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.
Machine learning analyzed peer reviews to find differences in quality by journal impact factor.
Some research institutions demand researchers to distribute the incomes they earn from publishing papers to their researchers and/or co-authors. In this study, we deal with the Impact Factor-based ranking journal as a criteria for the correct distribution of these incomes. We also include the Authorship Credit factor f…
Nowadays, organizations collect vast quantities of accounting relevant transactions, referred to as 'journal entries', in 'Enterprise Resource Planning' (ERP) systems. The aggregation of those entries ultimately defines an organization's financial statement. To detect potential misstatements and fraud, international au…
Neural networks help auditors efficiently assess financial statements by learning underlying data patterns.
Measuring the impact of scientific articles is important for evaluating the research output of individual scientists, academic institutions and journals. While citations are raw data for constructing impact measures, there exist biases and potential issues if factors affecting citation patterns are not properly account…
This study investigates the content of the published scientific literature in the fields of operations research and management science (OR/MS) since the early 1950s. Our study is based on 80,757 published journal abstracts from 37 of the leading OR/MS journals. We have developed a topic model, using Latent Dirichlet Al…
Before retiring, looking back to forty years of writing and publishing scientific papers, I decided to present to the scientific community a selection of my scientific works. I chose mostly articles published in prestigious journals or Proceedings that made a certain impact in the scientific world. I have selected thir…
Digital Financial Services continue to expand and replace the delivery of traditional banking services to the customers through innovative technologies to meet the growing complex needs and globalization challenges. These diversified digital products help the organizations (service providers) to improve their firm perf…
Special issue on understanding physical processes from unusual diffusion patterns.
This paper clarifies deep learning for IS scholars.
In this letter we investigate the information provided by the "compass rose" (Crack, T.F. and Ledoit, O. (1996), Journal of Finance, 51(2), pg. 751-762) patterns revealed in phase portraits of daily stock returns. It has been initially suggested that the compass rose is just a manifestation of price clustering and disc…
This study analyzes EU ETS literature trends using bibliometric methods.
Study on academic finance evolution over 30 years.
This is a continuous work about the nonexistence of some complete metrics on the product of two manifolds studied by Tam-Yu [Asian Journal of Mathematics, 14(2010)]. Motivated by the result of Tossati [Comm.Anal.Geom. 15(2007)]. We generalize the corresponding results of Tam-Yu [Asian Journal of Mathematics, 14(2010)] …
We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obligations between each pair of banks. We analyse the model numerically for two banks with jumps in their asset value processes. Specifically, we…
Framework detects influential actors in disinformation networks.
When society maintains a competitive system to promote an abstract goal, competition by necessity relies on imperfect proxy measures. For instance profit is used to measure value to consumers, patient volumes to measure hospital performance, or the Journal Impact Factor to measure scientific value. Here we note that \t…
The Classification Literature Automated Search Service, an annual bibliography based on citation of one or more of a set of around 80 book or journal publications, ran from 1972 to 2012. We analyze here the years 1994 to 2011. The Classification Society's Service, as it was termed, has been produced by the Classificati…
The common wisdom argues that, in general, large trades cause large price changes, while small trades cause small price changes. However, for extremely large price changes, the trade size and news play a minor role, while the liquidity (especially price gaps on the limit order book) is a more influencing factor. Hence,…
Estimates cross-impact on derivatives markets using E-Mini futures and options.
This is a survey written for a special edition of the journal of differential geometry.
Due to recent explosion of text data, researchers have been overwhelmed by ever-increasing volume of articles produced by different research communities. Various scholarly search websites, citation recommendation engines, and research databases have been created to simplify the text search tasks. However, it is still d…
In this paper, we investigate the first eigenvalues of two closed eigenvalue problems of the bi-Beltrami-Laplacian on minimal embedded isoparametric hypersurface in the unit sphere . Although many mathematicians want to derive the corresponding results for the first eigenvalues of bi-Beltrami-Lapla…
Unified framework for optimal liquidation with small market impact and semimartingale strategies.
