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arXiv research

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.

168,657 papers · 148 categories

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161322482643 · Jun 202019922001200920172026
48 results for integer time series

Neural likelihood approximates integer time series data efficiently.

problem Inference of parameters for integer-valued stochastic processes is challenging.
method Constructs a neural likelihood approximation for inference of parameters from time series data.
result Accurately approximates the true posterior with significant computational speed-ups.

Paper develops methods for estimating and forecasting integer-valued trawl processes.

problem Estimation and forecasting of continuous-time integer-valued trawl processes.
method Composite likelihood methods, focusing on pairwise likelihood.
result Consistency and asymptotic normality of the estimator in the short memory case.

There is a need for the development of models that are able to account for discreteness in data, along with its time series properties and correlation. Our focus falls on INteger-valued AutoRegressive (INAR) type models. The INAR type models can be used in conjunction with existing model-based clustering techniques to …

2019-01-26abs ↗pdf ↗

ExDBN learns dynamic Bayesian networks using mixed-integer programming.

problem Learning dynamic causal relationships from time series data.
method Score-based learning algorithm using mixed-integer quadratic programming with branch-and-cut method.
result The proposed method produces more accurate results than state-of-the-art approaches.

The paper introduces neural INGARCH models for time series of counts.

problem Analyzing time series of counts using traditional INGARCH models.
method Combining artificial neural networks with INGARCH models.
result Neural INGARCH models outperform traditional models in information loss.

The article calculates a multiplying factor to convert rational Vassiliev invariants to integer-valued ones.

problem Converting rational valued Vassiliev invariants to integer-valued ones.
method Calculates the minimal multiplying factor λ needed for rational Vassiliev invariants to become integer-valued.
result Obtains a set of integer-valued Vassiliev invariants.

Using the locally compact abelian group $\BT \times \BZ$, we assign a meromorphic function to each ideal triangulation of a 3-manifold with torus boundary components. The function is invariant under all 2--3 Pachner moves, and thus is a topological invariant of the underlying manifold. If the ideal triangulation has a …

2017-06-25abs ↗pdf ↗

Paper introduces new link homotopy invariants and applies them to 3-bouquet graphs.

problem Milnor's triple linking number and its applications in link homotopy.
method Developed new integer-valued link homotopy invariants and applied them to 3-bouquet graphs.
result Found new integer-valued invariants derived from four terms summing to Milnor's triple linking number.

Researchers derive qq-series for SO(3)SO(3) and OSp(12)OSp(1|2) groups.

problem Deriving qq-series for SO(3)SO(3) and OSp(12)OSp(1|2) groups.
method Change of variable relating SU(2)SU(2) link invariants to SO(3)SO(3) and OSp(12)OSp(1|2) link invariants.
result Explicit qq-series for SO(3)SO(3) and OSp(12)OSp(1|2) groups.

Using a result of Takata, we prove a formula for the colored Jones polynomial of the double twist knots K(m,p)K_{(-m,-p)} and K(m,p)K_{(-m,p)} where mm and pp are positive integers. In the (m,p)(-m,-p) case, this leads to new families of qq-hypergeometric series generalizing the Kontsevich-Zagier series. Comparing with the cyc…

2017-10-13abs ↗pdf ↗

The aim of this article is to generalize in several variables some formulae for Eisenstein series in one variable. For example the formula 2ζ(2k)=(2π)2kB2k(2k)!=Resz=0(1z2k(1ez))2ζ(2k) = (2π)^{2k} \frac{B_{2k}}{(2k)!} = Res_{z=0}(\frac{1}{z^{2k}(1-e^z)}) for the values of zeta functions at even integers in functions of Bernoulli numbers. A. Szenes proved …

1999-03-30abs ↗pdf ↗

Let K(m,p)K_{(m,p)} denote the family of double twist knots where 2m12m-1 and 2p2p are non-zero integers denoting the number of half-twists in each region. Using a result of Takata, we prove a formula for the colored Jones polynomial of K(m,p)K_{(-m,-p)} and K(m,p)K_{(-m,p)}. The latter case leads to new families of qq-hypergeomet…

