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.
New method constructs axial vector fields and defines quasi-local spin-angular momentum.
Generalizes momentum map to Courant algebroid for constrained mechanics.
We introduce various quantitative and mathematical definitions for price momentum of financial instruments. The price momentum is quantified with velocity and mass concepts originated from the momentum in physics. By using the physical momentum of price as a selection criterion, the weekly contrarian strategies are imp…
We provide a model for an open invariant neighborhood of any orbit in a symplectic manifold endowed with a canonical proper symmetry. Our results generalize the constructions of Marle and Guillemin and Sternberg for canonical symmetries that have an associated momentum map. In these papers the momentum map played a cru…
The paper extends a theorem about momentum maps to singular symplectic spaces.
Unique Kähler-Ricci solitons found for S^1-invariant metrics.
This paper examines momentum spillover across multiple asset classes using only pricing data.
This article attempts to delineate the roles played by non-dynamical background structures and Killing symmetries in the construction of stress-energy-momentum tensors generated from a diffeomorphism invariant action density. An intrinsic coordinate independent approach puts into perspective a number of spurious argume…
Study finds physical momentum portfolios in Indian stock market yield higher returns than benchmarks.
This paper simplifies complex nonholonomic systems using momentum map reduction.
DeepUnifiedMom uses deep learning to create better momentum portfolios.
Enhanced trend-following strategy using network momentum for commodity futures.
L2GMOM learns financial networks and optimizes momentum strategies.
We show that it is natural to consider the energy-momentum tensor associated with a spinor field as the second fundamental form of an isommetric immersion. In particular we give a generalization of the warped product construction over a Riemannian manifold leading to this interpretation. Special sections of the spinor …
We show that it is possible to perturb arbitrary vacuum asymptotically flat spacetimes to new ones having exactly the same energy and linear momentum, but with center of mass and angular momentum equal to any preassigned values measured with respect to a fixed affine frame at infinity. This is in contrast to the axisym…
Introduces group-valued momentum maps for symplectic fiber bundles.
The article examines in some detail the convergence rate and mean-square-error performance of momentum stochastic gradient methods in the constant step-size and slow adaptation regime. The results establish that momentum methods are equivalent to the standard stochastic gradient method with a re-scaled (larger) step-si…
Deep neural network learns portfolio construction and volatility forecasting.
In this article a homotopy co-momentum map (à la Callies-Frégier-Rogers-Zambon) trangressing to the standard hydrodynamical co-momentum map of Arnol'd, Marsden and Weinstein and others is constructed and then generalized to a special class of Riemannian manifolds. Also, a covariant phase space interpretation of the coa…
Unified approach to constructing integrable systems using Stäckel lifts.
New approach to QFT divergences uses curved momentum space.
This paper analyzes two Lie group momentum optimization algorithms and their convergence rates.
In the past 20 years, momentum or trend following strategies have become an established part of the investor toolbox. We introduce a new way of analyzing momentum strategies by looking at the information ratio (IR, average return divided by standard deviation). We calculate the theoretical IR of a momentum strategy, an…
DanSmp predicts stock movement using a hybrid-relational MKG and dual attention networks.
The paper analyzes convergence in SGD with momentum and proposes a diagnostic test.
Study norm-squared of momentum map in infinite dimensions with applications to symplectic geometry.
We empirically test predictability on asset price by using stock selection rules based on maximum drawdown and its consecutive recovery. In various equity markets, monthly momentum- and weekly contrarian-style portfolios constructed from these alternative selection criteria are superior not only in forecasting directio…
In this paper, we proved the mass angular momentum inequality\cite{D1}\cite{ChrusLiWe}\cite{SZ} for axisymmetric, asymptotically flat, vacuum constraint data sets with small trace. Given an initial data set with small trace, we construct a boost evolution spacetime of the Einstein vacuum equations as \cite{ChOM}. Then …
Generalizes Hamiltonian structures to Dirac structures for new mechanics models.
New method for estimating firm linkages using CVLs and QCML.
This text is the extended version of a talk given at the conference Geometry, Topology, QFT and Cosmology hold from May 28 to May 30, 2008 at the Observatoire de Paris. Using exterior differential systems, I provide a positive answer to the generalized isometric embedding problem of vector bundles, and show how conserv…
Paper glues characteristic data to Kerr spacetime, proving spacelike gluing.
There exist three main approaches to reduction associated to canonical Lie group actions on a symplectic manifold, namely, foliation reduction, introduced by Cartan, Marsden-Weinstein reduction, and optimal reduction, introduced by the authors. When the action is free, proper, and admits a momentum map these three appr…
We generalize various symplectic reduction techniques to the context of the optimal momentum map. Our approach allows the construction of symplectic point and orbit reduced spaces purely within the Poisson category under hypotheses that do not necessarily imply the existence of a momentum map. We construct an orbit red…
The study finds that factor momentum is significant only at short lags compared to stock momentum.
Constructs initial data for multiple black holes with specified ADM parameters.
We test the price momentum effect in the Korean stock markets under the momentum universe shrinkage to subuniverses of the KOSPI 200. Performance of the momentum strategy is not homogeneous with respect to change of the momentum universe. It is found that some submarkets generate the higher momentum returns than other …
Introduces homotopy momentum sections on multisymplectic manifolds.
Mathematical framework for field theories on Finsler spacetimes.
Customer momentum is a positive relationship between a firm's returns and past returns of its customers.
A family of non-radial solutions of the Yamabe equation, with reference the hyperbolic space, is constructed using power series. As a result, we obtain a family of asymptotically hyperbolic metrics, with spherical conformal infinity, with scalar curvature greater than -n(n - 1), but which are a priori not complete. Mor…
Combines MALA and Adam for efficient uncertainty quantification in deep learning.
The paper analyzes how hyperparameters affect SGD with momentum's convergence rate.
p-index approach shows efficient-contrarian strategy outperforms others in low-sentiment periods
Study of dHYM connections on ruled surfaces with variable background metrics.
This paper presents generalized momentum mappings for covariant Hamiltonian field theories. The new momentum mappings arise from a generalization of symplectic geometry to , the bundle of vertically adapted linear frames over the bundle of field configurations . Specifically, the generalized field momentum obs…
We give a detailed discussion about existence and uniqueness of Lu's momentum map. More precisely, we introduce the infinitesimal momentum map, and we study its properties. This allows us to describe the theory of reconstruction of the momentum map from the infinitesimal one. We provide the conditions for the uniquenes…
Momentum ResNets improve ResNets' memory efficiency.