arXiv research

The Ricci flow preserves product structures with instantaneous curvature bounds.

We prove uniqueness of instantaneously complete Ricci flows on surfaces. We do not require any bounds of any form on the curvature or its growth at infinity, nor on the metric or its growth (other than that implied by instantaneous completeness). Coupled with earlier work, particularly [23, 11], this completes the well…

We use a first-order energy quantity to prove a strengthened statement of uniqueness for the Ricci flow. One consequence of this statement is that if a complete solution on a noncompact manifold has uniformly bounded Ricci curvature, then its sectional curvature will remain bounded for a short time if it is bounded ini…

New formulation tackles arbitrage in volatile markets using eigenvalue bounds.

Study gap phenomenon in flat manifolds with Ricci curvature.

We prove global existence of instantaneously complete Yamabe flows on hyperbolic space of arbitrary dimension $m\geq3$ starting from any smooth, conformally hyperbolic initial metric. We do not require initial completeness or curvature bounds. With the same methods, we show rigidity of hyperbolic space under the Yamabe…

Estimates chirp signal frequencies using probabilistic models.

Study curvature flows on pinched Hadamard surfaces, proving convexity preservation and convergence.

Given a completely arbitrary surface, whether or not it has bounded curvature, or even whether or not it is complete, there exists an instantaneously complete Ricci flow evolution of that surface that exists for a specific amount of time [GT11]. In the case that the underlying Riemann surface supports a hyperbolic metr…

We show uniqueness of Ricci flows starting at a surface of uniformly negative curvature, with the assumption that the flows become complete instantaneously. Together with the more general existence result proved in [10], this settles the issue of well-posedness in this class.

We prove a general existence result for instantaneously complete Ricci flows starting at an arbitrary Riemannian surface which may be incomplete and may have unbounded curvature. We give an explicit formula for the maximal existence time, and describe the asymptotic behaviour in most cases.

This paper introduces a new metric, ULI, for RL that ensures both cumulative and instantaneous performance.

The paper proves a new discrete Laplacian for 3D meshes and shows its superiority over primal construction.

We develop a theory for valuing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. We apply our method to value life annuities. One result of…

We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. First, we apply our method to price opt…

New framework IDOL identifies latent causal processes with instantaneous relations from time series data.

This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta pricing relation in place of the market. Thus the difference between the arbitrag…

New formula for instantaneous frequency in unbalanced systems.

iCITRIS learns causal variables from interactive systems with instantaneous effects.

Study compares Fourier estimators to mitigate asynchrony effects in finance.

Proves smoothness of conical singularities in mean curvature flow.

In an incomplete Brownian-motion market setting, we propose a convex monotonic pricing functional for nonattainable bounded contingent claims which is compatible with prices for attainable claims. The pricing functional is defined as the convex conjugate of a generalized entropy penalty functional and an interpretation…

Let $\overline{M}$ be a compact complex manifold with smooth Kähler metric $η$, and let $D$ be a smooth divisor on $\overline{M}$. Let $M=\overline{M}\setminus D$ and let $\hatω$ be a Carlson-Griffiths type metric on $M$. We study complete solutions to Kähler-Ricci flow on $M$ which are comparable to $\hatω$, starting …

Paper revises power theory using classical mechanics concepts.

This paper presents a novel one-factor stochastic volatility model where the instantaneous volatility of the asset log-return is a diffusion with a quadratic drift and a linear dispersion function. The instantaneous volatility mean reverts around a constant level, with a speed of mean reversion that is affine in the in…

Study cryptocurrency price dynamics using adaptive EMD and spectral analysis.

Modeling continuous movement of entities in latent space for interaction timing.

We consider Ricci flow on a closed surface with cone points. The main result is: given a (nonsmooth) cone metric g_0 over a closed surface there is a smooth Ricci flow g(t) defined for (0,T], with curvature unbounded above, such that g(t) tends to g_0 as t tends to 0. This result means that Ricci flow provides a way fo…

We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a multivariate counting process with stochastic intensities. The interest rate, drift, …

Working on different aspects of algorithmic trading we empirically discovered a new market invariant. It links together the volatility of the instrument with its traded volume, the average spread and the volume in the order book. The invariant has been tested on different markets and different asset classes. In all cas…

SMEs provide a transparent testbed for RL evaluation.

New RL algorithm tackles adversarial RMAB with unknown transitions and bandit feedback.

Improved prediction algorithm for 'easy' sequences with reduced regret.

We study online aggregation of the predictions of experts, and first show new second-order regret bounds in the standard setting, which are obtained via a version of the Prod algorithm (and also a version of the polynomially weighted average algorithm) with multiple learning rates. These bounds are in terms of excess l…

Collective behaviours taking place in financial markets reveal strongly correlated states especially during a crisis period. A natural hypothesis is that trend reversals are also driven by mutual influences between the different stock exchanges. Using a maximum entropy approach, we find coordinated behaviour during tre…

Infinite-time blow-up in high-dimensional mean curvature flow.

Two new algorithms optimize rewards while respecting safety constraints in sequential decisions.

Study optimal execution in a transient price impact model with multiple traders.

We prove the existence of Ricci flow starting from a class of metrics with unbounded curvature, which are doubly-warped products over an interval with a spherical factor pinched off at an end. These provide a forward evolution from some known and conjectured finite-time local singularities of Ricci flow, generalizing p…

The paper studies Ricci flow on manifolds with boundary, proving existence, uniqueness, and boundary conditions preservation.

A new model captures forward curve dynamics with stochastic volatility.

A new principle minimizes residual and introduces momentum to improve PDE solution dynamics.

New model identifies regimes in non-stationary data.

Unified framework for optimal liquidation with small market impact and semimartingale strategies.

Markets composed of stocks with capitalization processes represented by positive continuous semimartingales are studied under the condition that the market excess growth rate is bounded away from zero. The following examples of these markets are given: i) a market with a singular covariance matrix and instantaneous rel…

To convert standard Brownian motion $Z$ into a positive process, Geometric Brownian motion (GBM) $e^{βZ_t}, β>0$ is widely used. We generalize this positive process by introducing an asymmetry parameter $α\geq 0$ which describes the instantaneous volatility whenever the process reaches a new low. For our new process, …

An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock markets, memory effect of the average instantaneous cross-correlations is investigated over different price return time inte…

We explore the effect of past market movements on the instantaneous correlations between assets within the futures market. Quantifying this effect is of interest to estimate and manage the risk associated to portfolios of futures in a non-stationary context. We apply and extend a previously reported method called the P…