If is a free product of finite groups, let denote all (necessarily symmetric) automorphisms of that do not permute factors in the free product. We show that a McCullough-Miller [D. McCullough and A. Miller, {\em Symmetric Automorphisms of Free Products}, Mem. Amer. Math. Soc. 122 (1996), no. 582] an…
This is an expository article, closely following the author's lecture at the 2014 Journal Differential Geometry conference.
With the widespread engineering applications ranging from artificial intelligence and big data decision-making, originally a lot of tedious financial data processing, processing and analysis have become more and more convenient and effective. This paper aims to improve the accuracy of stock price forecasting. It improv…
A risk-averse agent hedges her exposure to a non-tradable risk factor using a correlated traded asset and accounts for the impact of her trades on both factors. The effect of the agent's trades on is referred to as cross-impact. By solving the agent's stochastic control problem, we obtain a closed-form expr…
The paper predicts and explains the decay of stock anomaly performance over time.
This is a corrected version of our paper published in Osaka Journal of Mathematics 51(2014), 673-693. We correct Theorem~1.1, Proposition~3.3 and their proofs.
In this paper, we use a database of around 400,000 metaorders issued by investors and electronically traded on European markets in 2010 in order to study market impact at different scales. At the intraday scale we confirm a square root temporary impact in the daily participation, and we shed light on a duration factor …
Optimizes trading strategies with price impact, predictable returns, and stochastic volatility.
New model improves European inflation and interest rate predictions.
In this paper, we make some remarks on José Espinar's paper "Finite index operators on surfaces" [\texttt{arXiv:0911.3767}, to appear in Journal of Geometric Analysis (2011)].
Migration crisis, climate change or tax havens: Global challenges need global solutions. But agreeing on a joint approach is difficult without a common ground for discussion. Public spheres are highly segmented because news are mainly produced and received on a national level. Gain- ing a global view on international d…
The paper introduces a portfolio construction method using Black-Litterman model and factors.
In a simplified setting, we show how to price invoice non-recourse factoring taking into account not only the credit worthiness of the debtor but also the assignor's one, together with the default correlation between the two. Indeed, the possible default of the assignor might impact the payoff by means of the bankruptc…
Analyzes factors affecting flow VI performance.
Business cycles affect startup valuations, both directly and indirectly.
Learning representations which remain invariant to a nuisance factor has a great interest in Domain Adaptation, Transfer Learning, and Fair Machine Learning. Finding such representations becomes highly challenging in NLP tasks since the nuisance factor is entangled in a raw text. To our knowledge, a major issue is also…
The paper develops a reinforcement learning model to estimate ad impact considering delayed and cumulative effects.
In our previous papers [Far East Journal of Mathematical Sciences, 35 (2009), 211-223] and [International Journal of Pure and Applied Mathematics, 60 (2010), 15-24] we have developed the theory of Weil prolongation, Weil exponentiability and microlinearity for Frolicher spaces. In this paper we will relativize it so as…
The study compares profitability of conventional and Islamic banks in Bangladesh.
StockAgent uses AI to simulate real-world stock trading, analyzing external factors and profitability.
We correct a mistake in Shen Yibing, Yu Yaoyong, On Projectively Related Randers Metrics, International Journal of Mathematics 19}(2008), no. 5, 503--520, and prove the natural generalization of the projective Lichnerowicz-Obata conjecture for Randers metrics.
Study uses APT and QR to identify risk factors affecting crude oil returns.
In this note we re-examine the analysis of the paper "On the martingale property of stochastic exponentials" by B. Wong and C.C. Heyde, Journal of Applied Probability, 41(3):654-664, 2004. Some counterexamples are presented and alternative formulations are discussed.
Mean field game theory studies the behavior of a large number of interacting individuals in a game theoretic setting and has received a lot of attention in the past decade (Lasry and Lions, Japanese journal of mathematics, 2007). In this work, we derive mean field game partial differential equation systems from determi…