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arXiv research

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.

169,051 papers · 148 categories

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48 results for momentum section

Introduces homotopy momentum sections on multisymplectic manifolds.

problem No specific problem stated; focuses on introducing a new concept.
method Introduces a new concept of homotopy momentum sections on multisymplectic manifolds.
result Shows that a gauged nonlinear sigma model with Wess-Zumino term has homotopy momentum section structure.

Generalizes momentum sections to higher-dimensional gauged sigma models.

problem Understanding momentum sections in Hamiltonian mechanics and sigma models.
method Introduces a generalization of momentum sections on pre-multisymplectic manifolds.
result Shows a connection between constrained Hamiltonian systems and gauged sigma models.

Unified model learns from both time-series and cross-sectional momentum features.

problem Separate time-series and cross-sectional momentum strategies do not consider concurrent relationships.
method Spatio-Temporal Momentum strategies using neural networks to combine both types of momentum.
result Simple neural network with single fully connected layer generates trading signals for all assets.

The paper defines cross-section continuity for angular momentum definitions and finds the CWY definition valid.

problem Defining angular momentum at null infinity and ensuring its continuity across different cross-sections.
method Introducing cross-section continuity as a criterion and proving it for specific angular momentum definitions.
result The Chen-Wang-Yau definition of angular momentum satisfies cross-section continuity, while the Compere-Nichols modification does not.

Generalizes momentum map to Courant algebroid for constrained mechanics.

problem Generalizing momentum map to new geometric structures.
method Generalized momentum section on Lie algebroid to Courant algebroid, constructed cohomological formulations.
result Identified momentum section in constrained Hamiltonian mechanics with Courant algebroid symmetry.

The paper introduces a new form on Lie algebroids over multisymplectic manifolds.

problem Higher generalizations of Poisson structures and momentum maps.
method Introducing a compatible E-n-form on Lie algebroids.
result The introduced form satisfies a compatibility condition with Lie algebroid and multisymplectic structures.

The study finds that factor momentum is significant only at short lags compared to stock momentum.

problem Investigating the relationship between factor momentum and stock momentum.
method Replicated earlier findings and conducted a spanning test controlling for stock momentum and factor exposure.
result Factor momentum is significant only at short lags after controlling for stock momentum and factor exposure.

Enhanced trend-following strategy using network momentum for commodity futures.

problem Improving systematic trend-following in commodity futures markets.
method Combines univariate and cross-sectional trend indicators, including network momentum.
result Statistically significant improvements in portfolio performance metrics.

Formulae for mass and angular momentum transformations under BMS transformations derived from curvature and metric.

problem Deriving transformation formulae for mass and angular momentum under BMS transformations.
method Two approaches: from curvature tensor and metric coefficients.
result Exact expressions for Drey-Streubel angular momentum of a general section.

The paper extends metrics and solitons on toric Fano manifolds with irregular Sasaki-Einstein metrics.

problem Extension of metrics and solitons on toric Fano manifolds with irregular Sasaki-Einstein metrics.
method Verification of the extension of momentum construction of Kaehler-Einstein metrics and Kaehler-Ricci solitons on the total space of positive rational powers of the canonical line bundle.
result The extended metric along the zero section has an expression that can be extended to the total space, and restricts to a transversely Kaehler-Einstein (Sasakian eta-Einstein) metric.

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 …

2003-02-18abs ↗pdf ↗

Fused Encoder Networks improve momentum strategies on crypto data.

problem Deploying momentum strategies on crypto data with limited samples leads to over-fitted models.
method Hybrid transfer learning model combining source and target datasets.
result Fused Encoder Networks outperform classical momentum strategies and benchmarks.

In previous work with M.C. Fernandes, we found a Lie algebroid symmetry for the Einstein evolution equations of general relativity. The present work was motivated by the effort to explain the coisotropic structure of the constraint subset for the initial value problem by extending the notion of hamiltonian structure fr…

2018-11-27abs ↗pdf ↗

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…

2014-03-31abs ↗pdf ↗

Mathematical framework for field theories on Finsler spacetimes.

problem Developing a consistent calculus for field theories on Finsler spacetimes.
method Constructing configuration bundles and applying coordinate-free calculus of variations.
result Averaged energy-momentum conservation law for Finsler field theories.

New algorithm improves asset ranking for better cross-sectional portfolios.

problem Sub-optimal ranking of assets in cross-sectional systematic strategies.
method Learning-to-rank algorithms to enhance portfolio construction.
result Modern machine learning ranking algorithms boost Sharpe Ratios by approximately threefold.

The paper explains stock market predictability through a model of heterogeneous beliefs.

problem Understanding and predicting stock market behavior based on news and investor beliefs.
method A discrete-time model of heterogeneous beliefs where some agents receive noisy signals about asset fundamentals.
result Momentum and reversal in stock prices arise from investors' incorrect beliefs about signal accuracy and fundamental values.

Generalizes sigma model with Lie algebroid structure and geometric conditions.

problem Consistency of constraints and gauge symmetry in topological sigma models.
method Analysis of geometric conditions and constraints in Hamiltonian and Lagrangian formalisms.
result Identifies universal compatibility condition between Lie algebroid and multi-symplectic structure.