2019-03-12abs ↗pdf ↗

In this paper, we define, from a finite set E of functions, a family of holomorphic webs W(n;E){\cal W}(n;E) of codimension one in any dimension n n . We prove that it is sufficient to check a finite number of conditions for these webs to be all ordinary and to have all maximal rank. Moreover, these conditions may be prac…

2014-11-04abs ↗pdf ↗

Dimofte, Gaiotto and Gukov introduced a powerful invariant, the 3D-index, associated to a suitable ideal triangulation of a 3-manifold with torus boundary components. The 3D-index is a collection of formal power series in q1/2q^{1/2} with integer coefficients. Our goal is to explain how the 3D-index is a generating serie…

2016-04-10abs ↗pdf ↗

Formula derived for spherical growth series of specific groups.

problem Calculating the spherical growth series of specific groups.
method Developed a formula and derived a rational function expression for the spherical growth series.
result Explicit rational function expressions for the spherical growth series of specific groups.

The 3D index of Dimofte-Gaiotto-Gukov a partially defined function on the set of ideal triangulations of 3-manifolds with rr torii boundary components. For a fixed 2r2r tuple of integers, the index takes values in the set of qq-series with integer coefficients. Our goal is to give an axiomatic definition of the tetra…

2012-08-08abs ↗pdf ↗

Estimates change point in high dimensional time series models.

problem Change point estimation in high dimensional time series.
method Plug-in least squares estimator with sufficient conditions for adaptivity.
result Optimal rate of convergence Op(ξ2)O_p(ξ^{-2}) in integer scale.

We show that for an nn-component, nn-bridge link and a positive integer mm, the following is true: If the longitudes of LL lie in the (m+2)(m+2)-th term of the lower central series of the link group then all the finite type invariants of orders m\leq m for LL are the same as these of the nn-component unlink.

1998-04-06abs ↗pdf ↗

In recent work with J.Mostovoy and T.Stanford,the author found that for every natural number n, a certain polynomial in the coefficients of the Conway polynomial is a primitive integer-valued degree n Vassiliev invariant, but that modulo 2, it becomes degree n-1. The conjecture then naturally suggests itself that these…

2005-03-28abs ↗pdf ↗

New invariants for 3-manifolds derived from supergroup representations.

problem Developing invariants for 3-manifolds using supergroup analogues.
method Introducing supergroup analogues of 3-manifold invariants for superunitary groups, focusing on SU(2|1). Calculating q-series for specific 3-manifolds and studying their properties.
result Explicit calculation and study of q-series for certain 3-manifolds, providing a formula relating new invariants to quantum invariants.

The involutory birack counting invariant is an integer-valued invariant of unoriented tangles defined by counting homomorphisms from the fundamental involutory birack of the tangle to a finite involutory birack over a set of framings modulo the birack rank of the labeling birack. In this first of an anticipated series …

2012-08-16abs ↗pdf ↗

In this paper we investigate discrete time trading under integer constraints, that is, we assume that the offered goods or shares are traded in integer quantities instead of the usual real quantity assumption. For finite probability spaces and rational asset prices this has little effect on the core of the theory of no…

2017-08-25abs ↗pdf ↗

This paper optimizes matrix-based Renyi's entropy computation for large datasets.

problem Efficiently calculating matrix-based Renyi's entropy for large-scale applications.
method Develops randomized approximations for matrix-based Renyi's entropy with arbitrary α orders.
result Achieves a significant reduction in time complexity from O(n^3) to O(n^2sm), where s, m << n.

This lecture notes are an expanded version of the course given at the ERC-School on Geometric Measure Theory and Real Analysis, held in Pisa, September 30th - October 30th 2013. The lectures aim to explain the main steps of a new proof of the partial regularity of area minimizing integer rectifiable currents in higher …

2015-01-15abs ↗pdf ↗

We show that the integral of the first Pontrjagin class is given by an integer and it is identified with instanton number of the U(n) gauge theory on noncommutative R4{\bf R^4}. Here the dimension of the vector space VV that appear in the ADHM construction is called Instanton number. The calculation is done in operato…

