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.
Bayesian framework explains price formation with learning and market impact.
Bayesian theory explains market impact of large trades.
AI traders learn to exploit meta-orders from slower traders, increasing their profits.
Revisiting Trade-sign Long-memory and Square-root Law price impact
Using a proprietary dataset of meta-orders and prediction signals, and assuming a quasi-linear impact model, we deconvolve market impact from past correlated trades and a predictable return component to elicit the temporal dependence of the market impact of a single daily meta-order, over a ten day horizon in various e…
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…
Using more than 6.7 billions of trades, we explore how the tick-by-tick dynamics of limit order books depends on the aggregate actions of large investment funds on a much larger (quarterly) timescale. In particular, we find that the well-established long memory of market order signs is markedly weaker when large invest…
In this paper, we use a database of around 400,000 metaorders issued by investors and electronically traded on European markets in 2010 in order to study market impact at different scales. At the intraday scale we confirm a square root temporary impact in the daily participation, and we shed light on a duration factor …
RL optimizes meta-order execution by adapting to market conditions.
This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship between the order flow and the fundamental price (i.e. the local price impact) is …
This note complements the inspiring work on dimensional analysis and market microstructure by Kyle and Obizhaeva [18]. Following closely these authors, our main result shows by a similar argument as usually applied in physics the following remarkable fact. If the market impact of a meta-order only depends on four well-…
We study optimal liquidation of a trading position (so-called block order or meta-order) in a market with a linear temporary price impact (Kyle, 1985). We endogenize the pressure to liquidate by introducing a downward drift in the unaffected asset price while simultaneously ruling out short sales. In this setting the l…
We propose a minimal theory of non-linear price impact based on a linear (latent) order book approximation, inspired by diffusion-reaction models and general arguments. Our framework allows one to compute the average price trajectory in the presence of a meta-order, that consistently generalizes previously proposed pro…
We present an extended version of the recently proposed "LLOB" model for the dynamics of latent liquidity in financial markets. By allowing for finite cancellation and deposition rates within a continuous reaction-diffusion setup, we account for finite memory effects on the dynamics of the latent order book. We compute…
We introduce a multivariate Hawkes process that accounts for the dynamics of market prices through the impact of market order arrivals at microstructural level. Our model is a point process mainly characterized by 4 kernels associated with respectively the trade arrival self-excitation, the price changes mean reversion…
Our goal in this paper is to study the market impact in a market in which the order flow is autocorrelated. We build a model which explains qualitatively and quantitatively the empirical facts observed so far concerning market impact. We define different notions of market impact, and show how they lead to the different…
SPlit optimizes dataset splitting for better model performance.
The paper extends keenness concept to bridge splittings and finds conditions for existence.
Non-split almost complex supermanifolds and non-split Riemannian supermanifolds are studied. The first obstacle for a splitting is parametrized by group orbits on an infinite dimensional vector space. Further it is shown that non-split structures appear in the first case as deformations of a split reduction and in the …
Study flippable Heegaard splittings in Seifert fibered spaces.
We study the self-dual Yang-Mills equations in split signature. We give a special solution, called the basic split instanton, and describe the ADHM construction in the split signature. Moreover a split version of t'Hooft ansatz is described.
Paper proposes a novel SVM method for creating survival trees.
New methods improve prediction regions for high-dimensional data.
New spheres can split a 4D link in ways not possible in 3D.
This paper studies properties of weak reducing pairs in critical Heegaard splittings.
We show that if a split link is obtained from a split link in by -Dehn surgery along a trivial knot , then the link is splittable. That is to say, it is impossible to obtain a split link from a split link via a non-trivial twisting. As its corollary, we completely determine when a trivial li…
Study evaluates when splitting classifiers can improve performance despite disparate treatment.
New methods convert complex link presentations to simpler, recognizable forms.
The splitting number of a link is the minimal number of crossing changes between different components required, on any diagram, to convert it to a split link. We introduce new techniques to compute the splitting number, involving covering links and Alexander invariants. As an application, we completely determine the sp…
New proof of Lorentzian splitting theorems using elliptic operators.
Little is known on the classification of Heegaard splittings for hyperbolic 3-manifolds. Although Kobayashi gave a complete classification of Heegaard splittings for the exteriors of 2-bridge knots, our knowledge of other classes is extremely limited. In particular, there are very few hyperbolic manifolds that are know…
New proof of Giroux Correspondence for tight contact 3-manifolds.
Let M_1 and M_2 be compact, orientable 3-manifolds, and M the manifold obtained by gluing some component F of \bdy M_1 to some component of \bdy M_2 by a homeomorphism φ. We show that when φis "sufficiently complicated" then (1) the amalgamation of low genus, unstabilized, boundary-unstabilized Heegaard splittings of M…
Minimal splitting factors help study scalar curvature constraints.
Non-isotopic Heegaard splittings of non-minimal genus were known previously only for very special 3-manifolds. We show in this paper that they are in fact a wide spread phenomenon in 3-manifold theory: We exhibit a large class of knots and manifolds obtained by Dehn surgery on these knots which admit such splittings. M…
Introduces nonlinear splittings on fibre bundles for generalizing connections.
We define a notion of Hempel distance for one-sided Heegaard splittings and show that the existence of alternate surfaces restricts distance for one-sided splittings in a manner similar to Hartshorn's and Scharlemann-Tomova's results for two-sided splittings. We also show that every geometrically compressible one-sided…
New method escapes local optima in neural architecture optimization.
We explicitly compute the lower algebraic K-theory of the split three-dimensional crystallographic groups; i.e., the groups G that act properly and cocompactly on three-dimensional Euclidean space by isometries, such that the natural map from G to O(3) is a split injection onto its image. There are 73 split three-dimen…
We describe an example of a closed orientable 3-manifold with distinct distance three genus two Heegaard splittings. This demonstrates that the constructions of alternate genus two Heegaard splittings of closed orientable 3-manifolds described by Rubinstein and Scharlemann in their 1998 paper Genus Two Heegaard Splitti…
Casson and Gordon gave the rectangle condition for strong irreducibility of Heegaard splittings [1]. We give a parity condition for irreducibility of Heegaard splittings of irreducible manifolds. As an application, we give examples of non-stabilized Heegaard splittings by doing a single Dehn twist.
Using basic properties of one-sided Heegaard splittings, a direct proof that geometrically compressible one-sided splittings of RP^3 are stabilised is given. The argument is modelled on that used by Waldhausen to show that two-sided splittings of S^3 are standard.
New approach connects stochastic gradient descent to ODE splitting schemes.
Let M be a totally orientable graph manifold with characteristic submanifold T and let M = V cup_S W be a Heegaard splitting. We prove that S is standard. In particular, S is the amalgamation of strongly irreducible Heegaard splittings. The splitting surfaces S_i of these strongly irreducible Heegaard splittings have t…
The splitting number of a link is the minimum number of crossing changes between distinct components that is required to convert the link into a split link. We provide a bound on the splitting number in terms of the four-genus of related knots.
Extend Kauffman bracket skein module to homology theory using Heegaard splittings
A new method for kernel tests without data splitting increases power.
This paper studies Heegaard splittings of surface bundles via the curve complex of the fibre. The translation distance of the monodromy is the smallest distance it moves any vertex of the curve complex. We prove that the translation distance is bounded above in terms of the genus of any strongly irreducible Heegaard sp…