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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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Membership in the Russell 1000 and 2000 Indices is based on a ranking of market capitalization in May. Each index is separately value weighted such that firms just inside the Russell 2000 are comparable in size to firms just outside (i.e. at the bottom of the Russell 1000) but have much higher index weights. These feat…

2015-09-01abs ↗pdf ↗

Minimal number of geodesics in Finsler manifolds with indefinite Killing form is at least four.

problem Determining the minimal number of homogeneous geodesics in Finsler manifolds with indefinite Killing form.
method Analyzing examples of Lie groups with invariant Finsler metrics and presenting new examples.
result Homogeneous Finsler manifolds with indefinite Killing form admit at least four homogeneous geodesics.

The paper introduces moment multicalibration for estimating uncertainty across subgroups.

problem Ensuring fairness and accurate uncertainty estimation in predictions across different subgroups.
method Develops a method for multicalibration of higher moments, enabling point predictions and interval estimation.
result Moment multicalibration allows for valid prediction intervals that are fair across various subgroups.

In his stimulating article on the reasons for two puzzling observations about the behaviour of interest rates, exchange rates and the rate of inflation, Charles Engel (2016) puts forward an explanation that rests on the concept of a non-pecuniary liquidity return on assets. Albeit intriguing the analysis struggles to a…

2016-04-29abs ↗pdf ↗

We discuss the statistical properties of index returns in a financial market just after a major market crash. The observed non-stationary behavior of index returns is characterized in terms of the exceedances over a given threshold. This characterization is analogous to the Omori law originally observed in geophysics. …

2002-09-30abs ↗pdf ↗

Few-shot models have become a popular topic of research in the past years. They offer the possibility to determine class belongings for unseen examples using just a handful of examples for each class. Such models are trained on a wide range of classes and their respective examples, learning a decision metric in the pro…

2019-06-03abs ↗pdf ↗

Calls to arms to build interpretable models express a well-founded discomfort with machine learning. Should a software agent that does not even know what a loan is decide who qualifies for one? Indeed, we ought to be cautious about injecting machine learning (or anything else, for that matter) into applications where t…

2017-11-20abs ↗pdf ↗

We outline the construction of the holonomy groupoid of a locally Lie groupoid and the monodromy groupoid of a Lie groupoid. These specialise to the well known holonomy and monodromy groupoids of a foliation, when the groupoid is just an equivalence relation.

2001-10-05abs ↗pdf ↗

The outcome of a functional genomics pipeline is usually a partial list of genomic features, ranked by their relevance in modelling biological phenotype in terms of a classification or regression model. Due to resampling protocols or just within a meta-analysis comparison, instead of one list it is often the case that …

2010-04-08abs ↗pdf ↗

This is an expository introduction to simplicial sets and simplicial homotopy theory with particular focus on relating the combinatorial aspects of the theory to their geometric/topological origins. It is intended to be accessible to students familiar with just the fundamentals of algebraic topology.

2008-09-24abs ↗pdf ↗

We find a family of five dimensional completely solvable compact manifolds that constitute the first examples of KK-contact manifolds which satisfy the Hard Lefschetz Theorem and have a model of Tievsky type just as Sasakian manifolds but do not admit any Sasakian structure.

2015-07-16abs ↗pdf ↗

This paper characterizes which subsets of C^n can be the set of positions of n points on a linkage in the complex plane C. For example, assuming compactness they are just compact semialgebraic sets. Noncompact configuration spaces are semialgebraics sets invariant under the Euclidean group, with compact quotient.

1998-10-20abs ↗pdf ↗

New model for time series classification from single example.

problem Classifying time series patterns from limited data.
method Developed a Hidden semi-Markov Model with variable state duration.
result Different representations of state duration have distinct strengths and weaknesses.

Historical returns depend on historical closing prices and distributions. We describe how to compute adjusted closing prices from closing price/distribution data with an emphasis on spreadsheet implementation. Then the growth of a security from one date to another (1 + total return) is just the ratio of the correspondi…

2011-05-15abs ↗pdf ↗

We define Dirichlet type series associated with homology length spectra of Riemannian, or Finsler, manifolds, or polyhedra, and investigate some of their analytical properties. As a consequence we obtain an inequality analogous to Gromov's classical intersystolic inequality, but taking the whole homology length spectru…

2016-12-06abs ↗pdf ↗

In studies of smooth maps with good differential topological conditions such as immersions, embeddings, Morse functions and their higher dimensional versions including fold maps and application to geometry, especially algebraic and differential topology of manifolds, liftings or desingulizations of maps of appropriate …

2018-05-15abs ↗pdf ↗

Graph-based ML improves defect prediction in software development.

problem Challenges in predicting defect-prone changes in complex software development.
method Building contribution graphs from developers and source files, using graph-based ML for defect prediction.
result Graph-based ML leads to significantly better defect prediction (F1 score up to 77.55%, MCC up to 53.16%).

