The main result is a complete formula for the homology o…
Forecast future volatilities and correlations based on current trends.
problem Predict future volatilities and correlations in financial markets.
method Use cubic and quadratic polynomials of current trend strengths.
result Accurate quantification of trend effects on volatilities and correlations.
New rigidity theorem for product of lattices.
problem Understanding quasi-isometry of product lattices.
method Demonstrated rigidity for product of non-uniform rank one lattice and nilpotent lattice.
result Any quasi-isometric group is an extension of a non-uniform rank one lattice by a nilpotent lattice.
Proves effective slope gaps for lattice surfaces.
problem Proving effective slope gaps for lattice surfaces.
method Proves effective slope gap distribution for square torus and general lattice surfaces.
result Effective slope gap distribution result for lattice surfaces.
Study Poisson boundaries of building lattices and generalize rigidity results.
problem Understanding Poisson boundaries of building lattices and their rigidity properties.
method Proved Poisson boundaries and used them to generalize rigidity results.
result Generalized rigidity results for morphisms and cocycles from lattices in buildings to groups with negative curvature.
Regular integer lattices are characterized by k unit vectors that build up their generator matrices. These have rank k for D-lattices, and are rank-deficient for A-lattices, for E_6 and E_7. We count lattice points inside hypercubes centered at the origin for all three types, as if classified by maximum infinity norm i…
L-CNNs learn gauge invariant quantities on lattices.
problem Learning gauge invariant quantities on lattices.
method Novel convolutional layer preserving gauge equivariance and forming Wilson loops.
result L-CNNs can approximate any gauge covariant function on the lattice.
Study answers arithmeticity question for normal subgroup of lattices.
problem Arithmeticity of discrete subgroups of semisimple Lie groups with dense commensurators.
method Examined normal subgroups of lattices in semisimple Lie groups.
result Positive answer to Greenberg-Shalom's question for lattices.
Discrete knot theory models use lattice-filtered graphs to detect merging knot components.
problem Detecting merging knot components in discrete models.
method Lattice-filtered move graphs to model knot types, identifying connected components and merge scales.
result Merge scale defined by connected components of lattice-filtered move graphs, with specific examples for the figure-eight knot.
Quantum theory reinterprets financial pricing by focusing on observable price transitions.
problem Traditional financial models rely on latent variables; this paper proposes a new observable approach.
method Shift operators, spectral calculus, and Lindblad semigroups are used to define observable frequency operators and convolution generators.
result The framework leads to a nonlocal pricing equation that converges to classical Black-Scholes-Merton under small mesh limits.
Complete classification of Deligne-Mostow lattice representations into PGL(3,C).
problem Classifying representations of Deligne-Mostow lattices into PGL(3,C).
method Formal computations in SAGE and MAPLE.
result Local rigidity for all representations with chosen generators.
The asymptotic lattices and their transformations are studied within the line geometry approach. It is shown that the discrete asymptotic nets are represented by isotropic congruences in the Plucker quadric. On the basis of the Lelieuvre-type representation of asymptotic lattices and of the discrete analog of the Mouta…
New research shows certain arithmetic lattices can't be LERF.
problem Determining if arithmetic lattices are LERF.
method Analyzing trialitarian arithmetic lattices in PSO7,1(R). result Trialitarian arithmetic lattices in PSO7,1(R) are not LERF. New methods classify convex lattice polygons for affine dimers.
problem Not all convex lattice polygons are characteristic polygons of affine dimers.
method General constructions and algorithm for finding affine dimers with prescribed polygons.
result All lattice triangles, generalised parallelograms, and polygons of genus at most two admit an affine dimer.
Study lattice paths from twist knots and double twist knots.
problem Understanding combinatorics of twist knots and double twist knots.
method Analyzing quiver generating series of HOMFLY-PT polynomial limits.
result Lattice path models for twist knots and double twist knots.
The (isothermic) compressibility of lattice knots can be examined as a model of the effects of topology and geometry on the compressibility of ring polymers. In this paper, the compressibility of minimal length lattice knots in the simple cubic, face centered cubic and body centered cubic lattices are determined. Our r…
We prove that any action of a higher rank lattice on a Gromov-hyperbolic space is elementary. More precisely, it is either elliptic or parabolic. This is a large generalization of the fact that any action of a higher rank lattice on a tree has a fixed point. A consequence is that any quasi-action of a higher rank latti…
New bounds on diameters and generators for specific lattices and graphs.
problem Finding bounds on diameters and generators for arithmetic lattices and Ramanujan graphs.
method Analyzing arithmetic lattices from Eichler orders in quaternion algebras, applying techniques to definite quaternion algebras.
result Bounds on diameters and generators for arithmetic lattices and Ramanujan graphs.
