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.
DIEN predicts CTR by evolving user interests from behavior data.
Proposes DTS framework to predict CTR by tracking user interest evolution over time.
Seq2seq models predict complex multi-physics systems' time evolution.
In this article, we develop a model for the evolution of real estate prices. A wide range of inputs, including stochastic interest rates and changing demands for the asset, are considered. Maximizing their expected utility, home owners make optimal sale decisions given these changing market conditions. Using these opti…
Current recommender systems exploit user and item similarities by collaborative filtering. Some advanced methods also consider the temporal evolution of item ratings as a global background process. However, all prior methods disregard the individual evolution of a user's experience level and how this is expressed in th…
It is an approach to introduce the forward Kolmogorov equation as an interesting natural ingredient in studying the evolution of the market stock prices.
ES and FD gradients converge as optimization dimension grows.
The main result of this paper that a martingale evolution can be chosen for Libor such that all the Libor interest rates have a common market measure; the drift is fixed such that each Libor has the martingale property. Libor is described using a field theory model, and a common measure is seen to be emerge naturally f…
We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX rates can be performed effciently through the FFT methodology thanks to the affinit…
We derive explicit valuation formulae for an exotic path-dependent interest rate derivative, namely an option on the composition of LIBOR rates. The formulae are based on Fourier transform methods for option pricing. We consider two models for the evolution of interest rates: an HJM-type forward rate model and a LIBOR-…
Paper combines latent state space with CRF for improved autoregressive text generation.
Paper proposes a method to monitor research topic evolution.
Model for valuing inflation-linked interest rate derivatives.
New bandit algorithms adapt to evolving user interests influenced by social circles.
Study on quantum particle evolution on Grushin cylinder, embedding in R^3.
Gradient descent solves rank-one matrix estimation problem with detailed time evolution analysis.
Mathematical models with time dependent parameters are of great interest in financial Mathematics because they capture real life scenarios in the financial market. In this study, via the Lie group technique, we analyse evolution-type equations with time dependent parameters and give the general symmetry structure of th…
A simplified model for fixed income portfolio optimisation.
AR model forecasts partially observed dynamical time series by estimating evolution function and imputing missing variables.
There are more than eight hundred interest rates published in China bond market every day. Which are the benchmark interest rates that have broad influences on most interest rates is a major concern for economists. In this paper, multi-variable Granger causality test is developed and applied to construct a directed net…
The paper prices European options in a model with changing regimes and jumps.
We introduce a geometric evolution equation of hyperbolic type, which governs the evolution of a hypersurface moving in the direction of its mean curvature vector. The flow stems from a geometrically natural action containing kinetic and internal energy terms. As the mean curvature of the hypersurface is the main drivi…
This paper modifies the Ait-Sahalia model to better describe interest rate behaviors.
In this survey paper we discuss recent advances on short interest rate models which can be formulated in terms of a stochastic differential equation for the instantaneous interest rate (also called short rate) or a system of such equations in case the short rate is assumed to depend also on other stochastic factors. Ou…
Technical analysis (TA) has been used for a long time before the availability of more sophisticated instruments for financial forecasting in order to suggest decisions on the basis of the occurrence of data patterns. Many mathematical and statistical tools for quantitative analysis of financial markets have experienced…
Study eigenvalues of Witten-Laplacian during mean curvature flow.
Stochastic Variational Optimization is a parallelizable method for gradient estimation.
In recent years, there has been a growing interest in geometric evolution in heterogeneous media. Here we consider curvature driven fows of planar curves, with an additional space-dependent forcing term. Motivated by a homogenization problem, we look for estimates which depend only on the uniform norm of the forcing te…
Clarifies when solutions to stochastic PDEs stay near given subsets.
Paper proves a generalized Penrose conjecture for flat initial data.
We perform a classification of the Lie point symmetries for the Black--Scholes--Merton Model for European options with stochastic volatility, , in which the last is defined by a stochastic differential equation with an Orstein--Uhlenbeck term. In this model, the value of the option is given by a linear (1 + 2) evolu…
We develop a model for the dynamic evolution of default-free and defaultable interest rates in a LIBOR framework. Utilizing the class of affine processes, this model produces positive LIBOR rates and spreads, while the dynamics are analytically tractable under defaultable forward measures. This leads to explicit formul…
DANR improves network regularization for spatio-temporal data.
Paper proposes a method to discover topic evolutions from text data.
We present a family of models for the term structure of interest rates which describe the interest rate curve as a stochastic process in a Hilbert space. We start by decomposing the deformations of the term structure into the variations of the short rate, the long rate and the fluctuations of the curve around its avera…
AMP algorithm for matrix tensor product model provides recovery conditions.
Many biological characteristics of evolutionary interest are not scalar variables but continuous functions. Here we use phylogenetic Gaussian process regression to model the evolution of simulated function-valued traits. Given function-valued data only from the tips of an evolutionary tree and utilising independent pri…
The paper proves stability of curvature bounds in geometric analysis.
Simple agent based exchange models are a commonplace in the study of wealth distribution of artificial societies. Generally, each agent is characterized by its wealth and by a risk-aversion factor, and random exchanges between agents allow for a redistribution of the wealth. However, the detailed influence of the amoun…
We investigate the local fractal properties of the financial time series based on the evolution of the Warsaw Stock Exchange Index (WIG) connected with the largest developing financial market in Europe. Calculating the local Hurst exponent for the WIG time series we find an interesting dependence between the behavior o…
Reservoir computing predicts rare critical transitions in complex systems.
In this paper we calibrate chaotic models for interest rates to market data using a polynomial-exponential parametrization for the chaos coefficients. We identify a subclass of one-variable models that allow us to introduce complexity from higher order chaos in a controlled way while retaining considerable analytic tra…
Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their initial forward rate curve can be adjusted to any observed data, as the Ho-Lee and the Hull and White one factor models. In t…
We characterize the price of an Asian option, a financial contract, as a fixed-point of a non-linear operator. In recent years, there has been interest in incorporating changes of regime into the parameters describing the evolution of the underlying asset price, namely the interest rate and the volatility, to model sud…
A novel algorithm uses Gaussian process regression to interpret non-intrusive ROMs.
This paper adresses the general issue of estimating the sensitivity of the expectation of a random variable with respect to a parameter characterizing its evolution. In finance for example, the sensitivities of the price of a contingent claim are called the Greeks. A new way of estimating the Greeks has been recently i…
The skew mean curvature flow(SMCF), which origins from the study of fluid dynamics, describes the evolution of a codimension two submanifold along its binormal direction. We study the basic properties of the SMCF and prove the existence of a short-time solution to the initial value problem of the SMCF of compact surfac…
This is the third in a series of papers constructing explicit examples of special Lagrangian submanifolds in C^m. The previous paper in the series, math.DG/0008155, defined the idea of evolution data, which includes an (m-1)-submanifold P in R^n, and constructed a family of special Lagrangian m-folds N in C^m, which ar…