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.
AdaPart efficiently samples permanent distributions, improving tracking performance.
Proves Seidel's conjectures about ideal tetrahedra in hyperbolic 3-space.
Paper improves likelihood estimation for discrete distributions.
Efficiently approximates profile maximum likelihood for better estimation performance.
The paper models and analyzes faults in TPU-based neural networks.
We introduce the notion of regular finite decomposition complexity of a metric family. This generalizes Gromov's finite asymptotic dimension and is motivated by the concept of finite decomposition complexity (FDC) due to Guentner, Tessera and Yu. Regular finite decomposition complexity implies FDC and has all the perma…
There are two schools of thought regarding market impact modeling. On the one hand, seminal papers by Almgren and Chriss introduced a decomposition between a permanent market impact and a temporary (or instantaneous) market impact. This decomposition is used by most practitioners in execution models. On the other hand,…
It can be conjectured that the colored Jones function of a knot can be computed in terms of counting paths on the graph of a planar projection of a knot. On the combinatorial level, the colored Jones function can be replaced by its weight system. We give two curious formulas for the weight system of a colored Jones fun…
The paper analyzes optimal liquidation strategies for cryptocurrencies considering both temporary and permanent price impacts.
New network learns non-parametric invariances from data.
Spiking neural networks enable efficient approximate Bayesian inference via permanent dropout.
Stochastic discount factor (SDF) processes in dynamic economies admit a permanent-transitory decomposition in which the permanent component characterizes pricing over long investment horizons. This paper introduces an empirical framework to analyze the permanent-transitory decomposition of SDF processes. Specifically, …
We study the relaxation dynamics of the bid-ask spread and of the midprice after a sudden, large variation of the spread, corresponding to a temporary crisis of liquidity in a double auction financial market. We find that the spread decays very slowly to its normal value as a consequence of the strategic limit order pl…
In the area of traditional physics the atomic nucleus belongs to the most complex systems. It involves essentially all elements that characterize complexity including the most distinctive one whose essence is a permanent coexistence of coherent patterns and of randomness. From a more interdisciplinary perspective, thes…
We consider a financial model with permanent price impact. Continuous time trading dynamics are derived as the limit of discrete rebalancing policies. We then study the problem of super-hedging a European option. Our main result is the derivation of a quasi-linear pricing equation. It holds in the sense of viscosity so…
Dynamic sparseness reduces neural network computation by selectively omitting parts of computations.
Optimal strategy for liquidating portfolios under discrete time intervals.
Certain theoretical aspects of vector autoregression (VAR) as tools to model economic time series are revised, in particular their capacity to include both short term and long term information. The VAR model, in its error correction form, is derived and the permanent-transitory decomposition of factors proposed by Gonz…
We solve a multi-period portfolio optimization problem using D-Wave Systems' quantum annealer. We derive a formulation of the problem, discuss several possible integer encoding schemes, and present numerical examples that show high success rates. The formulation incorporates transaction costs (including permanent and t…
In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on all variables including control and market regime. There is also a local nonlinear transaction cost associated to the liquidation. The mode…
I survey methods from differential geometry, algebraic geometry and representation theory relevant for the permanent v. determinant problem from computer science, an algebraic analog of the P v. NP problem.
We model a nonlinear price curve quoted in a market as the utility indifference curve of a representative liquidity supplier. As the utility function we adopt a g-expectation. In contrast to the standard framework of financial engineering, a trader is no more price taker as any trade has a permanent market impact via a…
This study evaluates machine learning models for precise temperature estimation in PMSMs.
This study examines how market makers balance risk and impact in foreign exchange markets.
We prove that for spacetimes solving the Einstein-Maxwell (EM) equations, the electromagnetic field contributes at highest order to the nonlinear memory effect of gravitational waves. In [5] D. Christodoulou showed that gravitational waves have a nonlinear memory. He discussed how this effect can be measured as a perma…
We study the market impact of a meta-order in the framework of the Minority Game. This amounts to studying the response of the market when introducing a trader who buys or sells a fixed amount h for a finite time T. This perturbation introduces statistical arbitrages that traders exploit by adapting their trading strat…
Paper explores ML for UV spectra, showing transferability in chemical space.
Market impact has become a subject of increasing concern among academics and industry experts. We put forward a price impact model which considers the heteroscedasticity of price in the time dimension and dependency between permanent impact and temporary impact. We discuss and derive the extremum of the expectation of …
New algorithm clusters data from full or incomplete datasets.
Optimizes liquidations in decentralized finance to manage credit risk.
Model strategic interactions between market makers and traders to optimize execution.
Two strategic agents track their portfolios, influencing each other's trading targets.
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder size, i.e., the impact per share of large metaorders is smaller than that…
Transient market impact explained via Nash equilibrium in a game.
In this paper we formulate the now classical problem of optimal liquidation (or optimal trading) inside a Mean Field Game (MFG). This is a noticeable change since usually mathematical frameworks focus on one large trader in front of a "background noise" (or "mean field"). In standard frameworks, the interactions betwee…
Optimizes Ethena's yield strategy by controlling stETH and ETH futures positions.
Study on trainability of ReLU networks and proposes data-dependent initialization method.
Optimal liquidation using VWAP strategies has been considered in the literature, though never in the presence of permanent market impact and only rarely with execution costs. Moreover, only VWAP strategies have been studied and the pricing of guaranteed VWAP contracts has never been addressed. In this article, we devel…
Sunshine trading theory predicts lower execution costs and liquidity provision through explicit preannouncements, but evidence is scarce in traditional markets.
We consider a stochastic model of investment on an asset of a stock market for a prudent investor. She decides to buy permanent goods with a fraction $\a$ of the maximum amount of money owned in her life in order that her economic level never decreases. The optimal strategy is obtained by maximizing the exponential gro…
Privacy-preserving continual learning for hospitals.
We define what "Price Impact" means, and how it is measured and modelled in the recent literature. Although this notion seems to convey the idea of a forceful and intuitive mechanism, we discuss why things might not be that simple. Empirical studies show that while the correlation between signed order flow and price ch…
Improved algorithm for logistic bandits with better regret bounds.
We introduce a wide category of superspaces, called locally finitely generated, which properly includes supermanifolds but enjoys much stronger permanence properties, as are prompted by applications. Namely, it is closed under taking finite fibre products (i.e. is finitely complete) and thickenings by spectra of Weil s…
In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves with the imbalance of buyer vs. seller initiated transactions. For example, duri…
Proves existence of manifolds with Kervaire invariant one in specific dimensions.
The article provides formulas to hedge impermanent loss in decentralized markets.
We study the fundamental tradeoffs between computational tractability and statistical accuracy for a general family of hypothesis testing problems with combinatorial structures. Based upon an oracle model of computation, which captures the interactions between algorithms and data, we establish a general lower bound tha…