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.
Investigates spontaneous symmetry breaking in non-equilibrium systems.
New CGMD model predicts non-equilibrium processes better than existing methods.
Established a relation between short-term and long-term arbitrage measures.
Alternative finance models from physics for non-equilibrium systems.
A new method relaxes molecules without needing non-equilibrium data.
Neural network models colloidal particle dynamics in non-equilibrium systems.
We develop a formalism to study linearized perturbations around the equilibria of a pure exchange economy. With the use of mean field theory techniques, we derive equations for the flow of products in an economy driven by heterogeneous preferences and probabilistic interaction between agents. We are able to show that i…
Long-range memory in non-equilibrium systems is explained by spurious memory in SDEs, not fBm.
The paper provides a geometric framework for understanding non-equilibrium thermodynamics.
Mathematical model predicts international trade and global economy dynamics.
Framework preserves emergent physics in non-equilibrium systems from particle trajectories.
Combining ML and physics for understanding glassy systems.
A new method uses deep learning to predict rare events in complex systems.
Paper connects RL and non-equilibrium statistical mechanics for entropy-regularized RL.
We analyze the statistics of daily price change of stock market in the framework of a statistical physics model for the collective fluctuation of stock portfolio. In this model the time series of price changes are coded into the sequences of up and down spins, and the Hamiltonian of the system is expressed by spin-spin…
In this paper I give a brief introduction to a family of simple but non-trivial models designed to increase our understanding of collective processes in markets, the so-called Minority Games, and their non-equilibrium statistical mathematical analysis. Since the most commonly studied members of this family define disor…
Investigates fluid flow perturbations using geometric theory.
New method reconstructs non-equilibrium stochastic systems from data.
Develops a method for non-equilibrium importance sampling to estimate expectations and constants.
New method samples from multi-modal distributions on Riemannian manifolds without training.
The method infers Markov process parameters from steady state snapshots.
An interacting Black-Scholes model for option pricing, where the usual constant interest rate r is replaced by a stochastic time dependent rate r(t) of the form r(t)=r+f(t) dW/dt, accounting for market imperfections and prices non-alignment, was developed in [1]. The white noise amplitude f(t), called arbitrage bubble,…
This paper tackles traffic volume estimation challenges with a deep learning method.
Researchers use Gaussian processes to approximate Lagrange multipliers for Maximum-Entropy distributions.
Rate GENERIC extends thermodynamics principles to non-equilibrium systems.
Thermodynamic integration (TI) for computing marginal likelihoods is based on an inverse annealing path from the prior to the posterior distribution. In many cases, the resulting estimator suffers from high variability, which particularly stems from the prior regime. When comparing complex models with differences in a …
TNDE quantifies dynamic gene drivers from single-cell snapshots.
During the last two years, Europe has been facing a debt crisis, and Greece has been at its center. In response to the crisis, drastic actions have been taken, including the halving of Greek debt. Policy makers acted because interest rates for sovereign debt increased dramatically. High interest rates imply that defaul…
We fill a void in merging empirical and phenomenological characterisation of the dynamical phase transitions in complex systems by identifying three of them on real-life financial markets. We extract and interpret the empirical, numerical, and semi-analytical evidences for the existence of these phase transitions, by c…
Proposes a method to learn a transition operator for generating samples.
Geometric approach to quantum thermodynamics models state spaces and processes.
Employing data on the assessed value of land in 1983 -- 2005 Japan, we investigate the dynamical behavior in the high scale region of non-equilibrium systems. From the detailed quasi-balance and Gibrat's law, we derive a relation between the change of Pareto index and a symmetry in the detailed quasi-balance. The relat…
MEP-Net uses MEP to generate solutions from limited data.
We briefly review data analysis of the Island order book, part of NASDAQ, which suggests a framework to which all limit order markets should comply. Using a simple exclusion particle model, we argue that short-time price over-diffusion in limit order markets is due to the non-equilibrium of order placement, cancellatio…
NEO combines orbits to sample and estimate complex distributions.
Improved sampling for gauge theory with SNFs.
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes into account (i) the price formation delay between decision and investment by the …
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et al.) considers fluctuations around this equilibrium state by introducing a relaxati…
Probability distributions of money, income, and energy consumption per capita are studied for ensembles of economic agents. The principle of entropy maximization for partitioning of a limited resource gives exponential distributions for the investigated variables. A non-equilibrium difference of money temperatures betw…
This paper outlines a critical gap in the assessment methodology used to estimate the macroeconomic costs and benefits of climate policy. It shows that the vast majority of models used for assessing climate policy use assumptions about the financial system that sit at odds with the observed reality. In particular, the …
We propose a simple quantitative model of Schumpeterian economic dynamics. New goods and services are endogenously produced through combinations of existing goods. As soon as new goods enter the market they may compete against already existing goods, in other words new products can have destructive effects on existing …
In this chapter the complex systems are discussed in the context of economic and business policy and decision making. It will be showed and motivated that social systems are typically chaotic, non-linear and/or non-equilibrium and therefore complex systems. It is discussed that the rapid change in global consumer behav…
New model explains market dynamics with phase transitions and non-linear interactions.
We investigate the dynamical behavior in the large scale region of non-equilibrium systems, by employing data on the assessed value of land in 1983 -- 2006 Japan. In the system we find the detailed quasi-balance, which has the symmetry: x_1 -> a {x_2}^θ (x_1 and x_2 are two successive land prices). By using the detaile…
Unified framework for training diffusion and flow models to sample from target distributions.
Tractable model explains market dynamics using Langevin and SUSY QM.
An important result from psycholinguistics (Griffiths & Kalish, 2005) states that no language can be learned iteratively by rational agents in a self-sustaining manner. We show how to modify the learning process slightly in order to achieve self-sustainability. Our work is in two parts. First, we characterize iterated …
Deep learning dynamics exhibit anomalous superdiffusion initially, aiding escape from local minima.