Just as the Jacobi identity of vector fields is a natural consequence of the general Jacobi identity of microcubes in synthetic differential geometry, it is to be shown in this paper that the graded Jacobi identity of the Frolicher-Nijenhuis bracket is also a natural consequence of the general Jacobi identity.

2008-10-30abs ↗pdf ↗

By performing required evaluations, we show that in the Finsleroid-regular space the Landsberg-space condition just degenerates to the Berwald-space condition (at any dimension number N2N\ge2). Simple and clear expository representations are obtained. Due comparisons with the Finsleroid-Finsler space are indicated. Key…

2008-01-30abs ↗pdf ↗

We investigate the action of the automorphism group of a closed Riemann surface on its set of theta characteristics (or spin structures). We give criteria for when an automorphism fixes all spin structures, or when it fixes just one. The case of hyperelliptic curves and of the Klein quartic are discussed in detail.

2006-10-18abs ↗pdf ↗

skscope simplifies sparsity-constrained optimization in Python.

problem Tedious mathematical deduction and programming for sparsity-constrained optimization.
method Introduces skscope, a Python library that allows users to solve sparsity-constrained optimization problems by just programming the objective function.
result skscope enables state-of-the-art solvers to quickly attain sparse solutions in high-dimensional spaces, achieving up to 80x speedup.

Nearly Kähler and Kähler-Codazzi type manifolds are defined in a very similar way. We prove that nearly Kähler type manifolds have sense just in Hermitian and para-Hermitian contexts, and that Kähler-Codazzi type manifolds reduce to Kähler type manifolds in all the four Hermitian, para-Hermitian, Norden and product Rie…

2018-08-30abs ↗pdf ↗

A diffeological connection on a diffeological vector pseudo-bundle is defined just the usual one on a smooth vector bundle; this is possible to do, because there is a standard diffeological counterpart of the cotangent bundle. On the other hand, there is not yet a standard theory of tangent bundles, although there are …

2017-01-18abs ↗pdf ↗

The goal of this paper is to show that there exists a simple, yet universal statistical logic of spectral graph analysis by recasting it into a nonparametric function estimation problem. The prescribed viewpoint appears to be good enough to accommodate most of the existing spectral graph techniques as a consequence of …

2016-02-11abs ↗pdf ↗

Stochastic Gradient Descent can overfit after just a few passes, contrary to initial expectations.

problem Understanding the out-of-sample performance of multi-pass SGD in stochastic convex optimization.
method Analysis of multi-pass SGD in the stochastic convex optimization model.
result Multi-pass SGD can lead to significant overfitting after just a few passes, contrary to initial expectations.

We study "higher-dimensional" generalizations of differential forms. Just as differential forms can be defined as the universal commutative differential algebra containing C^\infty(M), we can define differential gorms as the universal commutative bidifferential algebra. From a more conceptual point of view, differentia…

2003-07-22abs ↗pdf ↗

Symmetries of Poisson manifolds are in general quantized just to symmetries up to homotopy of the quantized algebra of functions. It is therefore interesting to study symmetries up to homotopy of Poisson manifolds. We notice that they are equivalent to Poisson principal bundles and describe their quantization to symmet…

2006-01-13abs ↗pdf ↗

Modeling DEX liquidity with heterogeneous LPs and MEV bots.

problem Understanding and predicting the dynamics of decentralized cryptocurrency exchanges.
method Mean-field game approach to model liquidity providers' optimal strategies and interactions.
result Calibrated model produces consistent pool exchange rate dynamics and liquidity evolution.

Agent-based models have demonstrated their power and flexibility in Econophysics. However their major challenge is still to devise more realistic simulation scenarios. The complexity of Economy makes appealing the idea of introducing chaotic number generators as simulation engines in these models. Chaos based number ge…

2011-10-20abs ↗pdf ↗