Knot lattice homology invariant of smooth knot type in rational homology spheres.
problem Invariance of knot lattice homology in rational homology spheres.
method Proving knot lattice homology invariant through doubly-filtered homotopy type.
result Knot lattice homology invariant of smooth knot type in rational homology spheres.
Study C-Fuchsian subgroups of non-arithmetic lattices.
problem Understand structure and fundamental domains of C-Fuchsian subgroups. method General procedure to analyze structure and show fundamental domains lie on a complex geodesic.
result Fundamental domains of C-Fuchsian subgroups lie on a complex geodesic homeomorphic to the unit disk. Study area-minimizing subgraphs in integer lattices.
problem Finding the most efficient subgraphs in integer lattices.
method Formulated functions of bounded variations, classified subgraphs in 2D, proved properties in higher dimensions.
result Classified area-minimizing subgraphs in 2D integer lattice up to isomorphisms.
Equivariant neural networks improve performance and generalization in lattice field theory tasks.
problem Improving neural network performance and generalization in lattice field theory.
method Investigation of translationally equivariant neural networks in a two-dimensional scalar field model.
result Equivariant neural networks significantly outperform non-equivariant ones in various tasks, including physical parameters and lattice sizes.
New minimal surfaces found using Toda lattice and integrable systems.
problem Constructing new minimal surfaces with specific genus.
method Using Toda lattice and integrable systems techniques.
result New singly periodic minimal surfaces with genus j(j+1)/2−1. New MCMC method samples from lattice distributions efficiently.
problem Sampling from probability distributions on lattice structures.
method Metropolis-Hastings algorithm with a pull-back measure.
result The method is uniformly ergodic under certain conditions.
Conditions for polynomial to be isometry of lattice, answering Hasse principles.
problem Conditions for integral polynomials to be characteristic polynomials of isometries of lattices.
method Necessary and sufficient conditions derived from lattice isometries and Hasse principles.
result Proved a Hasse principle for signatures of knots.
A hyperbolic lattice is called \textit{1.2-reflective} if the subgroup of its automorphism group generated by all 1- and 2-reflections is of finite index. The main result of this article is a complete classification of 1.2-reflective maximal anisotropic lattices of rank 4.
Lattice formulation captures Atiyah-Patodi-Singer index.
problem Capturing index of Dirac operators in lattice gauge theory.
method Generalized spectral flow for non-product structure near boundaries.
result Correctly captures continuum index for small lattice spacings.
The study connects lattices, Garside structures, and weakly modular graphs.
problem Exploring combinatorial non-positive curvature in various simplicial complexes.
method Analyzing lattices with Z-actions and their quotients. result Lattices and their quotients give rise to weakly modular graphs.
We show the rank (i.e. minimal size of a generating set) of lattices cannot grow faster than the volume.
New property identifies arithmetic lattices from nonuniform lattices.
problem Characterizing arithmetic lattices among nonuniform lattices.
method Introduced Bounded Clustering (B-C) property.
result B-C property uniquely identifies arithmetic lattices.
We study geometric consistency relations between angles on 3-dimensional (3D) circular quadrilateral lattices -- lattices whose faces are planar quadrilaterals inscribable into a circle. We show that these relations generate canonical transformations of a remarkable ``ultra-local'' Poisson bracket algebra defined on di…
Classifies lattices from knot surgeries, defining a concordance invariant.
problem Classifying lattices from knot surgeries.
method Classifies lattices as the intersection form of a four manifold with boundary.
result Defines a concordance invariant and generalizes a theorem on lens space surgeries.
A Riemannian symmetric space is a Riemannian manifold in which it is possible to reflect all geodesics through a point by an isometry of the space. On such spaces, we introduce the notion of a distributional lattice, generalizing the notion of lattice. Distributional lattices exist in any Riemannian symmetric space: th…
Principal binets generalize curvature line surfaces to square lattices and are a discrete integrable system.
problem Discretizing curvature line surfaces on square lattices.
method Showed principal binets as a multi-dimensional consistent system.
result Principal binets generalize to higher-dimensional square lattices and are integrable.