This text presents some basic notions in symplectic geometry, Poisson geometry, Hamiltonian systems, Lie algebras and Lie groups actions on symplectic or Poisson manifolds, momentum maps and their use for the reduction of Hamiltonian systems. It should be accessible to readers with a general knowledge of basic notions …

2014-01-31abs ↗pdf ↗

Study on weekly momentum strategies in Chinese stocks, comparing various risk metrics.

problem Investigate the performance and predictability of weekly momentum strategies in Chinese stocks.
method Used A-share individual stocks from 1997 to 2017, analyzing raw and idiosyncratic returns, and comparing IMOM portfolios with various risk metrics.
result IVol and IMD-based IMOM portfolios have better explanatory power and higher profitability.

The study finds that supply chain information from LLM embeddings improves stock returns predictions.

problem Predicting stock returns using textual information from annual reports.
method Combining LLM embeddings of annual reports with supply chain knowledge graph propagation.
result Network-augmented embeddings significantly predict stock returns with a Sharpe ratio of 0.86 and alpha of 7.27%.

We generalize the spinorial characterization of isometric immersions of surfaces in R^3 given by T. Friedrich (On the spinor representation of surfaces in Euclidean 3-space, J. Geom. Phys. 28 (1998)) to surfaces in S^3 and H^3. The main argument is the interpretation of the energy-momentum tensor associated with a spec…

2002-04-08abs ↗pdf ↗

Study on geodesic distances on SE(3)/SO(2) in machine learning.

problem Investigating the efficiency of computationally efficient sections in selecting geodesic distances.
method Analyzing geodesic distances on reductive homogeneous spaces, proving the efficiency of minimal distance sections.
result Minimal distance sections are not always geodesic minimizers, but minimal horizontal geodesics are.

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 …

2012-11-28abs ↗pdf ↗

Let K be a connected Lie group and M a Hamiltonian K-manifold. In this paper, we introduce the notion of convexity of M. It implies that the momentum image is convex, the moment map has connected fibers, and the total moment map is open onto its image. Conversely, the three properties above imply convexity. We show tha…

2001-12-13abs ↗pdf ↗

Customer momentum is a positive relationship between a firm's returns and past returns of its customers.

problem Understanding the relationship between a firm's returns and its customers' past returns.
method Examined customer momentum using a long-short equally-weighted decile portfolio and Fama-French factor models.
result Customer momentum generates significant monthly returns and is statistically significant.

This paper examines momentum spillover across multiple asset classes using only pricing data.

problem Challenges in studying momentum spillover across diverse asset classes due to lack of common characteristics.
method Utilised a linear and interpretable graph learning model to reveal momentum spillover network.
result Network momentum strategy yields a Sharpe ratio of 1.5 and an annual return of 22%.

The paper analyzes how hyperparameters affect SGD with momentum's convergence rate.

problem The role of hyperparameters in SGD with momentum's convergence rate.
method Theoretical analysis using a hyperparameters-dependent stochastic differential equation (hp-dependent SDE).
result The optimal linear rate of convergence depends on both the learning rate and the momentum coefficient.

This paper presents generalized momentum mappings for covariant Hamiltonian field theories. The new momentum mappings arise from a generalization of symplectic geometry to LVYL_VY, the bundle of vertically adapted linear frames over the bundle of field configurations YY. Specifically, the generalized field momentum obs…

2001-11-21abs ↗pdf ↗

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…

2012-08-07abs ↗pdf ↗

The paper analyzes how momentum affects convergence in stochastic gradient methods.

problem Lack of clear understanding of momentum's impact on convergence and performance.
method Unified analysis of several popular algorithms using the QHM formulation.
result Provides practical guidelines for setting learning rate and momentum parameters.

DEAM optimizes momentum weights dynamically to improve deep learning model training.

problem Errors in momentum weights propagate errors in optimization algorithms like ADAM.
method DEAM computes adaptive momentum weights based on discriminative angles, reducing hyperparameters and introducing a backtrack term.
result DEAM achieves faster convergence rates in both convex and non-convex deep learning model training.

Adapting momentum from optimization to reinforcement learning.

problem Improving the convergence and stability of reinforcement learning algorithms.
method Introducing Momentum Value Iteration (MoVI) by incorporating an average of consecutive state-action value functions, inspired by the concept of momentum in optimization.
result MoVI improves the convergence and stability of reinforcement learning algorithms, as demonstrated by experiments on Atari games.

Sparse learning speeds up neural network training without sacrificing accuracy.

problem Training deep neural networks efficiently while maintaining performance.
method Sparse momentum algorithm that redistributes and grows weights based on momentum magnitude.
result State-of-the-art sparse performance on various datasets with up to 5.61x faster training.

Momentum speeds up evolutionary processes in machine learning.

problem Accelerating convergence in evolutionary dynamics.
method Combining momentum from machine learning with evolutionary dynamics using information divergences as Lyapunov functions.
result Momentum accelerates convergence of evolutionary dynamics, including the replicator equation and Euclidean gradient descent.