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.
Test-asset construction affects factor model performance.
Geometric model for Hodge filtered complex cobordism constructed.
We study the performance of the adaptive construction scheme for a Bayesian inference on the Quadratic GARCH model which introduces the asymmetry in time series dynamics. In the adaptive construction scheme a proposal density in the Metropolis-Hastings algorithm is constructed adaptively by changing the parameters of t…
We perform Markov chain Monte Carlo simulations for a Bayesian inference of the GJR-GARCH model which is one of asymmetric GARCH models. The adaptive construction scheme is used for the construction of the proposal density in the Metropolis-Hastings algorithm and the parameters of the proposal density are determined ad…
This short note provides a systematic construction of market models without unbounded profits but with arbitrage opportunities.
The twist construction is a geometric model of T-duality that includes constructions of nilmanifolds from tori. This paper shows how one-dimensional foliations on manifolds may be used in a shear construction, which in algebraic form builds certain solvable Lie groups from Abelian ones. We discuss other examples of geo…
Method uses network biology to construct gene expression models for cancer.
Construct geometric interpretation of Heston model using group quantization.
Study constructs a Japanese financial LLM benchmark.
We obtain a constructive criterion for robust no-arbitrage in discrete-time market models with transaction costs. This criterion is expressed in terms of the supports of the regular conditional upper distributions of the solvency cones. We also consider the model with a bank account. A method for construction of arbitr…
A theoretical framework that supports automated construction of dynamic prime models purely from experimental time series data has been invented and developed, which can automatically generate (construct) data-driven models of any time series data in seconds. This has resulted in the formulation and formalisation of ne…
In this article, we will discuss a new operator on and to construct a new Cartan model for equivariant cohomology. We use the new Cartan model to construct the corresponding BRST model and Weil model, and discuss the relations between them.
A Bayesian estimation of a GARCH model is performed for US Dollar/Japanese Yen exchange rate by the Metropolis-Hastings algorithm with a proposal density given by the adaptive construction scheme. In the adaptive construction scheme the proposal density is assumed to take a form of a multivariate Student's t-distributi…
A new construction of naturally reductive spaces is presented. This construction gives a large amount of new families of naturally reductive spaces. First the infinitesimal models of the new naturally reductive spaces are constructed. A concrete transitive group of isometries is given for the new spaces and also the na…
Levy copulas are the most general concept to capture jump dependence in multivariate Levy processes. They translate the intuition and many features of the copula concept into a time series setting. A challenge faced by both, distributional and Levy copulas, is to find flexible but still applicable models for higher dim…
Two constructions of Chern character for equivariant vector bundles in noncommutative geometry.
We review the AKSZ construction as applied to the topological open membranes and Poisson sigma models. We describe a generalization to open topological p-branes and Nambu-Poisson sigma models.
In credit risk literature, the existence of an equivalent martingale measure is stipulated as one of the main assumptions in the hazard process model. Here we show by construction the existence of a measure that turns the discounted stock and defaultable bond prices into martingales by identifying a no-arbitrage condit…
New -instantons constructed on Joyce's manifold.
The paper presents a framework for optimizing crypto-currency portfolios using generative models.
Extends AKSZ construction to supermanifolds with integral forms, deriving sigma model terms.
This thesis tackles Gaussian Process challenges in low dimensions.
We propose a method to construct a proposal density for the Metropolis-Hastings algorithm in Markov Chain Monte Carlo (MCMC) simulations of the GARCH model. The proposal density is constructed adaptively by using the data sampled by the MCMC metho d itself. It turns out that autocorrelations between the data generated …
We construct a binomial tree model fitting all moments to the approximated geometric Brownian motion. Our construction generalizes the classical Cox-Ross-Rubinstein, the Jarrow-Rudd, and the Tian binomial tree models. The new binomial model is used to resolve a discontinuity problem in option pricing.
We give an explicit algorithm and source code for constructing risk models based on machine learning techniques. The resultant covariance matrices are not factor models. Based on empirical backtests, we compare the performance of these machine learning risk models to other constructions, including statistical risk mode…
The paper develops models for asset returns based on market conditions and uses them to construct a trading policy.
New method constructs confidence sets for GLMs via game theory.
We give a complete algorithm and source code for constructing general multifactor risk models (for equities) via any combination of style factors, principal components (betas) and/or industry factors. For short horizons we employ the Russian-doll risk model construction to obtain a nonsingular factor covariance matrix.…
This is a review of how sigma models formulated in Superspace have become important tools for understanding geometry. Topics included are: The (hyper)kähler reduction; projective superspace; the generalized Legendre construction; generalized Kähler geometry and constructions of hyperkähler metrics on Hermitean symmetri…
We investigate coresets - succinct, small summaries of large data sets - so that solutions found on the summary are provably competitive with solution found on the full data set. We provide an overview over the state-of-the-art in coreset construction for machine learning. In Section 2, we present both the intuition be…
This is the first in a series of papers constructing geometric models of twisted differential K-theory. In this paper we construct a model of even twisted differential K-theory when the underlying topological twist represents a torsion class. By differential twists we will mean smooth U(1)-gerbes with connection, and w…
This paper aims to propose a novel deep learning-integrated framework for deriving reliable simulation input models through incorporating multi-source information. The framework sources and extracts multisource data generated from construction operations, which provides rich information for input modeling. The framewor…
This is an introductory review of topological field theories (TFTs) called AKSZ sigma models. The AKSZ construction is a mathematical formulation for the construction and analyses of a large class of TFTs, inspired by the Batalin-Vilkovisky formalism of gauge theories. We begin by considering a simple two-dimensional t…
The portfolio optimization problem is a basic problem of financial analysis. In the study, an optimization model for constructing an options portfolio with a certain payoff function has been proposed. The model is formulated as an integer linear programming problem and includes an objective payoff function and a system…
Diffolio uses a diffusion model for multivariate financial forecasting and portfolio construction.
The purpose of this paper is to present a ``Cech-De Rham'' model for the cohomology of leaf spaces. This model lends itself to the construction of characteristic classes (in the cohomology of classifying spaces) by explicit geometrical constructions which are immediate extensions of the standard constructions for manif…
Here we generalize the Gromoll-Meyer construction of an exotic 7-sphere by producing geometric models of exotic 8, 10 and Kervaire spheres as quotients of sphere bundles over spheres by free isometric actions. We give a geometric application at the end.
Find limiting sets for digital cones and suspensions.
Constructs a combinatorial model for bordered Riemann surfaces with a compactification.
CleverHans is a software library that provides standardized reference implementations of adversarial example construction techniques and adversarial training. The library may be used to develop more robust machine learning models and to provide standardized benchmarks of models' performance in the adversarial setting. …
The paper discusses building ETF risk models using a multilevel classification taxonomy.
New method calibrates local volatility models to marginal distributions.
The paper constructs noncompact hyperbolic surfaces with uniform spectral gaps using random graph models.
In [AU2] we constructed the vacua modular functor based on the sheaf of vacua theory developed in [TUY] and the abelian analog in [AU1]. We here provide an explicit isomorphism from the modular functor underlying the skein-theoretic model for the Witten-Reshetikhin-Turaev TQFT due to Blanchet, Habbeger, Masbaum and Vog…
Constructs geometric models for moduli spaces of Higgs bundles over Riemann sphere.
Constructs supermartingale couplings with full marginals constraints.
Deep neural networks improve portfolio construction by jointly modeling returns and risks.
The paper construct a suitable generalized metrical multi-time Lagrange geometrical model for both gravitational and electromagnetic fields, in a general setting. In this construction, the gravitational potentials are described by a distinguished vertical metrical tensor of the form .