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 assesses how different parts of random forests influence their performance.
Model for optimal execution with passive market impact.
Fractional reaction-diffusion model explains financial market dynamics.
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is generic, and only relies on mild assumptions about the order flow and on the fact that prices are (to a first approximation) diffusive. This natu…
This study investigates the impact of importance weighting in deep learning models.
We confirm the square-root law of market impact on Apple Inc. using a large dataset.
KitcheNette predicts and recommends food ingredient pairings.
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and how prices move, the joint fluctuations of order flow and liquidity - and the way…
The dynamics of many socioeconomic systems is determined by the decision making process of agents. The decision process depends on agent's characteristics, such as preferences, risk aversion, behavioral biases, etc.. In addition, in some systems the size of agents can be highly heterogeneous leading to very different i…
We revisit the "epsilon-intelligence" model of Toth et al.(2011), that was proposed as a minimal framework to understand the square-root dependence of the impact of meta-orders on volume in financial markets. The basic idea is that most of the daily liquidity is "latent" and furthermore vanishes linearly around the cur…
Predicts food ingredient amounts from images.
The paper discusses decades of stock market manipulation and its benefits.
The Mike-Farmer (MF) model was constructed empirically based on the continuous double auction mechanism in an order-driven market, which can successfully reproduce the cubic law of returns and the diffusive behavior of stock prices at the transaction level. However, the volatility (defined by absolute return) in the MF…
Generative model creates meal images from ingredient descriptions.
Study models deep learning training dynamics using locally elastic SDEs to reveal feature separability.
Deep learning models can discriminate against certain groups, requiring computational methods to ensure fairness.
A recipe recommendation system suggests missing ingredients using collaborative filtering.
Improved car-hailing service by analyzing POI effects.
In standard Walrasian auctions, the price of a good is defined as the point where the supply and demand curves intersect. Since both curves are generically regular, the response to small perturbations is linearly small. However, a crucial ingredient is absent of the theory, namely transactions themselves. What happens …
Normalization layers improve the accuracy of Differentially Private training of deep neural networks.
This work analyzes how bottleneck layers and skip connections affect linear denoising autoencoders' generalization.
This paper addresses identifiability issues in HLAMs with hierarchical constraints.
This paper investigates how network width and depth affect adversarially robust DNNs.
We give a complete construction of the Bernstein-Gelfand-Gelfand complex on real or complex projective space using minimal ingredients.
In four and higher dimensions, we show that any stationary admissible Yang-Mills field can be gauge transformed to a smooth field if the norm of the curvature is sufficiently small. There are three main ingredients. The first is Price's monotonicity formula, which allows us to assert that the curvature is small n…
UCBMQ improves Q-learning by adding momentum to correct bias and limit regret.
It is an approach to introduce the forward Kolmogorov equation as an interesting natural ingredient in studying the evolution of the market stock prices.
This paper studies global webs on the projective plane with vanishing curvature. The study is based on an interplay of local and global arguments. The main local ingredient is a criterium for the regularity of the curvature at the neighborhood of a generic point of the discriminant. The main global ingredient, the Lege…
The main purpose of this paper is to prove a sharp Sobolev inequality in an exterior of a convex bounded domain. There are two ingredients in the proof: One is the observation of some new isoperimetric inequalities with partial free boundary, and the other is an integral inequality (due to Duff [9]) for any nonnegative…
Given a link in the three-sphere, Z. Szabó and the second author constructed a spectral sequence starting at the Khovanov homology of the link and converging to the Heegaard Floer homology of its branched double-cover. The aim of this paper and its sequel is to explicitly calculate this spectral sequence, using bordere…
A new method reduces communication costs in distributed learning.
New approach speeds up DNA sequence alignment.
New topological biquandles created using skew braces.
We give a concise proof of a classification of lens spaces up to orientation-preserving homeomorphisms. The chief ingredient in our proof is a study of the Alexander polynomial of ` symmetric' links in .
We completely determine, up to homeomorphism, which simply connected compact oriented 4-manifolds admit scalar-flat, anti-self-dual Riemannian metrics. The key new ingredient is a proof that the connected sum of five reverse-oriented complex projective planes admits such metrics.
The paper explores how prior functions and bootstrapping improve ensemble uncertainty estimation.
We review a construction of hyperkahler metrics proposed in joint work of Davide Gaiotto, Greg Moore and the author. A key ingredient in this construction is a collection of integer "DT invariants" obeying the wall-crossing formula of Kontsevich-Soibelman.
We apply various topological methods to distinguish connected components of moduli spaces of complete Riemannian metrics of nonnegative sectional curvature on open manifolds. The new geometric ingredient is that souls of nearby nonnegatively curved metrics are ambiently isotopic.
New method uses impact IRR to assess impact investments.
Paper finds best constants in Hardy inequalities on Finsler metric measure manifolds.
Compact Kähler solvmanifolds are classified up to biholomorphism. A proof of a conjecture Benson and Gordon, that completely solvable compact Kähler solvmanifolds are tori is deduced from this. The main ingredient in the proof is a restriction theorem for polycyclic Kähler groups proved by Nori and the author.
Accurate asymptotic expressions are given for the exponentially small eigenvalues of Witten Laplacians acting on p-forms. The key ingredient, which replaces explicit formulas for global quasimodes in the case p = 0, is Barannikov's presentation of Morse theory.
Theory of price impact on bond term structure.
New Schwarz Lemma for Bergman metrics in bounded domains.
We develop the differential geometric and geometric analytic studies of Hamiltonian systems. Key ingredients are the curvature operator, the weighted Laplacian, and the associated Riccati equation. We prove the appropriate generalizations of Bochner--Weitzenböck formula and Laplacian comparison theorem, and study the h…
We prove that any compact complex surface with positive first Chern class admits an Einstein metric which is conformally related to a Kaehler metric. The key new ingredient is the existence of such a metric on the blow-up of the complex projective plane at two distinct points.
We study the problem of what causes prices to change. We define the mechanical impact of a trading order as the change in future prices in the absence of any future changes in decision making, and its it informational impact as the remainder of the total impact once mechanical impact is removed. We introduce a method o…
We show that, on the connected sum of complex projective planes, any toric LeBrun metric can be identified with a Joyce metric admitting a semi-free circle action through an explicit conformal equivalence. A crucial ingredient of the proof is an explicit connection form for toric LeBrun metrics.