2002-09-17abs ↗pdf ↗

The physical 3d N=2\mathcal{N}=2 theory T[Y] was previously used to predict the existence of some 3-manifold invariants Z^a(q)\hat{Z}_{a}(q) that take the form of power series with integer coefficients, converging in the unit disk. Their radial limits at the roots of unity should recover the Witten-Reshetikhin-Turaev invari…

2019-04-12abs ↗pdf ↗

We study the open string integrality invariants (LMOV invariants) for toric Calabi-Yau 3-folds with Aganagic-Vafa brane (AV-brane). In this paper, we focus on the case of the resolved conifold with one out AV-brane in any integer framing ττ, which is the large NN duality of the Chern-Simons theory for a framed unknot…

2016-11-20abs ↗pdf ↗

Paper finds instantons for Kapustin-Witten equations on a specific manifold.

problem Existence of solutions to Kapustin-Witten equations on (0,)imesR2imesR(0,\infty) imes \mathbb{R}^2 imes \mathbb{R}.
method Explains existence of solutions interpolating between two model solutions.
result Interpolation solutions exist with specific label constraints.

Previous studies indicate that nonlinear properties of Gaussian time series with long-range correlations, uiu_i, can be detected and quantified by studying the correlations in the magnitude series ui|u_i|, i.e., the ``volatility''. However, the origin for this empirical observation still remains unclear, and the exact …

2004-06-14abs ↗pdf ↗

This paper shows how to hedge financial risks with integer investments.

problem Evaluating the minimal super-hedging price with integer-valued strategies for arbitrary payoffs.
method Formulated a dynamic programming principle to evaluate the minimal super-hedging price with integer-valued strategies for continuous piecewise affine terminal claims.
result It is possible to evaluate the minimal super-hedging price with integer-valued strategies for discrete-time, arbitrary Ω.

For each positive integer n, Khovanov and Rozansky constructed an invariant of links in the form of a doubly-graded cohomology theory whose Euler characteristic is the sl(n) link polynomial. We use Lagrangian Floer cohomology on some suitable affine varieties to build a similar series of link invariants, and we conject…

2006-01-25abs ↗pdf ↗

Research into time series classification has tended to focus on the case of series of uniform length. However, it is common for real-world time series data to have unequal lengths. Differing time series lengths may arise from a number of fundamentally different mechanisms. In this work, we identify and evaluate two cla…

2019-10-10abs ↗pdf ↗

Modeling regime shifts in co-evolving time series with interactions and time-dependency.

problem Discovering and modeling regime shifts in multiple time series with relationships and time-dependent behaviors.
method Modeling interactions and time-dependency in co-evolving time series using a mapping grid and dynamic network representation for regime identification and time-dependent Cox regression for regime transition probabilities.
result A principled approach for modeling interactions and time-dependency in co-evolving time series.

Transformers improve solving mixed-integer programs, especially CLSP.

problem Solving Capacitated Lot Sizing Problem (CLSP) with mixed-integer programming.
method Employing transformer models to predict binary variables in CLSP.
result Transformer model outperforms CPLEX and LSTM in solving CLSP.

We provide the proof that the space of time series data is a Kolmogorov space with T0T_{0}-separation axiom using the loop space of time series data. In our approach we define a cyclic coordinate of intrinsic time scale of time series data after empirical mode decomposition. A spinor field of time series data comes fro…

2016-06-10abs ↗pdf ↗

Study proves existence of a specific type of flow in geometry.

problem Existence of canonical multi-phase free boundary Brakke flows.
method Global-in-time existence established using Brakke flow and uniform density ratio assumption.
result Existence of the flow with no positive mass on the free boundary for some short time.

Capturing the dynamical properties of time series concisely as interpretable feature vectors can enable efficient clustering and classification for time-series applications across science and industry. Selecting an appropriate feature-based representation of time series for a given application can be achieved through s…

2019-01-29abs ↗pdf ↗

Overview of high-dimensional time series regression methods.

problem Estimation and inference with high-dimensional time series data.
method Limit theory for high-dimensional dependent data, asymptotic theory for time series regression, statistical learning methods.
result Main limit theory results and asymptotic theory for high-dimensional time series regression.