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.
Investigates geometric mean reversion process using Lie symmetry method.
Consider the problem of pricing options on forwards in energy markets, when spot prices follow a geometric multi-factor model in which several rates of mean reversion appear. In this paper we investigate the role played by slow mean reversion when pricing and hedging options. In particular, we determine both upper and …
We generalize Brendle's geometric inequality considered in \cite{B} to static manifolds. The inequality bounds the integral of inverse mean curvature of an embedded mean-convex hypersurface by geometric data of the horizon. As a consequence, we obtain a reverse Penrose inequality on static asymptotically locally hyperb…
We continue our study of geometric analysis on (possibly non-reversible) Finsler manifolds, based on the Bochner inequality established by the author and Sturm. Following the approach of the -calculus a la Bakry et al, we show the dimensional versions of the Poincare--Lichnerowicz inequality, the logarithmic Sobolev…
Lorentz-Finsler geometry reveals new and old inequalities.
A new trading strategy using reinforcement learning for statistical arbitrage.
Recent studies have shown that online portfolio selection strategies that exploit the mean reversion property can achieve excess return from equity markets. This paper empirically investigates the performance of state-of-the-art mean reversion strategies on real market data. The aims of the study are twofold. The first…
On-line portfolio selection has attracted increasing interests in machine learning and AI communities recently. Empirical evidences show that stock's high and low prices are temporary and stock price relatives are likely to follow the mean reversion phenomenon. While the existing mean reversion strategies are shown to …
The purpose of these notes is to provide a systematic quantitative framework - in what is intended to be a "pedagogical" fashion - for discussing mean-reversion and optimization. We start with pair trading and add complexity by following the sequence "mean-reversion via demeaning -> regression -> weighted regression ->…
Proof of reverse isoperimetric inequality for black holes.
In electricity markets, it is sensible to use a two-factor model with mean reversion for spot prices. One of the factors is an Ornstein-Uhlenbeck (OU) process driven by a Brownian motion and accounts for the small variations. The other factor is an OU process driven by a pure jump Lévy process and models the characteri…
Solves optimal control for trading multiple mean-reverting assets.
A new formula reveals symmetries between mean excess and ES functions.
Optimizes trading returns using Hurst exponent and Q-learning.
Reduces identity testing of reversible Markov chains to simpler symmetric chain tests.
The paper proves reverse inequalities in various geometric settings using curvature radius data.
In a market with a rough or Markovian mean-reverting stochastic volatility there is no perfect hedge. Here it is shown how various delta-type hedging strategies perform and can be evaluated in such markets in the case of European options. A precise characterization of the hedging cost, the replication cost caused by th…
Algebraic method reveals criterion for quaternionic Möbius group reversibility.
In this paper, we consider a Finsler space with a Randers change of Quartic metric F = . The conditions for this space to be with reversible geodesics are obtained. Further, we study some geometrical properties of F with reversible geodesics and prove that the Finsler metric F induces a general…
A new Monte Carlo sampling method derived from reverse diffusion.
Improved calibration of HJM models using small volatility approximation.
The paper provides a geometric framework for understanding non-equilibrium thermodynamics.
This paper considers the mean-reverting portfolio design problem arising from statistical arbitrage in the financial markets. We first propose a general problem formulation aimed at finding a portfolio of underlying component assets by optimizing a mean-reversion criterion characterizing the mean-reversion strength, ta…
Quantum MC simulations generate financial risk distributions efficiently.
This paper applies DRL to mean reversion trading problems.
SRFE clarifies KL divergences without unifying learning frameworks.
Recurrent neural networks' hidden state can be reconstructed from its past, providing a theoretical framework for stability and tracking.
Develops a martingale expansion for stochastic volatility models.
The paper provides mean-square error bounds for stochastic approximation algorithms.
The electricity market is a very peculiar market due to the large variety of phenomena that can affect the spot price. However, this market still shows many typical features of other speculative (commodity) markets like, for instance, data clustering and mean reversion. We apply the diffusion entropy analysis (DEA) to …
In financial markets, low prices are generally associated with high volatilities and vice-versa, this well known stylized fact usually being referred to as leverage effect. We propose a local volatility model, given by a stochastic differential equation with piecewise constant coefficients, which accounts of leverage a…
We give a geometric characterization of compact Riemann surfaces admitting orientation reversing involutions with fixed points. Such surfaces are generally called real surfaces and can be represented by real algebraic curves with non-empty real part. We show that there is a family of disjoint simple closed geodesics th…
In 1996, Huisken-Yau proved that every three-dimensional Riemannian manifold can be uniquely foliated near infinity by stable closed surfaces of constant mean curvature (CMC) if it is asymptotically equal to the (spatial) Schwarzschild solution. Later, their decay assumptions were weakened by Metzger, Huang, Eichmair-M…
Paper optimizes diffusion models for denoising tasks with theoretical guarantees.
We consider an SPDE description of a large portfolio limit model where the underlying asset prices evolve according to certain stochastic volatility models with default upon hitting a lower barrier. The asset prices and their volatilities are correlated via systemic Brownian motions, and the resulting SPDE is defined o…
In this paper two metric properties on geodesic length spaces are introduced by means of the metric projection, studying their validity on Alexandrov and Busemann NPC spaces. In particular, we prove that both properties characterize the non-positivity of the sectional curvature on Riemannian manifolds. Further results …
Study shows price bubbles can exist even with heterogeneous beliefs.
We use commutator techniques and calculations in solvable Lie groups to investigate certain evolution Partial Differential Equations (PDEs for short) that arise in the study of stochastic volatility models for pricing contingent claims on risky assets. In particular, by restricting to domains of bounded volatility, we …
We consider a system of diffusion processes that interact through their empirical mean and have a stabilizing force acting on each of them, corresponding to a bistable potential. There are three parameters that characterize the system: the strength of the intrinsic stabilization, the strength of the external random per…
The leverage effect weakly impacts return distributions, especially for small firms.
We find stationary distributions in a financial model with trends and mean-reversion.
Study of irreversible metric-measure spaces, proving convergence and stability results.
Characterizes isometries between non-reversible Finsler manifolds.
The paper finds at least N orthogonal Finsler geodesic chords in a disk-like manifold.
Study finds IBS useful for predicting ETF price movements.
This paper is concerned with the following Markovian stochastic differential equation of mean-reversion type \[ dR_t= (θ+σα(R_t, t))R_t dt +σR_t dB_t \] with an initial value , where and are constants, and the mean correction function $α:\mathbb{R}\times[0,\infty)\to α(x,t)\…
This work improves understanding of symmetrizing Bregman divergences on positive definite matrices.
We show the existence of at least two geometrically distinct closed geodesics on an n-dimensional sphere with a bumpy and non-reversible Finsler metric for n>2.