arXiv research

Calculates knot $X$-torsion order using spectral sequences.

AD-HOC simplifies high-order derivative calculations in C++.

Two-dimensional transition rates improve life insurance reserve calculations.

EPINE enhances network embedding by improving adjacency matrix-based high-order proximity.

Study finds the order of Dehn twists in various groups.

Different variants of MFDFA technique are applied in order to investigate various (artificial and real-world) time series. Our analysis shows that the calculated singularity spectra are very sensitive to the order of the detrending polynomial used within the MFDFA method. The relation between the width of the multifrac…

The paper calculates option prices using Mellin transform for stochastic volatility models.

During reactive transport modeling, the computational cost associated with chemical reaction calculations is often 10-100 times higher than that of transport calculations. Most of these costs results from chemical equilibrium calculations that are performed at least once in every mesh cell and at every time step of the…

Improves Monte-Carlo simulations for consistent mean and variance.

Forward Automatic Differentiation (AD) is a technique for augmenting programs to compute derivatives. The essence of Forward AD is to attach perturbations to each number, and propagate these through the computation. When derivatives are nested, the distinct derivative calculations, and their associated perturbations, m…

Fast method developed for pricing barrier options and joint Lévy process distributions.

We consider a simple model for the evolution of a limit order book in which limit orders of unit size arrive according to independent Poisson processes. The frequencies of buy limit orders below a given price level, respectively sell limit orders above a given level are described by fixed demand and supply functions. B…

This thesis builds a real-time VaR calculation workflow for crypto derivatives.

Calculates Dehn twist actions on conformal blocks for modular categories.

Risk management in financial derivative markets requires inevitably the calculation of the different price sensitivities. The literature contains an abundant amount of research works that have studied the computation of these important values. Most of these works consider the well-known Black and Scholes model where th…

Homologically fibered knots are knots whose exteriors satisfy the same homological conditions as fibered knots. In our previous paper, we observed that for such a knot, higher-order Alexander invariants defined by Cochran, Harvey and Friedl are generally factorized into the part of the Magnus matrix and that of a certa…

We investigate the probability distribution of order imbalance calculated from the order flow data of 43 Chinese stocks traded on the Shenzhen Stock Exchange. Two definitions of order imbalance are considered based on the order number and the order size. We find that the order imbalance distributions of individual stoc…

The spaces of higher-order differential operators (in Dimension 1|2), which are modules over the stringy Lie superalgebra K(2), are isomorphic to the corresponding spaces of symbols as orthosymplectic modules in non resonant cases. Such an osp (2|2)-equivariant quantization, which has been given in second-order differe…

This paper calculates the derivative of surface holonomy for non-abelian gerbes.

Paper introduces new metrics for evaluating model accuracy.

We analyze realized volatilities constructed using high-frequency stock data on the Tokyo Stock Exchange. In order to avoid non-trading hours issue in volatility calculations we define two realized volatilities calculated separately in the two trading sessions of the Tokyo Stock Exchange, i.e. morning and afternoon ses…

New ODE solvers improve training efficiency and accuracy.

Quasi-Monte Carlo speeds up option Greeks calculation on GPUs.

Improves safety region certification for smoothed classifiers without changing smoothing scheme.

We study the dynamics of the `batch' minority game with market-impact correction using generating functional techniques to carry out the quenched disorder average. We find that the assumption of weak long-term memory, which one usually makes in order to calculate ergodic stationary states, breaks down when the persiste…

Calculates spectral flow bounds for reducible solutions to Vafa-Witten equations.

In this paper, we show that the Ozsváth-Szabó contact invariant $c^+(ξ)\in HF^+(-Y)$ of a contact 3-manifold $(Y,ξ)$ can be calculated combinatorially if $Y$ is the boundary of a certain type of plumbing $X$, and $ξ$ is induced by a Stein structure on $X$. Our technique uses an algorithm of Ozsváth and Szabó to determi…

A method to calculate generalized curvatures of curves in n-dimensional space.

Paper calculates topological complexity of robot movement in narrow aisles.

Based on the theory of Poisson vertex algebras we calculate skew-symmetry conditions and Jacobi identities for a class of third-order nonlocal operators of differential-geometric type. Hamiltonian operators within this class are defined by a Monge metric and a skew-symmetric two-form satisfying a number of differential…

Model calculates optimal trading time for derivatives orders.

The paper calculates a specific weight system for chord diagrams with a particular graph structure.

The mean-field variant of the model of limit order driven market introduced recently by Maslov is formulated and solved. The agents do not have any strategies and the memory of the system is kept within the order book. We show that he evolution of the order book is governed by a matrix multiplicative process. The resul…

In a strengthening of the G-Signature Theorem of Atiyah and Singer, we compute, at least in principle (modulo certain torsion of exponent dividing a power of the order of G), the class in equivariant K-homology of the signature operator on a G-manifold, localized at a prime idea of R(G), in terms of the classes in non-…

The paper introduces a new class of multivariate mixtures for actuarial applications.

In this note we take some initial steps in the investigation of a fourth order analogue of the Yamabe problem in conformal geometry. The Paneitz constants and the Paneitz invariants considered are believed to be very helpful to understand the topology of the underlined manifolds. We calculate how those quantities chang…

Efficiently calculates PL model likelihood for partitioned preference data.

Minimum energy paths for transitions such as atomic and/or spin rearrangements in thermalized systems are the transition paths of largest statistical weight. Such paths are frequently calculated using the nudged elastic band method, where an initial path is iteratively shifted to the nearest minimum energy path. The co…

We define and study Vassiliev invariants for (long) Morse knots. It is shown that there are Vassiliev invariants which can distinguish some topologically equivalent Morse knots. In particular, there is an invariant of order 3 for Morse knots with one maximum that distinguishes two different representations of the figur…

Machine learning speeds up quantum chemical calculations of excited states.

We calculate a wall crossing formula for 4-dimensional Poincare-Einstein metrics, through a wall made of orbifold Poincare-Einstein metrics with A1 singularities. This is based on a formalism which enables to deal with higher order terms of the Einstein equation in this setting. Some other consequences are deduced.

The change in Holographic entanglement entropy (HEE) for small fluctuations about pure anti De Sitter (AdS) is obtained by a perturbative expansion of the area functional in terms of the change in the bulk metric and the embedded extremal surface. However, it is known that change in the embedding appears in second orde…

We consider the Laplacian associated with a general metric in the canonical conformal structure of the noncommutative two torus, and calculate a local expression for the term a_4 that appears in its corresponding small-time heat kernel expansion. The final formula involves one variable functions and lengthy two, three …

We develop high-order approximations for the Heston model.

Study proves nontrivial knots can't undergo cosmetic surgeries.

The underlying stochastic nature of the requirements for the Solvency II regulations has introduced significant challenges if the required calculations are to be performed correctly, without resorting to excessive approximations, within practical timescales. It is generally acknowledged by practising actuaries within U…

We consider the case of derivative-free algorithms for non-convex optimization, also known as zero order algorithms, that use only function evaluations rather than gradients. For a wide variety of gradient approximators based on finite differences, we establish asymptotic convergence to second order stationary points u…

A new method for MARL with partial observations reduces communication overhead.