arXiv research

Bitcoin returns exhibit a distinct inverse cubic law scaling behavior.

One of the principal statistical features characterizing the activity in financial markets is the distribution of fluctuations in market indicators such as the index. While the developed stock markets, e.g., the New York Stock Exchange (NYSE) have been found to show heavy-tailed return distribution with a characteristi…

The probability distribution of stock price changes is studied by analyzing a database (the Trades and Quotes Database) documenting every trade for all stocks in three major US stock markets, for the two year period Jan 1994 -- Dec 1995. A sample of 40 million data points is extracted, which is substantially larger tha…

We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of 23 stocks traded in the Chinese stock market in 2003. We find that the returns at the one-trade timescale obey the inverse cubic law. For la…

There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic law. It supports the possibility that the tail exponents are universal at least for mature markets in the sense that th…

Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has always presented challenging issues and provided interesting findings, such as the inverse cubic law in the tails of stock price fluctuation di…

Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations. Recently, there have been assertions that this distribution is qualitatively different in emerging markets as compared to developed markets. Here we analyse…

The statistics of return distributions on various time scales constitutes one of the most informative characteristics of the financial dynamics. Here we present a systematic study of such characteristics for the Polish stock market index WIG20 over the period 04.01.1999 - 31.10.2005 for the time lags ranging from one m…

We introduce mod 3 triple Milnor invariants and triple cubic residue symbols for certain primes of the Eisenstein number field $\mathbb{Q}(\sqrt{-3})$, following the analogies between knots and primes. Our triple symbol generalizes both the cubic residue symbol and Rédei's triple symbol, and describes the decomposition…

This article presents an empirical study of thirteen derivative markets for commodity and financial assets. It compares the statistical properties of futures contracts's daily returns at different maturities, from 1998 to 2010 and for delivery dates up to 120 months. The analysis of the fourth first moments of the dist…

The article completes the research of two-point G$^2$ Hermite interpolation problem with spirals by inversion of conics. A simple algorithm is proposed to construct a family of 4th degree rational spirals, matching given G$^2$ Hermite data. A possibility to reduce the degree to cubic is discussed.

Paper finds optimal mini-batch size for SGD to speed up learning.

A normalizing flow models a complex probability density as an invertible transformation of a simple density. The invertibility means that we can evaluate densities and generate samples from a flow. In practice, autoregressive flow-based models are slow to invert, making either density estimation or sample generation sl…

The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three different definitions of spread are considered based on the time right before transactions, the time whenever the highest buying price or th…

It is now well established empirically that financial price changes are distributed according to a power law, with cubic exponent. This is a fascinating regularity, as it holds for various classes of securities, on various markets, and on various time scales. The universality of this law suggests that there must be som…

Generative model creates frictional surfaces from friction laws.

Analyzes financial return distributions over various time scales.

In finance, one usually deals not with prices but with growth rates $R$, defined as the difference in logarithm between two consecutive prices. Here we consider not the trading volume, but rather the volume growth rate $\tilde R$, the difference in logarithm between two consecutive values of trading volume. To this end…

The contact graph of a CAT(0) cubical complex has unbounded structure and a Gaussian CLT for random walks.

The paper accelerates ISTA and FISTA algorithms for composite optimization problems.

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…

Paper finds maximum curvature of Bézier-spline curves.

Unified framework for critical scaling of inverse temperature in self-attention.

Based on empirical financial time-series, we show that the "silence-breaking" probability follows a super-universal power law: the probability of observing a large movement is inversely proportional to the length of the on-going low-variability period. Such a scaling law has been previously predicted theoretically [R. …

This work improves transferability of rewards inferred from expert demonstrations.

We consider the tail probabilities of stock returns for a general class of stochastic volatility models. In these models, the stochastic differential equation for volatility is autonomous, time-homogeneous and dependent on only a finite number of dimensional parameters. Three bounds on the high-volatility limits of the…

Zipf's law states that the number of firms with size greater than S is inversely proportional to S. Most explanations start with Gibrat's rule of proportional growth but require additional constraints. We show that Gibrat's rule, at all firm levels, yields Zipf's law under a balance condition between the effective grow…

Nonlinear dimensionality reduction embeddings computed from datasets do not provide a mechanism to compute the inverse map. In this paper, we address the problem of computing a stable inverse map to such a general bi-Lipschitz map. Our approach relies on radial basis functions (RBFs) to interpolate the inverse map ever…

In the generalized Legendre approach, the equation describing an asymptotically locally Euclidean space of type $D_n$ is found to admit an algebraic formulation in terms of the group law on a Weierstrass cubic. This curve has the structure of a Cayley cubic for a pencil generated by two transversal plane conics, that i…

The paper solves classical problems in option pricing.

Unified Bayesian PINN framework for solving inverse problems in infrared image processing.

Novel algorithm speeds up log-determinant estimation for large matrices.

Recently, Mike and Farmer have constructed a very powerful and realistic behavioral model to mimick the dynamic process of stock price formation based on the empirical regularities of order placement and cancelation in a purely order-driven market, which can successfully reproduce the whole distribution of returns, not…

When machine learning systems fail because of adversarial manipulation, how should society expect the law to respond? Through scenarios grounded in adversarial ML literature, we explore how some aspects of computer crime, copyright, and tort law interface with perturbation, poisoning, model stealing and model inversion…

Generalisation of the El Farol bar problem to that of many bars here leads to the Kolkata restaurant problem, where the decision to go to any restaurant or not is much simpler (depending on the previous experience of course, as in the El Farol bar problem). This generalised problem can be exactly analysed in some limit…

We formulate the theory of nearly autoparallel maps (generalizing conformal transforms) of locally anisotropic spaces and define the nearly autoparallel integration as the inverse operation to both covariant derivation and deformation of connections by nearly autoparallel maps. By using this geometric formalism we cons…

The abstract discusses financial irreversibility using quantum mechanics and projective geometry.

New method reduces memory usage for Bayesian inverse problems on large grids.

It is shown that the sum of class numbers of orders in totally complex quartic fields with no real quadratic subfield obeys an asymptotic law similar to the prime numbers, as the bound on the regulators tends to infinity. Here only orders which are maximal at a given set of primes containing an even number of elements …

Ginger efficiently approximates curvature with linear complexity for neural networks.

Develops a new bivariate process for energy markets with improved simulation methods.

In this paper we study the pricing of exchange options under a dynamic described by stochastic correlation with random jumps. In particular, we consider a Ornstein-Uhlenbeck covariance model with Levy Background Noise Process driven by Inverse Gaussian subordinators. We use expansion in terms of Taylor polynomials and …

The paper extends ternary algebra concepts using cube roots of unity.

Inverse depth scaling found in LLMs due to similar layers averaging error.

{\em Riemannian cubics} are curves in a manifold $M$ that satisfy a variational condition appropriate for interpolation problems. When $M$ is the rotation group SO(3), Riemannian cubics are track-summands of {\em Riemannian cubic splines}, used for motion planning of rigid bodies. Partial integrability results are know…

Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit time follows a power law $p(τ_ρ) \sim τρ^{-α}$ with $α\approx 1.5$ at large $τ_ρ$ an…

Sub-Riemannian cubics are a generalisation of Riemannian cubics to a sub-Riemannian manifold. Cubics are curves which minimise the integral of the norm squared of the covariant acceleration. Sub-Riemannian cubics are cubics which are restricted to move in a horizontal subspace of the tangent space. When the sub-Riemann…

Study on Goodhart's law without independence assumptions, finds new patterns in optimisation.