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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.

168,695 papers · 148 categories

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0111 · Nov 201319922001200920172026
2 results for “multifrequency”
Multiscale Markowitzq-fin.PM

This paper improves traditional Markowitz optimization by considering variance at multiple time scales.

problem Traditional Markowitz optimization limits to a single time scale, ignoring variance across different frequencies.
method Introduces multifrequency optimization allowing specification of target Hurst exponents across multiple time scales.
result Effective risk management strategy that aligns with investor preferences at various time scales.
Markowitz optimizationmultifrequencyHurst exponentportfolio variancetime scales
2024-11-21abs ↗pdf ↗
Community detection for correlation matricesphysics.data-an

A challenging problem in the study of complex systems is that of resolving, without prior information, the emergent, mesoscopic organization determined by groups of units whose dynamical activity is more strongly correlated internally than with the rest of the system. The existing techniques to filter correlations are …

2013-11-08abs ↗pdf ↗