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 analyzes global inflation's systemic nature and its impact on equity markets.
For those concerned with the long-term value of their accounts, it can be a challenge to plan in the present for inflation-adjusted economic growth over coming decades. Here, I argue that there exists an economic constant that carries through time, and that this can help us to anticipate the more distant future: global…
Study proposes a neural network approach for high inflation investment portfolios with leverage constraints.
Dual labor market model explains low inflation despite low unemployment.
The analysis of dollar inflation performed by the authors through the approximation of empirical data for 1913-2012 with a power-law function with an accelerating log-periodic oscillation superimposed over it has made it possible to detect a quasi-singularity point around the 17th of December, 2012. It is demonstrated …
Paper classifies economic states and optimizes portfolios for stagflationary environments.
News on inflation and monetary policy impacts US household inflation expectations.
fastml guards against data leakage in automated machine learning.
Study uses APT and QR to identify risk factors affecting crude oil returns.
New core inflation measure predicts future headline inflation.
RainfallBench benchmarks GNSS-based precipitation nowcasting models, addressing complex meteorological challenges.
This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-based and regression-based measures for their performance in following trend inflation and predicting future inflation.…
Bitcoin reacts negatively to inflation surprises, contrary to belief.
Study finds relevance of exchange and inflation rates to economic factors.
The paper discusses the role of monetary policy when potential output depends on the inflation rate. If the intention of the central bank is to maximize actual output growth, then it has to be credibly committed to a strict inflation targeting rule, and to take the MOGIR (the Maximizing Output Growth Inflation Rate) as…
ZICO learns DAGs from zero-inflated count data efficiently.
The evolution of inflation, p(t), and unemployment, UE(t), in Japan has been modeled. Both variables were represented as linear functions of the change rate of labor force, dLF/LF. These models provide an accurate description of disinflation in the 1990s and a deflationary period in the 2000s. In Japan, there exists a …
New ZIPLN model accounts for zero-inflation in multivariate count data.
Regularized mixtures improve inflation and interest rate forecasts, especially correcting overconfidence.
Generative models' evaluation scores can be misleading, leading to inflated grades.
Paper proposes copula-based models for analyzing multivariate zero-inflated continuous data.
We test for the long-run relationship between stock prices, inflation and its uncertainty for different U.S. sector stock indexes, over the period 2002M7 to 2015M10. For this purpose we use a cointegration analysis with one structural break to capture the crisis effect, and we assess the inflation uncertainty based on …
The paper evaluates various forecasting methods for inflation, finding ML models superior.
Improved MF-DFA model analyzes precious metals market efficiency and multifractality.
Interest rate market models, like the LIBOR market model, have the advantage that the basic model quantities are directly observable in financial markets. Inflation market models extend this approach to inflation markets, where zero-coupon and year-on-year inflation-indexed swaps are the basic observable products. For …
Starting with an ideal triangulation of the interior of a compact 3-manifold M with boundary, no component of which is a 2-sphere, we provide a construction, called an inflation of the ideal triangulation, to obtain a strongly related triangulations of M itself. Besides a step-by-step algorithm for such a construction,…
Paper uses LSTM to predict inflation, finds it performs well over long periods.
Paper introduces ZIPTF and C-ZIPTF for better tensor factorization of zero-inflated count data.
We model the rate of inflation and unemployment in Austria since the early 1960s within the Phillips/Fisher framework. The change in labour force is the driving force representing economic activity in the Phillips curve. For Austria, this macroeconomic variable was first tested as a predictor of inflation and unemploym…
We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the central bank, the bond market liquidity, inflation and growth expectations play an imp…
Study uses social network data to analyze regional inflation trends.
Optimal text-based indices track VIX and inflation.
This article is an extension of the work of one of us (Coopersmith, 2011) in deriving the relationship between certain interest rates and the inflation rate of a two component economic system. We use the well-known Fisher relation between the difference of the nominal interest rate and its inflation adjusted value to e…
New model improves European inflation and interest rate predictions.
We study the shape of inflated surfaces introduced in \cite{B1} and \cite{P1}. More precisely, we analyze profiles of surfaces obtained by inflating a convex polyhedron, or more generally an almost everywhere flat surface, with a symmetry plane. We show that such profiles are in a one-parameter family of curves which w…
Funds inflate their returns due to price pressure, leading to wealth reallocation and market crashes.
This study explains and mitigates inflated returns and turnover in SPO-based portfolio optimization.
Zero-inflated datasets, which have an excess of zero outputs, are commonly encountered in problems such as climate or rare event modelling. Conventional machine learning approaches tend to overestimate the non-zeros leading to poor performance. We propose a novel model family of zero-inflated Gaussian processes (ZiGP) …
In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and Inflation targeting). The task of our study is to compare econometrically the perform…
Benchmark detects decision-time leakage in financial backtests.
New bandit algorithms improve sparse reward learning.
The problem of causal inference is to determine if a given probability distribution on observed variables is compatible with some causal structure. The difficult case is when the causal structure includes latent variables. We here introduce the for tackling this problem. An inflation of a…
The causal compatibility question asks whether a given causal structure graph -- possibly involving latent variables -- constitutes a genuinely plausible causal explanation for a given probability distribution over the graph's observed variables. Algorithms predicated on merely necessary constraints for causal compatib…
BiHRNN predicts inflation by leveraging hierarchical structure and bidirectional RNNs.
In this paper, we establish a market model for the term structure of forward inflation rates based on the risk-neutral dynamics of nominal and real zero-coupon bonds. Under the market model, we can price inflation caplets as well as inflation swaptions with a formula similar to the Black's formula, thus justify the cur…
A relation between interest rates and inflation is presented using a two component economic model and a simple general principle. Preliminary results indicate a remarkable similarity to classical economic theories, in particular that of Wicksell.
An empirical model is presented linking inflation and unemployment rate to the change in the level of labour force in Switzerland. The involved variables are found to be cointegrated and we estimate lagged linear deterministic relationships using the method of cumulative curves, a simplified version of the 1D Boundary …
The paper analyzes a five-factor capital market model and facilitates exact simulation.