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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.

168,878 papers · 148 categories

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6.3%12.5%18.8%25.0% · Apr 199319922001200920172026
48 results for near IR spectrums

Turnover-adjusted IR is always lower than classic IR, suggesting managers can improve performance by limiting turnover.

problem The classic relationship between IR and its determinants does not account for turnover costs.
method Mathematical derivations and simulations considering volatility of information coefficient and portfolio turnover.
result Turnover-adjusted IR is lower and managers can improve performance by limiting turnover.

Enhances deep learning by boosting generalization and convergence.

problem Improving generalization and convergence in deep learning models.
method Implicit Regularization Enhancement (IRE) framework that decouples flat and sharp directions.
result IRE consistently improves generalization performance across various deep learning tasks and models.

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…

2014-02-13abs ↗pdf ↗

Consider the nonstandard embedding of SO(3) into SO(5) given by the 5-dimensional irreducible representation of SO(3), henceforth called SO(3)_\ir. In this note, we study the topology and the differential geometry of 5-dimensional Riemannian manifolds carrying such an SO(3)_\ir structure, i.\,e. with a reduction of the…

2010-10-01abs ↗pdf ↗

Analyzes Hessian spectrum for neural networks near optimal learning.

problem Understanding learning dynamics near optimal points in neural networks.
method Characterizes Hessian eigenspectrum for teacher-student problems, using analytical and numerical methods.
result The rank of the Hessian matrix determines effective number of parameters for non-linear networks.

Study of IR phases in 3D class R theories linked to non-hyperbolic 3-manifolds.

problem Understanding IR phases of 3D class R theories associated with non-hyperbolic 3-manifolds.
method Analysis of IR phenomena through `exceptional' Dehn fillings and gauging of flavor symmetries.
result 3D class R theories associated with certain atoroidal non-hyperbolic 3-manifolds exhibit supersymmetry enhancement at low energy.

Frameworks for writing, compiling, and optimizing deep learning (DL) models have recently enabled progress in areas like computer vision and natural language processing. Extending these frameworks to accommodate the rapidly diversifying landscape of DL models and hardware platforms presents challenging tradeoffs betwee…

2019-04-17abs ↗pdf ↗

Importance sampling (IS) is a common reweighting strategy for off-policy prediction in reinforcement learning. While it is consistent and unbiased, it can result in high variance updates to the weights for the value function. In this work, we explore a resampling strategy as an alternative to reweighting. We propose Im…

2019-06-11abs ↗pdf ↗

At present, there is an explosion of practical interest in the pricing of interest rate (IR) derivatives. Textbook pricing methods do not take into account the leptokurticity of the underlying IR process. In this paper, such a leptokurtic behaviour is illustrated using LIBOR data, and a possible martingale pricing sche…

2004-01-23abs ↗pdf ↗

The L2L^2-\partial\overline\partial-Lemma is extended to complete Kähler manifolds with a gap in the spectrum.

problem Extending the L2L^2-\partial\overline\partial-Lemma to non-compact Kähler manifolds.
method Proving the L2L^2-\partial\overline\partial-Lemma on complete Kähler manifolds with a gap in the spectrum.
result The L2L^2-\partial\overline\partial-Lemma is generalized to complete Kähler manifolds.

Paper proposes a new framework to compare trading strategies by accounting for market conditions.

problem Lack of information on how trading strategy performance varies with market conditions.
method Uses a GAMLSS/ZAGA framework to model the Adjusted Information Ratio (IRIR^{\ast}) for a SVMP and BH strategy across 146 folds of the S&P 500.
result Dominance of SVMP over BH is conditional on market regime, as shown by differences in expected IRIR^{\ast} and its variance.

Generative AI reduces IR evaluation costs but introduces errors; this work provides reliable CIs.

problem Generating relevance annotations using AI introduces errors that affect IR evaluation metrics.
method Proposes two methods: prediction-powered inference and conformal risk control to place reliable CIs around IR metrics.
result Proposed methods accurately capture both variance and bias in evaluation based on AI-generated annotations.

The paper studies symplectic structures on character varieties of Sasakian threefolds.

problem Character varieties of Sasakian threefolds and their symplectic structures.
method Constructing a natural algebraic 2-form and showing its properties.
result The restriction of the 2-form to the space of irreducible SU(r) homomorphisms is symplectic.

