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.
The study examines largest hyperbolic actions in groups and finds many do not exist.
Attention is an operation that selects some largest element from some set, where the notion of largest is defined elsewhere. Applying this operation to sequence to sequence mapping results in significant improvements to the task at hand. In this paper we provide the mathematical definition of attention and examine its …
In this paper we disprove a conjecture stated in [4] on the equality of two notions of dimension for closed cones. Moreover, we answer in the negative to the following question, raised in the same paper. Given a compact family of closed cones and a set such that every blow-up of at every point $x\…
The paper shows how to find inaccessible hyperbolic actions in manifold groups.
A new algorithm FastGM speeds up generating Gumbel-Max variables.
Cube category simplifies set modeling.
This study compares the largest claims from two insurance portfolios using stochastic orderings.
Maker Protocol manages Dai stable coin on Ethereum blockchain.
Our goal in this paper is to make an attempt to find the largest Lie algebra of vector fields on the indicatrix such that all its elements are tangent to the holonomy group of a Finsler manifold. First, we introduce the notion of the curvature algebra, generated by curvature vector fields, then we define the infinitesi…
Cryptocurrencies are ranked for efficiency using a new Complexity-Entropy Plane.
In this note we announce several results concerning the SL(2,C) character variety of the one-holed torus. We give a description of the largest open subset of on which the mapping class group acts properly discontinuously, in terms of two very simple conditions, and …
In this paper, we use a new approach to prove that the largest eigenvalue of the sample covariance matrix of a normally distributed vector is bigger than the true largest eigenvalue with probability 1 when the dimension is infinite. We prove a similar result for the smallest eigenvalue.
Quadratic-time algorithm computes stretch factors and foliations for pseudo-Anosov mapping classes.
Smoothed top-k operator improves model training efficiency.
The correlation matrix is the key element in optimal portfolio allocation and risk management. In particular, the eigenvectors of the correlation matrix corresponding to large eigenvalues can be used to identify the market mode, sectors and style factors. We investigate how these eigenvalues depend on the time scale of…
Policy gradient methods with aggregated states can achieve better performance than approximate policy iteration.
We perform a comparative analysis of the Chinese stock market around the occurrence of the 2008 crisis based on the random matrix analysis of high-frequency stock returns of 1228 stocks listed on the Shanghai and Shenzhen stock exchanges. Both raw correlation matrix and partial correlation matrix with respect to the ma…
Study non-standard bi-orders on punctured torus bundles, matching standard ones in key subgroups.
Enhances systemic risk analysis by incorporating debt valuation factors.
When the design matrix has orthonormal columns, "soft thresholding" the ordinary least squares (OLS) solution produces the Lasso solution [Tibshirani, 1996]. If one uses the Puffer preconditioned Lasso [Jia and Rohe, 2012], then this result generalizes from orthonormal designs to full rank designs (Theorem 1). Theorem …
Study bounds and asymptotic behavior of largest purely non-free actions on compact Riemann surfaces.
Study on Kähler manifolds shows rigidity of eigenvalues with positive Ricci bound.
We analyzed cross-correlations between price fluctuations of global financial indices (20 daily stock indices over the world) and local indices (daily indices of 200 companies in the Korean stock market) by using random matrix theory (RMT). We compared eigenvalues and components of the largest and the second largest ei…
In this research, we introduce a robust metric to identify Systemically Important Financial Institution (SIFI) in a financial network by taking into account both common idiosyncratic shocks and contagion through counterparty exposures. We develop an efficient algorithm to rank financial institutions by formulating a fi…
We derive the limiting distribution for the largest eigenvalues of the adjacency matrix for a stochastic blockmodel graph when the number of vertices tends to infinity. We show that, in the limit, these eigenvalues are jointly multivariate normal with bounded covariances. Our result extends the classic result of Füredi…
We consider two manifestations of non-positive curvature: acylindrical actions on hyperbolic spaces and quasigeodesic stability. We study these properties for the class of hierarchically hyperbolic groups, which is a general framework for studying many important families of groups, including mapping class groups, right…
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow dynamics. The slow dynamics reflects the development and consolidation of globaliz…
This article investigates the correlation structure of the global crude oil market using the daily returns of 71 oil price time series across the world from 1992 to 2012. We identify from the correlation matrix six clusters of time series exhibiting evident geographical traits, which supports Weiner's (1991) regionaliz…
Formula found for maximal systole of hyperbolic surfaces with largest symmetry.
We call attention against what seems to a widely held misconception according to which large crashes are the largest events of distributions of price variations with fat tails. We demonstrate on the Dow Jones Industrial index that with high probability the three largest crashes in this century are outliers. This result…
The paper calculates upper bounds on ReLU network Lipschitz constants.
We study the Thompson sampling algorithm in an adversarial setting, specifically, for adversarial bit prediction. We characterize the bit sequences with the smallest and largest expected regret. Among sequences of length with zeros, the sequences of largest regret consist of alternating zeros and …
New RDPC dissimilarity measure improves time series clustering.
A method for rank verification in multivariate Gaussian data, improving on existing approaches.
The paper identifies a 'small' set of functions containing Gaussian process samples.
Complex systems comprise a large number of interacting elements, whose dynamics is not always a priori known. In these cases -- in order to uncover their key features -- we have to turn to empirical methods, one of which was recently introduced by Menezes and Barabasi. It is based on the observation that for the activi…
Optimizes dimension estimate for holomorphic functions on Kähler manifolds.
Study shows XRP price correlates with transaction network metrics.
HAVER improves error bounds for estimating the largest mean in machine learning tasks.
We show that the largest subsurface projection distance between a marking and its image under the nth step of a random walk grows logarithmically in n, with probability approaching 1 as n tends to infinity. Our setup is general and also applies to (relatively) hyperbolic groups and to . We then use t…
This paper investigates how economic shocks propagate and amplify through the input-output network connecting industrial sectors in developed economies. We study alternative models of diffusion on networks and we calibrate them using input-output data on real-world inter-sectoral dependencies for several European count…
We determine the largest (i.e. smallest index) characteristic subgroup of surface groups not containing any simple loops.
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the S&P 500 and the Dow Jones Euro Stoxx 50 indices reveal that the dynamics of the small eigenvalues of the cross-correlat…
The paper classifies reversible elements in Seifert-fibered spaces and braid groups.
Sampling from distributions to find the one with the largest mean arises in a broad range of applications, and it can be mathematically modeled as a multi-armed bandit problem in which each distribution is associated with an arm. This paper studies the sample complexity of identifying the best arm (largest mean) in a m…
The paper finds the largest eigenvalue for a specific type of domain in hyperbolic space.
Classifies reciprocal elements in Hecke groups, generalizing Sarnak's work.
We know that any element A of the group SO(3) can be represented as A = A1 A2 A1', where A1, A1' are elements of SO1(2)={A is an element of SO(3) | Ae1=e1}, and SO2(2)={A is an element of SO(3) | Ae2=e2} . This fact is known as Euler's angle. When this situation, a matrix A is called the generator. In the present paper…