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.
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.
A new metric assesses latent variable models using data and model moments.
We consider a particular instance of a common problem in recommender systems: using a database of book reviews to inform user-targeted recommendations. In our dataset, books are categorized into genres and sub-genres. To exploit this nested taxonomy, we use a hierarchical model that enables information pooling across a…
The weak variance-alpha-gamma process is a multivariate Lévy process constructed by weakly subordinating Brownian motion, possibly with correlated components with an alpha-gamma subordinator. It generalises the variance-alpha-gamma process of Semeraro constructed by traditional subordination. We compare three calibrati…
A new filter reduces density fitting to a linear solve, improving performance on nonlinear systems.
GEM-T generates synthetic tabular data by fitting moments, outperforming neural networks.
QEM uses parallel importance weighting for fast approximate Bayesian inference.
Empower efficient representation of distributions through moment-preserving methods.
moment maps arise as a generalization of genuine moment maps on symplectic manifolds when the symplectic structure is discarded, but the relation between the mapping and the action is kept. Particular examples of abstract moment maps had been used in Hamiltonian mechanics for some time, but the abstract notion originat…
New KSDs control moments in approximations, improving diagnostics and tests.
Paper develops efficient DML estimators for multiway clustered data without cross-fitting.
We extend the classical Cox-Ross-Rubinstein binomial model in two ways. We first develop a binomial model with time-dependent parameters that equate all moments of the pricing tree increments with the corresponding moments of the increments of the limiting Itô price process. Second, we introduce a new trinomial model i…
New model uses variance-Hawkes process to fit energy market returns.
Suppose centers are fit to points by heuristically minimizing the -means cost; what is the corresponding fit over the source distribution? This question is resolved here for distributions with bounded moments; in particular, the difference between the sample cost and distribution cost decays with $…
We derive expressions for the first three moments of the decision time (DT) distribution produced via first threshold crossings by sample paths of a drift-diffusion equation. The "pure" and "extended" diffusion processes are widely used to model two-alternative forced choice decisions, and, while simple formulae for ac…
The paper introduces a method for fitting complex models using simulation and optimization.
A moment constraint that limits the number of dividends in the optimal dividend problem is suggested. This leads to a new type of time-inconsistent stochastic impulse control problem. First, the optimal solution in the precommitment sense is derived. Second, the problem is formulated as an intrapersonal sequential dyna…
In this paper we introduce an efficient fat-tail measurement framework that is based on the conditional second moments. We construct a goodness-of-fit statistic that has a direct interpretation and can be used to assess the impact of fat-tails on central data conditional dispersion. Next, we show how to use this framew…
A new method for assessing Bayesian sampling quality, PSD, is proposed and shown to be more powerful and efficient.
Any optimization algorithm based on the risk parity approach requires the formulation of portfolio total risk in terms of marginal contributions. In this paper we use the independence of the underlying factors in the market to derive the centered moments required in the risk decomposition process when the modified vers…
We extend the correspondence between Poisson maps and actions of symplectic groupoids, which generalizes the one between momentum maps and hamiltonian actions, to the realm of Dirac geometry. As an example, we show how hamiltonian quasi-Poisson manifolds fit into this framework by constructing an ``inversion'' procedur…
A financial model without short-selling shows deviations from normality.
We discuss modelling of SPX and DAX index option prices using the Shifted Log-Normal (SLN) model, (also known as Displaced Diffusion), and the SABR model. We found out that for SPX options, an example of strongly skewed option prices, SLN can produce a quite accurate fit. Moreover, for both types of index options, the …
In this paper we introduce a new approach to topic modelling that scales to large datasets by using a compact representation of the data and by leveraging the GPU architecture. In this approach, topics are learned directly from the co-occurrence data of the corpus. In particular, we introduce a novel mixture model whic…
FORE evaluates occupancy ratios without requiring Bellman completeness.
We present a detailed analysis of \emph{observable} moments based parameter estimators for the Heston SDEs jointly driving the rate of returns and the squared volatilities . Since volatilities are not directly observable, our parameter estimators are constructed from empirical moments of realized volatilitie…
The statistical description and modeling of volatility plays a prominent role in econometrics, risk management and finance. GARCH and stochastic volatility models have been extensively studied and are routinely fitted to market data, albeit providing a phenomenological description only. In contrast, the field of econop…
Modern statistical inference tasks often require iterative optimization methods to compute the solution. Convergence analysis from an optimization viewpoint only informs us how well the solution is approximated numerically but overlooks the sampling nature of the data. In contrast, recognizing the randomness in the dat…
This paper proposes the k-generalized distribution as a model for describing the distribution and dispersion of income within a population. Formulas for the shape, moments and standard tools for inequality measurement - such as the Lorenz curve and the Gini coefficient - are given. A method for parameter estimation is …
Spectral method speeds fitting of binary time series models.
New method for estimating covariance with robustness to outliers.
The paper extends RDPG model to handle weighted graphs, enabling better analysis of network data.
Unified approach to domain generalization by aligning gradients and Hessians.
We propose SWA-Gaussian (SWAG), a simple, scalable, and general purpose approach for uncertainty representation and calibration in deep learning. Stochastic Weight Averaging (SWA), which computes the first moment of stochastic gradient descent (SGD) iterates with a modified learning rate schedule, has recently been sho…
We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess all polynomial moments. We establish parametric conditions which guarantee existen…
MuML models predict molecular dipole moments using atomic partial charges and dipoles.
We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a crossover in the log-return distribution from power-law tails (small time) to a Ga…
Study improves understanding of network degree distributions using non-linear ERGs.
Alternative approach to generative modeling using convex conjugates and optimal transport.
Exact simulation of correlated binary outcomes using PMF constraints and linear programming.
Stein variational gradient descent (SVGD) is a non-parametric inference algorithm that evolves a set of particles to fit a given distribution of interest. We analyze the non-asymptotic properties of SVGD, showing that there exists a set of functions, which we call the Stein matching set, whose expectations are exactly …
New method identifies uncertainty shocks in financial markets using revised VIX.
We model non-stationary volume-price distributions with a log-normal distribution and collect the time series of its two parameters. The time series of the two parameters are shown to be stationary and Markov-like and consequently can be modelled with Langevin equations, which are derived directly from their series of …
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and the dividend paying stoc…
Kernel tests assess equivalence between distributions without assuming specific moments.
Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR), also called the superquantile and quantile, are frequently used to characterize the tails of probability distribution's and are popular measures of risk. Buffered Probability of Exceedance (bPOE) is a recently introduced characterization of the tail which is the…
New model detects communities in network data from edge nominations.
This paper proposes a novel model of financial prices where: (i) prices are discrete; (ii) prices change in continuous time; (iii) a high proportion of price changes are reversed in a fraction of a second. Our model is analytically tractable and directly formulated in terms of the calendar time and price impact curve. …