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.
A new kernel test reduces noise in MMD by focusing on leading eigen-directions.
Spectral dimensionality reduction algorithms are widely used in numerous domains, including for recognition, segmentation, tracking and visualization. However, despite their popularity, these algorithms suffer from a major limitation known as the "repeated Eigen-directions" phenomenon. That is, many of the embedding co…
New duality found linking neural network weights and activities for better generalization.
New PINN architectures learn high-frequency features using Fourier features.
Test-time training adapts a pretrained model to each prompt via parameter updates, improving accuracy under pretraining-to-test distribution shifts.
Recent introduction of wearable single-lead ECG devices of diverse configurations has caught the intrigue of the medical community. While these devices provide a highly affordable support tool for the caregivers for continuous monitoring and to detect acute conditions, such as arrhythmia, their utility for cardiac diag…
Detects lead-lag clusters in US equity market time series.
This study examines lead-lag relationships in Chinese futures markets using high-frequency data.
In this article we quantify the bullwhip effect (the variance amplification in replenishment orders) when demands and lead times are predicted in a simple two-stage supply chain with one supplier and one retailer. In recent research the impact of stochastic order lead time on the bullwhip effect is investigated, but th…
NAPLES resolves lead-lag analysis challenges in non-synchronous high-frequency data.
HyPV-LEAD detects cryptocurrency anomalies proactively, improving financial security.
In previous work, the first author and collaborators showed that the leading asymptotics of the embedded contact homology (ECH) spectrum recovers the contact volume. Our main theorem here is a new bound on the sub-leading asymptotics.
We present the symmetric thermal optimal path (TOPS) method to determine the time-dependent lead-lag relationship between two stochastic time series. This novel version of the previously introduced TOP method alleviates some inconsistencies by imposing that the lead-lag relationship should be invariant with respect to …
Guts determine the leading coefficients of -Alexander torsions for 3-manifolds.
We propose a novel framework to investigate lead-lag relationships between two financial assets. Our framework bridges a gap between continuous-time modeling based on Brownian motion and the existing wavelet methods for lead-lag analysis based on discrete-time models and enables us to analyze the multi-scale structure …
New method for estimating lead-lag times between non-synchronously observed point processes.
Study analyzes Airbnb booking lead times during global crises using a new metric.
In this paper, we consider a supervised learning setting where side knowledge is provided about the labels of unlabeled examples. The side knowledge has the effect of reducing the hypothesis space, leading to tighter generalization bounds, and thus possibly better generalization. We consider several types of side knowl…
Algorithm detects lead-lag relationships in multivariate time series.
New technique identifies lead-lag relationships in FX market during pandemic.
We construct equivariant, string and leading order characteristic classes and Chern-Simons classes for certain infinite rank bundles associated to fibrations occurring in loop spaces, Gromov-Witten theory and gauge theory. Results include a restatement of the S^1 index theorem using equivariant classes on the tangent b…
Clusters asset classes to identify lead-lag relationships in market regimes.
This handbook translates lead time analysis into R code.
Novel framework detects lead-lag relationships in Chinese A-share market.
The existence of time-lagged cross-correlations between the returns of a pair of assets, which is known as the lead-lag relationship, is a well-known stylized fact in financial econometrics. Recently some continuous-time models have been proposed to take account of the lead-lag relationship. Such a model does not follo…
Pairs Trading is carried out in the financial market to earn huge profits from known equilibrium relation between pairs of stock. In financial markets, seldom it is seen that stock pairs are correlated at particular lead or lag. This lead-lag relationship has been empirically studied in various financial markets. Earli…
Method detects lead-lag relationships in multivariate time series.
When the residents of Flint learned that lead had contaminated their water system, the local government made water-testing kits available to them free of charge. The city government published the results of these tests, creating a valuable dataset that is key to understanding the causes and extent of the lead contamina…
We employ the thermal optimal path method to explore both the long-term and short-term interaction patterns between the onshore CNY and offshore CNH exchange rates (2012-2015). For the daily data, the CNY and CNH exchange rates show a weak alternate lead-lag structure in most of the time periods. When CNY and CNH displ…
We detail our ongoing work in Flint, Michigan to detect pipes made of lead and other hazardous metals. After elevated levels of lead were detected in residents' drinking water, followed by an increase in blood lead levels in area children, the state and federal governments directed over $125 million to replace water se…
Benford's law states that in data sets from different phenomena leading digits tend to be distributed logarithmically such that the numbers beginning with smaller digits occur more often than those with larger ones. Particularly, the law is known to hold for different types of financial data. The Illicit Financial Flow…
We give upper and lower bounds on the leading coefficients of the -Alexander torsions of a -manifold in terms of hyperbolic volumes and of relative -torsions of sutured manifolds obtained by cutting along certain surfaces. We prove that for numerous families of knot exteriors the lower and upper bo…
We consider Drinfeld-Sokolov bihamiltonian structure associated to a distinguished nilpotent elements of semisimple type and the space of common equilibrium points defined by its leading term. On this space, we construct a local bihamiltonian structure which form an exact Poisson pencil, defines an algebraic classical …
Modeling lead-lag relationship between two text corpora for improved topic modeling.
We consider the problem of learning models for forecasting multiple time-series systems together with discovering the leading indicators that serve as good predictors for the system. We model the systems by linear vector autoregressive models (VAR) and link the discovery of leading indicators to inferring sparse graphs…
Symmetry in loss functions constrains model parameters, leading to specific learning outcomes.
Lead/lag relationships are an important stylized fact at high frequency. Some assets follow the path of others with a small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric cross-correlation functions are empirically observed, especially in the future/stock case. W…
New method speeds up lead-lag detection between asynchronous time series.
Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both of those analyses are concentrated only on Pearson's correlation coefficient and thus intraday lead-lag relationships associated wi…
New model leads to optimal test loss in sparse linear regression.
New framework explains leading digit patterns without probabilistic assumptions.
We begin by reiterating that common neural network activation functions have simple Bayesian origins. In this spirit, we go on to show that Bayes's theorem also implies a simple recurrence relation; this leads to a Bayesian recurrent unit with a prescribed feedback formulation. We show that introduction of a context in…
We propose a novel estimation procedure for scale-by-scale lead-lag relationships of financial assets observed at high-frequency in a non-synchronous manner. The proposed estimation procedure does not require any interpolation processing of original datasets and is applicable to those with highest time resolution avail…
A new model classifies multi-lead ECGs better than single-channel models.
Generates music with coherent rhythm, chords, and melody using LSTM models.
We consider the minimization of submodular functions subject to ordering constraints. We show that this optimization problem can be cast as a convex optimization problem on a space of uni-dimensional measures, with ordering constraints corresponding to first-order stochastic dominance. We propose new discretization sch…
We call a manifold with torsion and nonmetricity the metric-affine manifold. The nonmetricity leads to a difference between the auto parallel line and the extreme line, and to a change in the expression of the Frenet transport and moving basis. The torsion leads to a change in the Killing equation. We also need to add …
The role of automatic electrocardiogram (ECG) analysis in clinical practice is limited by the accuracy of existing models. Deep Neural Networks (DNNs) are models composed of stacked transformations that learn tasks by examples. This technology has recently achieved striking success in a variety of task and there are gr…