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.
A new tail-shape index based on Value at Risk and Expected Shortfall.
New curvature K(x) measures manifold properties without integrals.
Upper bound on expected supremum of Bernoulli process.
We prove that the expectation value of the index function i(x) over a probability space of injective function f on any finite simple graph G=(V,E) is equal to the curvature K(x) at the vertex x. This result complements and links Gauss-Bonnet sum K(x) = chi(G) and Poincare-Hopf sum i(x) = chi(G) which both hold for arbi…
We identify branched coverings (continuous open surjections p:Y->X of Hausdorff spaces with uniformly bounded number of pre-images) with Hilbert C*-modules C(Y) over C(X) and with faithful unital positive conditional expectations E:C(Y)->C(X) topologically of index-finite type. The case of non-branched coverings corres…
The paper bounds the expectation of empirical processes indexed by Hölder classes.
We show that the Morse index of every 2k-ended solution of the Allen-Cahn equation in R^2 is >= k-1. This bound is expected to be sharp.
We give an asymptotic probabilistic real Riemann-Hurwitz formula computing the expected real ramification index of a random covering over the Riemann sphere. More generally, we study the asymptotic expected number and distribution of critical points of a random real Lefschetz pencil over a smooth real algebraic variety…
We prove a sharp estimate on the expected value of the integral of the index of a simple random walk on the square or triangular lattice. This gives new lower bounds on the averaged Dehn function, which measures the expected area needed to fill a random curve with a disc.
The paper analyzes the sliding regret of stochastic bandit algorithms.
This paper uses machine learning to improve VIX index calculation and detect market manipulation.
The study connects knot complements to 3d theories via half-index calculations.
A new tontine design aims to protect longevity risk with non-indexed investments.
Extracting market expectations has always been an important issue when making national policies and investment decisions in financial markets. In option markets, the most popular way has been to extract implied volatilities to assess the future variability of the underlying with the use of the Black and Scholes formula…
This note studies the behavior of an index I_t which is assumed to be a tradable security, to satisfy the BSM model dI_t/I_t = μdt + σdW_t, and to be efficient in the following sense: we do not expect a prespecified trading strategy whose value is almost surely always nonnegative to outperform the index greatly. The ef…
We consider a financial market in which two securities are traded: a stock and an index. Their prices are assumed to satisfy the Black-Scholes model. Besides assuming that the index is a tradable security, we also assume that it is efficient, in the following sense: we do not expect a prespecified self-financing tradin…
The expected utility operators introduced in a previous paper, offer a framework for a general risk aversion theory, in which risk is modelled by a fuzzy number . In this paper we formulate a coinsurance problem in the possibilistic setting defined by an expected utility operator . Some properties of the optimal …
In financial time series there are periods in which the value increases or decreases monotonically. We call those periods elemental trends and study the probability distribution of their duration for the indices DJIA, NASDAQ and IPC. It is found that the trend duration distribution often differs from the one expected u…
New tests for VaR and ES forecast encompassing using flexible link functions.
We propose two rational expectation models of transient financial bubbles with heterogeneous arbitrageurs and positive feedbacks leading to self-reinforcing transient stochastic faster-than-exponential price dynamics. As a result of the nonlinear feedbacks, the termination of a bubble is found to be characterized by a …
Kurtosis is seen as a measure of the discrepancy between the observed data and a Gaussian distribution and is defined when the 4th moment is finite. In this work an empirical study is conducted to investigate the behaviour of the sample estimate of kurtosis with respect to sample size and the tail index when applied to…
Index tracking is a popular form of asset management. Typically, a quadratic function is used to define the tracking error of a portfolio and the look back approach is applied to solve the index tracking problem. We argue that a forward looking approach is more suitable, whereby the tracking error is expressed as expec…
Researchers map knot complements using 3d theories and half-index calculations.
Geometric Brownian motion simulates stock prices for Brazilian small caps index.
The Surprise index assesses autonomous systems' competency in uncertain environments.
Optimizes stock portfolios with a constraint on correlation to reduce risk.
This work introduces a novel nonparametric density index defined on graphs, the Sum-over-Forests (SoF) density index. It is based on a clear and intuitive idea: high-density regions in a graph are characterized by the fact that they contain a large amount of low-cost trees with high outdegrees while low-density regions…
In this paper we investigate the relation between complexified Fenchel-Nielsen coordinates and spectral network coordinates on Seiberg-Witten moduli space. The main technique is the comparison of exact expressions for the expectation value of 't Hooft defects in certain 4D gauge theories. We der…
We present a simple dynamical model of stock index returns which is grounded on the ability of the Cyclically Adjusted Price Earning (CAPE) valuation ratio devised by Robert Shiller to predict long-horizon performances of the market. More precisely, we discuss a discrete time dynamics in which the return growth depends…
Bayesian approach for constructing and rebalancing sparse index-tracking portfolios.
We provide foundations for decisions in face of unlikely events by extending the standard framework of Savage to include preferences indexed by a family of events. We derive a subjective lexicographic expected utility representation which allows for infinitely many lexicographically ordered levels of events and for eve…
A remarkable similarity in the behavior of the US S&P500 index from 1996 to August 2002 and of the Japanese Nikkei index from 1985 to 1992 (11 years shift) is presented, with particular emphasis on the structure of the bearish phases. Extending a previous analysis of Johansen and Sornette [1999, 2000] on the Nikkei ind…
Optimal text-based indices track VIX and inflation.
Possibilistic risk theory starts from the hypothesis that risk is modelled by fuzzy numbers. In particular, in a possibilistic portfolio choice problem, the return of a risky asset will be a fuzzy number. The expected utility operators have been introduced in a previous paper to build an abstract theory of possibilisti…
Develops a new framework for joint portfolio risk forecasting.
We analyze an optimal stopping problem with random maturity under a nonlinear expectation with respect to a weakly compact set of mutually singular probabilities . The maturity is specified as the hitting time to level of some continuous index process at which the payoff process is even allowed to have…
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of bifurcations and phase transitions, the log-periodic power law model has been developed as a flexible tool to detect bubbl…
New RL algorithms learn Gittins indices for unknown Markovian states.
Local EGOP learns functions varying along a few directions.
The Financial Chaos Index models stock market volatility across three regimes based on mutual price fluctuations.
A spring-block chain placed on a running conveyor belt is considered for modeling stylized facts observed in the dynamics of stock indexes. Individual stocks are modeled by the blocks, while the stock-stock correlations are introduced via simple elastic forces acting in the springs. The dragging effect of the moving be…
Paper introduces a new index to measure financial and workplace resilience of firms.
This paper measures the intensity of implicit government guarantees using PMC index model.
The Allen-Cahn equation is a semilinear PDE which is deeply linked to the theory of minimal hypersurfaces via a singular limit. We prove curvature estimates and strong sheet separation estimates for stable solutions (building on recent work of Wang-Wei) of the Allen-Cahn equation on a 3-manifold. Using these, we are ab…
New model combines ICA and HMM for unsupervised learning of nonstationary time series.
We suggest an empirical model of investment strategy returns which elucidates the importance of non-Gaussian features, such as time-varying volatility, asymmetry and fat tails, in explaining the level of expected returns. Estimating the model on the (former) Lehman Brothers Hedge Fund Index data, we demonstrate that th…
Proposes balancing revenue and environmental impact in assortment planning.
Adapts EGOP to multi-class setting and proposes a simple rough estimator.