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.
Study uses network analysis to examine Japanese overseas business networks.
Optimal dividend strategy for insurance group with contagious default risk.
Proposes an adversarial process using cosine similarity to improve robustness of models.
Study examines how bank holding structures affect financial stress spread.
Study examines stock price correlations between Indonesian holding companies and their subsidiaries.
The weighted and directed network of countries based on the number of overseas banks is analyzed in terms of its fragility to the banking crisis of one country. We use two different models to describe transmission of shocks, one local and the other global. Depending on the original source of the crisis, the overall siz…
This paper approaches the definition and properties of dynamic convex risk measures through the notion of a family of concave valuation operators satisfying certain simple and credible axioms. Exploring these in the simplest context of a finite time set and finite sample space, we find natural risk-transfer and time-co…
New Hausdorff integrations for Lie algebroids and symplectic groupoids.
A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has solutions respecting constr…
Spatial ABM predicts housing market trends in Sydney.
The paper proves existence and behavior of Lagrangian tori in complex projective plane.
This paper proves cohomology invariants for differentiable stacks.
We study cascades on a two-layer multiplex network, with asymmetric feedback that depends on the coupling strength between the layers. Based on an analytical branching process approximation, we calculate the systemic risk measured by the final fraction of failed nodes on a reference layer. The results are compared with…
Paper proposes a method to evaluate SME credit risk using meta paths.
This paper contains the technical foundations from stochastic differential geometry for the construction of geometrically intrinsic nonlinear recursive filters. A diffusion X on a manifold N is run for a time interval T, with a random initial condition. There is a single observation consisting of a nonlinear function o…
This paper deals with multidimensional dynamic risk measures induced by conditional -expectations. A notion of multidimensional -expectation is proposed to provide a multidimensional version of nonlinear expectations. By a technical result on explicit expressions for the comparison theorem, uniqueness theorem and…
Network analysis reveals similarities between city-firm relations and ecological interactions.
Machine learning predicts corporate bankruptcy with high accuracy.
New approach identifies offshore financial centers in global corporate network.
Geometric correspondence between spinors and horospheres in hyperbolic space.
In November, 2011, the Financial Stability Board, in collaboration with the International Monetary Fund, published a list of 29 "systemically important financial institutions" (SIFIs). This designation reflects a concern that the failure of any one of them could have dramatic negative consequences for the global econom…
In this thesis, we consider the knot energy "integral Menger curvature" which is the triple integral over the inverse of the classic circumradius of three distinct points on the given knot to the power . We prove the existence of the first variation for a subset of a certain fractional Sobolev space if…
Model quantifies cyber-attacks' impact on firms and insurers.