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.
Generates financial time series with stylized facts using diffusion models.
Parametric generative deep models are state-of-the-art for photo and non-photo realistic image stylization. However, learning complicated image representations requires compute-intense models parametrized by a huge number of weights, which in turn requires large datasets to make learning successful. Non-parametric exem…
In this paper we address the problem of artist style transfer where the painting style of a given artist is applied on a real world photograph. We train our neural networks in adversarial setting via recently introduced quadratic potential divergence for stable learning process. To further improve the quality of genera…
Proposes Gaussian optimal transport for image style transfer.
Generative model learns object variability from MRI measurements.
Gaussian surrogates improve Poisson imaging performance at low doses.
Discrete diffusion models improve text and image inference.
Convolutional Neural Networks (CNNs) are commonly thought to recognise objects by learning increasingly complex representations of object shapes. Some recent studies suggest a more important role of image textures. We here put these conflicting hypotheses to a quantitative test by evaluating CNNs and human observers on…
Paper tackles selfie cartoonization with a new GAN.
This paper introduces stylized facts and agent-based modeling in finance.
Benchmark improves object detection robustness in winter weather.
Examines financial market patterns across 150 years and regions.
Study tests 11 stylized facts for modern stock markets, finding support for 8.
Study reveals stylized facts in German bond futures markets.
Efficiently transfers style to content without distorting the content structure.
The Minority Game is a generic model of competing adaptive agents, which is often believed to be a model of financial markets. We discuss to which extend this is a reasonable statement, and present minimal modifications that make this model reproduce stylized facts. The resulting model shows that without speculators, p…
Study of common financial data patterns across stocks.
Model shows how traders' interactions can create market patterns.
Bitcoin shows similar stylized facts to traditional financial assets.
Cryptocurrencies evolve through survival of the fittest, modeled with evolutionary finance.
GANs can learn stylized facts of financial time series, but performance varies by architecture.
Convolution and pooling improve kernel methods in image classification.
Simultaneous reproduction of all financial stylized facts is so difficult that most existing stochastic process-based and agent-based models are unable to achieve the goal. In this study, by extending the decision-making structure of Minority Game, we propose a novel agent-based model called "Speculation Game," for a b…
We present and study a Minority Game based model of a financial market where adaptive agents -- the speculators -- interact with deterministic agents -- called producers. Speculators trade only if they detect predictable patterns which grant them a positive gain. Indeed the average number of active speculators grows wi…
Historical daily data for eleven years of the fifty constituent stocks of the NIFTY index traded on the National Stock Exchange have been analyzed to check for the stylized facts in the Indian market. It is observed that while some stylized facts of other markets are also observed in Indian market, there are significan…
SFAG generates realistic financial data that passes trading tests.
We study the qualitative and quantitative appearance of stylized facts in several agent-based computational economic market (ABCEM) models. We perform our simulations with the SABCEMM (Simulator for Agent-Based Computational Economic Market Models) tool recently introduced by the authors (Trimborn et al. 2019). Further…
We present some stylized facts exhibited by the time series of returns of the Mexican Stock Exchange Index (IPC) and compare them to a sample of both developed (USA, UK and Japan) and emerging markets (Brazil and India). The period of study is 1997-2011. The stylized facts are related mostly to the probability distribu…
The paper introduces a new -LSTM cell for volatility forecasting using stylized facts.
We propose a new method (implemented in an R-program) to simulate long-range daily stock-price data. The program reproduces various stylized facts much better than various parametric models from the extended GARCH-family. In particular, the empirically observed changes in unconditional variance are truthfully mirrored …
Develops a new method to create object models from medical images.
Volatility clustering, long-range dependence, and non-Gaussian scaling are stylized facts of financial assets dynamics. They are ignored in the Black & Scholes framework, but have a relevant impact on the pricing of options written on financial assets. Using a recent model for market dynamics which adequately captures …
Study examines stylized facts in DEX markets vs. traditional exchanges.
Cryptocurrencies show similarities to traditional markets but also have unique characteristics.
Study macroscopic equity market properties affecting active strategies.
This study uses CNN-IOs to estimate MRI image reconstruction performance bounds.
Study compares Web3 tokens to traditional assets, finding similar statistical properties.
CoFinDiff generates synthetic financial data capturing stylized facts and meeting specified conditions.
Continuous-time model shows insider trading constraints impact market dynamics.
Generative adversarial networks with attention improve financial time series simulation.
In the past decade there has been a growing interest in agent-based econophysical financial market models. The goal of these models is to gain further insights into stylized facts of financial data. We derive the mean field limit of the econophysical model by Cross, Grinfeld, Lamba and Seaman (Physica A, 354) and show …
Financial markets show a number of non-stationarities, ranging from volatility fluctuations over ever changing technical and regulatory market conditions to seasonalities. On the other hand, financial markets show various stylized facts which are remarkably stable. It is thus an intriguing question to find out how thes…
We introduce a minimal Agent Based Model with two classes of agents, fundamentalists (stabilizing) and chartists (destabilizing) and we focus on the essential features which can generate the stylized facts. This leads to a detailed understanding of the origin of fat tails and volatility clustering and we propose a mech…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market prices is modeled on a macro-level as the result of the dynamic coupling of two dyn…
Study uses RL to simulate realistic market behavior.
Automatically writing stylized Chinese characters is an attractive yet challenging task due to its wide applicabilities. In this paper, we propose a novel framework named Style-Aware Variational Auto-Encoder (SA-VAE) to flexibly generate Chinese characters. Specifically, we propose to capture the different characterist…
We propose and document the evidence for an analogy between the dynamics of granular counter-flows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensive simulations, we find that the counter-flows of simulated pedestrians through a door display many stylized facts obser…
This work presents the results of an empirical research with the target of modeling the stylized facts of the daily expost System Marginal Price (SMP) of the Greek wholesale electricity market, using data from January 2004 to December of 2011. SMP is considered here as the footprint of an underline stochastic and nonli…