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.
Proposes Moment Exchange to use moments in image recognition models, improving generalization.
We evaluate the average waiting time between observing the price of financial markets and the next price change, especially in an on-line foreign exchange trading service for individual customers via the internet. Basic technical idea of our present work is dependent on the so-called renewal-reward theorem. Assuming th…
We calculate realized volatility of the Nikkei Stock Average (Nikkei225) Index on the Tokyo Stock Exchange and investigate the return dynamics. To avoid the bias on the realized volatility from the non-trading hours issue we calculate realized volatility separately in the two trading sessions, i.e. morning and afternoo…
We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift. The realized third and fourth moments variations computed from high frequency return series are good approximations to corresponding actual …
We prove a computable version of de Finetti's theorem on exchangeable sequences of real random variables. As a consequence, exchangeable stochastic processes expressed in probabilistic functional programming languages can be automatically rewritten as procedures that do not modify non-local state. Along the way, we pro…
We select n stocks traded in the New York Stock Exchange and we form a statistical ensemble of daily stock returns for each of the k trading days of our database from the stock price time series. We analyze each ensemble of stock returns by extracting its first four central moments. We observe that these moments are fl…
Using a relationship between the moments of the probability distribution of times between the two consecutive trades (intertrade time distribution) and the moments of the distribution of a daily number of trades we show, that the underlying point process generating times of the trades is an essentially non-markovian lo…
Paper defines new risk measures for elliptical distributions.
Using a relationship between the moments of the probability distribution of times between the two consecutive trades (intertrade time distribution) and the moments of the distribution of a daily number of trades we show, that the underlying point process is essentially non-markovian. A detailed analysis of all trades i…
The third moment variation of a financial asset return process is defined by the quadratic covariation between the return and square return processes. The skew and fat tail risk of an underlying asset can be hedged using a third moment variation swap under which a predetermined fixed leg and the floating leg of the rea…
New method detects data distribution changes and retraining is advised.
We study the Heston-Cox-Ingersoll-Ross++ stochastic-local volatility model in the context of foreign exchange markets and propose a Monte Carlo simulation scheme which combines the full truncation Euler scheme for the stochastic volatility component and the stochastic domestic and foreign short interest rates with the …
In this paper, the valuation of European and path-dependent options in foreign exchange (FX) markets is considered when the currency exchange rate evolves according to the Heston model combined with the Cox-Ingersoll-Ross dynamics for the stochastic domestic and foreign short interest rates. The mixed Monte Carlo/PDE m…
Unified framework for FDR control in knockoffs, validating Gaussian knockoffs.
Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has always presented challenging issues and provided interesting findings, such as the inverse cubic law in the tails of stock price fluctuation di…
A new family of conformal test martingales based on Legendre polynomials for online exchangeability testing.
Market-based asset price probability depends on trade volumes and values, improving forecasts and reliability.
We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the stocks traded in the New York Stock Exchange to form a statistical ensemble of daily stock returns. For each tradin…
Symmetry-electronic fingerprints reveal competing magnetic phases in two-dimensional materials.
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of obligors, a set of idiosyncratic shocks and a shock that triggers the default of all them. All shocks are assumed to be linked by a dependence relationship, that in …
Paper develops efficient DML estimators for multiway clustered data without cross-fitting.
We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company capitalization. We show that the second moment of the traded value distribution is finite. Co…
We review some aspects, especially those we can tackle analytically, of a minimal model of closed economy analogous to the kinetic theory model of ideal gases where the agents exchange wealth amongst themselves such that the total wealth is conserved, and each individual agent saves a fraction (0 < lambda < 1) of wealt…
We consider the structure functions S^(q)(T), i.e. the moments of order q of the increments X(t+T)-X(t) of the Foreign Exchange rate X(t) which give clear evidence of scaling (S^(q)(T)~T^z(q)). We demonstrate that the nonlinearity of the observed scaling exponent z(q) is incompatible with monofractal additive stochasti…
The difficulty of multi-class classification generally increases with the number of classes. Using data from a subset of the classes, can we predict how well a classifier will scale with an increased number of classes? Under the assumption that the classes are sampled exchangeably, and under the assumption that the cla…
The exchange algorithm is studied for its convergence and asymptotic variance.
Study on pricing American Exchange options using Lévy processes.
A new method calculates fractional moments using the moment-generating function.
Study compares weak and homotopy moment maps in multisymplectic geometry.
Optimal crypto order execution using cross-exchange signals.
For a GJR-GARCH specification with a generic innovation distribution we derive analytic expressions for the first four conditional moments of the forward and aggregated returns and variances. Moment for the most commonly used GARCH models are stated as special cases. We also the limits of these moments as the time hori…
We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets belonging to Daubechies basis. The fact that these basis sets satisfy vanishing moments conditions makes them ideal to …
This paper identifies and bounds ICE central moments using PO marginal central moments.
We tackle causal inference under conditional moment restrictions using importance weighting.
Revisits Lee's Moment Formula, relaxing moment assumptions for implied volatility.
A new model uses a Levy-driven process to value credit index swaptions.
Developed moment estimators for affine stochastic volatility models.
New method identifies uncertainty shocks in financial markets using revised VIX.
Stiefel-Whitney classes of moment-angle manifolds are trivial.
A new method for estimating causal parameters from observables reduces the need for finite moment conditions.
Study exchange option pricing with stochastic volatility and correlation.
Introduces generalized moment maps for almost Hermitian settings.
New models reduce regional inequality by adjusting exchange range and asset distribution bias.
New KCM tests improve specification testing via RKHS.
A known failing of many popular random graph models is that the Aldous-Hoover Theorem guarantees these graphs are dense with probability one; that is, the number of edges grows quadratically with the number of nodes. This behavior is considered unrealistic in observed graphs. We define a notion of edge exchangeability …
Constructs a moment map flow for isotropic maps on surfaces.
A new method of moments estimator goes beyond data reweighting.
Moment Pooling reduces latent space dimensions in machine learning models.