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 optimal retirement strategies in a market with habit persistence and jump diffusion, finding discontinuous investment strategies.
The "standard" Merton formulation of optimal investment and consumption involves optimizing the integrated lifetime utility of consumption, suitably discounted, together with the discounted future bequest. In this formulation the utility of consumption at any given time depends only on the amount consumed at that time.…
Optimal investment and consumption model with habit formation constraint.
We solve an optimal consumption problem with habit formation constraints.
Study equilibrium consumption habits in a large population using mean field games.
Blended courses that mix in-person instruction with online platforms are increasingly popular in secondary education. These tools record a rich amount of data on students' study habits and social interactions. Prior research has shown that these metrics are correlated with students' performance in face to face classes.…
The paper optimizes retirement spending considering habit formation and pension income.
Greedy algorithm optimizes consumption habits with power utility.
Paper offers a dual formulation for consumption problem with multiplicative habit.
Model asset pricing with habit formation in a large market.
This paper analyzes optimal consumption strategies for loss-averse investors with multiplicative habit formation.
Study optimal investment and consumption strategies for competitive agents with habit formation.
We consider a power utility maximization problem with additive habits in a framework of discrete-time markets and random endowments. For certain classes of incomplete markets, we establish estimates for the optimal consumption stream in terms of the aggregate state price density, investigate the asymptotic behaviour of…
This paper analyzes popular time-nonseparable utility functions that describe "habit formation" consumer preferences comparing current consumption with the time averaged past consumption of the same individual and "catching up with the Joneses" (CuJ) models comparing individual consumption with a cross-sectional averag…
We consider a model of optimal investment and consumption with both habit formation and partial observations in incomplete Itô processes market. The investor chooses his consumption under the addictive habits constraint while only observing the market stock prices but not the instantaneous rate of return. Applying the …
This paper studies the optimal consumption under the addictive habit formation preference in markets with transaction costs and unbounded random endowments. To model the proportional transaction costs, we adopt the Kabanov's multi-asset framework with a cash account. At the terminal time T, the investor can receive unb…
Many aspects of life are associated with places of human mobility patterns and nowadays we are facing an increase in the pervasiveness of mobile devices these individuals carry. Positioning technologies that serve these devices such as the cellular antenna (GSM networks), global navigation satellite systems (GPS), and …
We provide a detailed characterization of the optimal consumption stream for the additive habit-forming utility maximization problem, in a framework of general discrete-time incomplete markets and random endowments. This characterization allows us to derive the monotonicity and concavity of the optimal consumption as a…
We explore the efficacy of using a novel activation function in Artificial Neural Networks (ANN) in characterizing exoplanets into different classes. We call this Saha-Bora Activation Function (SBAF) as the motivation is derived from long standing understanding of using advanced calculus in modeling habitability score …
Unified framework explains retirement and annuitization decisions under age-dependent mortality.
This paper studies a composite problem involving the decision making of the optimal entry time and dynamic consumption afterwards. In stage-1, the investor has access to full market information subjecting to some information costs and needs to choose an optimal stopping time to initiate stage-2; in stage-2, the investo…
This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxiliary state processes and the modified dual space, we embed our original problem into a time-separable utility maximization problem with a sh…
We present analytical exploration of novel activation functions as consequence of integration of several ideas leading to implementation and subsequent use in habitability classification of exoplanets. Neural networks, although a powerful engine in supervised methods, often require expensive tuning efforts for optimize…
Approaches for approximating persistent homology for large datasets.
Persistence landscapes map persistence diagrams into a function space, which may often be taken to be a Banach space or even a Hilbert space. In the latter case, it is a feature map and there is an associated kernel. The main advantage of this summary is that it allows one to apply tools from statistics and machine lea…
Proposes deep graph persistence to address neural persistence issues in deep learning.
Paper proves -means clustering works on persistence diagrams.
Formula for interleaving distance of rectangle persistence modules.
This paper demonstrates the flaws of co-persistence theory proposed by Bollerslev and Engle (1993) which cause the theory can hardly be applied. With the introduction of the half-life of decay coefficient as the measure of the persistence, and both the weak definition of persistence and co-persistence in variance, this…
Paper proposes personalized climate control for driver comfort.
Optimizes wavelets for graph classification using spectral wavelet signatures and persistence diagrams.
New method for analyzing multiparameter persistence modules from smooth functions.
Develops robust persistence diagrams using kernel methods.
This paper interprets critical scales in persistent homology for compact metric spaces.
MuRiT efficiently computes multi-parameter persistence barcodes.
Persistent homology can recognize knotting in curves.
This article analyzes the relationship between co-persistence and hedging which indicates co-persistence ratio is just the long-term hedging ratio. The new method of exhaustive search algorithm for deriving co-persistence ratio is derived in the article. And we also develop a new hedging strategy of combining co-persis…
Despite the obvious similarities between the metrics used in topological data analysis and those of optimal transport, an optimal-transport based formalism to study persistence diagrams and similar topological descriptors has yet to come. In this article, by considering the space of persistence diagrams as a space of d…
Persistence diagrams are important descriptors in Topological Data Analysis. Due to the nonlinearity of the space of persistence diagrams equipped with their {\em diagram distances}, most of the recent attempts at using persistence diagrams in machine learning have been done through kernel methods, i.e., embeddings of …
Computational topology has recently known an important development toward data analysis, giving birth to the field of topological data analysis. Topological persistence, or persistent homology, appears as a fundamental tool in this field. In this paper, we study topological persistence in general metric spaces, with a …
A new approach to reinforcement learning improves policy performance by adjusting control frequency.
Given a compact geodesic space we apply the fundamental group and alternatively the first homology group functor to the corresponding Rips or Čech filtration of to obtain what we call a persistence. This paper contains the theory describing such persistence: properties of the set of critical points, their preci…
A new method compares persistent cycles in topological data.
Improved persistence spheres map measures to functions, stable under partial transport.
We introduce several geometric notions, including the width of a homology class, to the theory of persistent homology. These ideas provide geometric interpretations of persistence diagrams. Indeed, we give quantitative and geometric descriptions of the "life span" or "persistence" of a homology class. As a case study, …
In this paper, we work in the framework of the Merton problem but we impose a drawdown constraint on the consumption process. This means that consumption can never fall below a fixed proportion of the running maximum of past consumption. In terms of economic motivation, this constraint represents a type of habit format…
This article addresses persistent tangles. These are tangles whose presence in a knot diagram forces that diagram to be knotted. We provide new methods for constructing persistent tangles. Our techniques rely mainly on the existence of non-trivial colorings for the tangles in question. Our main result in this article i…
Study cosmic structures using Topological Data Analysis and Persistence Energy.