arXiv research

The paper tackles attributing forecast gaps in complex model suites.

Attributing forecast gaps to component models in complex model suites

Proposes resilience metrics for large blackout costs with logarithmic resilience.

The paper explores global index formulas for one-dimensional holomorphic foliations.

Localizes Wodzicki residue for logarithm of differential operators.

Model monthly VIX and stock returns using log-Heston model.

Proves inequality for submanifolds with constant mean curvature.

A spring-block chain placed on a running conveyor belt is considered for modeling stylized facts observed in the dynamics of stock indexes. Individual stocks are modeled by the blocks, while the stock-stock correlations are introduced via simple elastic forces acting in the springs. The dragging effect of the moving be…

We present a simple dynamical model of stock index returns which is grounded on the ability of the Cyclically Adjusted Price Earning (CAPE) valuation ratio devised by Robert Shiller to predict long-horizon performances of the market. More precisely, we discuss a discrete time dynamics in which the return growth depends…

We study the Kaehler metric given by the logarithm of a cubic form on its complexified index cone. Under mirror symmetry, this metric should asymptotically correspond to the Weil-Petersson metric. Using the theory of special Kaehler manifolds, a proof of a curvature formula for this metric is given.

The paper analyzes competition among fund managers using excess logarithmic returns and constructs games to find optimal allocations.

We study methods for aggregating pairwise comparison data in order to estimate outcome probabilities for future comparisons among a collection of n items. Working within a flexible framework that imposes only a form of strong stochastic transitivity (SST), we introduce an adaptivity index defined by the indifference se…

Study on singularity behavior of mean curvature flow with bounded curvature and index.

The paper covers the new model of wage distribution in typical group of people. The model provides the opportunity to reparameterize applicable income distribution model: Pareto, logarithmically normal, logarithmically logistic, Dagum etc. The model ensures the graduation of Gini index values by polynomial degree of wa…

Characterizes the local diffeomorphism structure of the exponential in the set of skew-symmetric matrices.

In the spirit of the emergent field of econophysics, a goodness-of-fit test for the Power-Law distribution, based on the Empirical Distribution Function (EDF) is presented, and related problems are discussed. An analysis of the tail behaviour of the daily logarithmic variation of the Mexican Stock Market Index (IPC), s…

Sharp inequality for submanifolds in curved spaces.

Logarithmic regret for continuous-time reinforcement learning.

The paper addresses portfolio allocation with uncertain covariance matrices, finding a logarithmic risk dependence.

Study shows polynomial-width neural networks can closely approximate infinite-width networks in polynomial time.

Optimism stabilizes Thompson Sampling for adaptive inference in multi-armed bandits.

The paper develops adaptive deep learning methods for nonlinear time series models.

We prove a sharp logarithmic Sobolev inequality which holds for submanifolds in Euclidean space of arbitrary dimension and codimension. Like the Michael-Simon Sobolev inequality, this inequality includes a term involving the mean curvature.

We consider unbranched Willmore surfaces in the Euclidean space that arise as inverted complete minimal surfaces with embedded planar ends. Several statements are proven about upper and lower bounds on the Morse Index - the number of linearly independent variational directions that locally decrease the Willmore energy.…

In 1968, Simons introduced the concept of index for hypersurfaces immersed into the Euclidean sphere S^{n+1}. Intuitively, the index measures the number of independent directions in which a given hypersurface fails to minimize area. The earliest results regarding the index focused on the case of minimal hypersurfaces. …

We compute lower bounds for the Morse index and nullity of constant mean curvature tori of revolution in the three-dimensional unit sphere. In particular, all such tori have index at least five, with index growing at least linearly with respect to the number of the surfaces' bulges, and the index of such tori can be ar…

New algorithm reduces regret in infinitely many-armed bandits with decreasing rewards.

Study bounds CMC surface index in 3-manifolds using energy.

We establish the longtime existence and convergence results of the mean curvature flow of entire Lagrangian graphs in Pseudo-Euclidean space which is related to Logarithmic gradient flow.

Finite-time queue peaks in stochastic networks have logarithmic scaling after geometric thresholds.

We introduce a notion of index for shrinkers of the mean curvature flow. We then prove a gap theorem for the index of rotationally symmetric immersed shrinkers in R^3, namely, that such shrinkers have index at least 3, unless they are one of the stable ones: the sphere, the cylinder, or the plane. We also provide a gen…

Finite index constant mean curvature hypersurfaces are minimal or hyperplanes.

New bounds on genus and area for CMC surfaces in 3-manifolds.

Proves a Baum--Bott formula for foliations by curves with logarithmic terms.

We derive new results related to the portfolio choice problem for power and logarithmic utilities. Assuming that the portfolio returns follow an approximate log-normal distribution, the closed-form expressions of the optimal portfolio weights are obtained for both utility functions. Moreover, we prove that both optimal…

Study of metrics on positive-definite matrices from power potential, linking to power means.

We prove index estimates for closed and free boundary CMC surfaces in certain $3$-dimensional submanifolds of some Euclidean space. When the mean curvature is large enough we are able to prove that the index of a CMC surface in an arbitrary $3$-manifold is bounded below by a linear function of its genus.

In this paper, we consider compact free boundary constant mean curvature surfaces immersed in a mean convex body of the Euclidean space or in the unit sphere. We prove that the Morse index is bounded from below by a linear function of the genus and number of boundary components.

Ancient mean curvature flows start from unstable minimal hypersurfaces.

Modeling price dynamics in response to order flow imbalance in Chinese futures markets.

We show that the index of a constant mean curvature 1 surface in hyperbolic 3-space is completely determined by the compact Riemann surface and secondary Gauss map that represent it in Bryant's Weierstrass representation. We give three applications of this observation. Firstly, it allows us to explicitly compute the in…

The paper bounds the energy index of harmonic Gauss maps on surfaces.

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…

New validity index for fuzzy-possibilistic c-means clustering.

Sharp $L^p$-logarithmic-Sobolev inequalities on submanifolds with applications to hypercontractivity.

In this paper we give the precise index growth for the embedded hypersurfaces of revolution with constant mean curvature (cmc) 1 in $\R^{n}$ (Delaunay unduloids). When $n=3$, using the asymptotics result of Korevaar, Kusner and Solomon, we derive an explicit asymptotic index growth rate for finite topology cmc 1 surfac…

Given a proper, cocompact action of a Lie groupoid, we define a higher index pairing between invariant elliptic differential operators and smooth groupoid cohomology classes. We prove a cohomological index formula for this pairing by applying the van Est map and algebraic index theory. Finally we discuss in examples th…

We investigate the variety of a portfolio of stocks in normal and extreme days of market activity. We show that the variety carries information about the market activity which is not present in the single-index model and we observe that the variety time evolution is not time reversal around the crash days. We obtain th…