Investigate using LETFs to outperform benchmarks, finding them more likely to succeed.

problem The controversy and popularity of LETFs in constructing portfolios.
method Systematic investigation using IR-optimal strategies with LETFs and VETFs, including neural network-based approaches.
result IR-optimal strategies with LETFs outperform benchmarks and achieve partial stochastic dominance.

A new activation function improves credit scoring accuracy for imbalanced datasets.

problem Imbalanced datasets in credit scoring lead to underestimation of misclassification costs.
method Introduces ASIG, an asymmetric adjusted Sigmoid function.
result ASIG-embedded classifier outperforms traditional classifiers across various imbalance ratios.

Study submanifolds in hyperbolic space, focusing on their boundary and Laplace operator.

problem Understanding the geometry and regularity of submanifolds in hyperbolic space.
method Analyzing asymptotic geometry and regularity properties near the ideal boundary, computing essential spectra.
result Computed essential spectra of the Laplace operator on certain submanifolds.

In this paper, we prove that on a compact manifold with isolated conical singularity the spectrum of the Schrödinger operator 4Δ+R-4Δ+R consists of discrete eigenvalues with finite multiplicities, if the scalar curvature RR satisfies a certain condition near the singularity. Moreover, we obtain an asymptotic behavior fo…

2017-08-13abs ↗pdf ↗

We model the quantities appearing in Internal Revenue Service (IRS) tax guidance for calculating the health insurance premium tax credit created by the Patient Protection and Affordable Care Act, also called Obamacare. We ask the question of whether there is a procedure, computable by hand, which can calculate the appr…

2018-10-31abs ↗pdf ↗

Helfer in [Pacific J. Math. 164/2 (1994), p. 321--350] was the first to produce an example of a spacelike Lorentzian geodesic with a continuum of conjugate points. In this paper we show the following result: given an interval [a,b][a,b] of IRIR and any closed subset FF of IRIR contained in ]a,b]]a,b], then there exists a Lo…

2000-11-06abs ↗pdf ↗

The wave trace of certain convex domains can be smooth near some points in the length spectrum.

problem Understanding the relationship between the wave trace and the length spectrum of convex domains.
method Constructing silent periodic billiard orbits with the same length but different Maslov indices, using a microlocal parametrix for wave invariants.
result The wave trace can be smooth near some points in the length spectrum, showing potential limitations for inverse spectral problems.

In this paper we provide a principled approach to solve a transductive classification problem involving a similar graph (edges tend to connect nodes with same labels) and a dissimilar graph (edges tend to connect nodes with opposing labels). Most of the existing methods, e.g., Information Regularization (IR), Weighted …

2012-06-26abs ↗pdf ↗

Study of M{\cal M}-theory dual of thermal QCD-like theories at intermediate coupling.

problem Missing top-down holographic dual for thermal QCD-like theories at intermediate 't Hooft coupling.
method Analysis of O(R4){\cal O}(R^4) corrections and O(lp6){\cal O}(l_p^6) corrections in the MQGP background.
result Discovery of O(R4){\cal O}(R^4) corrections and GG-structure classification of underlying geometries.

In the eyes of a rationalist like Descartes or Spinoza, human reasoning is flawless, marching toward uncovering ultimate truth. A few centuries later, however, culminating in the work of Kahneman and Tversky, human reasoning was portrayed as anything but flawless, filled with numerous misjudgments, biases, and cognitiv…

2018-10-15abs ↗pdf ↗

We show that the Dirac operator on a spin manifold does not admit L2L^2 eigenspinors provided the metric has a certain asymptotic behaviour and is a warped product near infinity. These conditions on the metric are fulfilled in particular if the manifold is complete and carries a non-complete vector field which outside …

2007-01-23abs ↗pdf ↗

Defines Perelman's functionals on manifolds with non-isolated conical singularities.

problem Defining functionals on manifolds with non-isolated conical singularities.
method Starting from a spectral point of view for the Perelman's λ-functional, defining the spectrum of Schrödinger operator and proving the existence of discrete eigenvalues.
result Proves the existence of the infimum of W-functional and obtains asymptotic behavior of eigenfunctions.