arXiv research

This paper reveals periodic behavior in neural network training with BN and weight decay.

Log-periodic oscillations have been used to predict price trends and crashes on financial markets. So far two types of log-periodic oscillations have been associated with the real markets. The first type are oscillations which accompany a rising market and which ends in a crash. The second type oscillations, called "an…

Paper disproves Wright's periodic map conjecture.

Empirical study shows carriers ignore past shippers' behavior, focusing only on current actions.

Model explains herding and volatility in urban housing prices.

The paper analyzes the non-Gaussian behavior of inflation and unemployment over 70 years using multifractal methods.

We analyze the Bombay stock exchange (BSE) price index over the period of last 12 years. Keeping in mind the large fluctuations in last few years, we carefully find out the transient, non-statistical and locally structured variations. For that purpose, we make use of Daubechies wavelet and characterize the fractal beha…

We study the asymptotic behavior of the sequence of the Nielsen numbers $\{N(f^k)\}$, the essential periodic orbits of $f$ and the homotopy minimal periods of $f$ by using the Nielsen theory of maps $f$ on infra-solvmanifolds of type $R$. We give a linear lower bound for the number of essential periodic orbits of such …

The paper uses persistent homology to estimate recurrence times in multi-variate time series.

Critical learning periods found in deep linear networks too.

To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures to extract direct influences between multiple time series, we compute the infor…

The main result is a computation of the Nahm transform of a SU(2)-instanton over RxT^3, called spatially-periodic instanton. It is a singular monopole over T^3, a solution to the Bogomolny equation, whose rank is computed and behavior at the singular points is described.

This letter revisits the informational efficiency of the Bitcoin market. In particular we analyze the time-varying behavior of long memory of returns on Bitcoin and volatility 2011 until 2017, using the Hurst exponent. Our results are twofold. First, R/S method is prone to detect long memory, whereas DFA method can dis…

Relative moduli spaces of periodic monopoles provide novel examples of Asymptotically Locally Flat hyperkahler manifolds. By considering the interactions between well-separated periodic monopoles, we infer the asymptotic behavior of their metrics. When the monopole moduli space is four-dimensional, this construction yi…

Analysis of log data generated by online educational systems is an essential task to better the educational systems and increase our understanding of how students learn. In this study we investigate previously unseen data from Clio Online, the largest provider of digital learning content for primary schools in Denmark.…

Herd behavior is an important economic phenomenon, especially in the context of the recent financial crises. In this paper, herd behavior in global stock markets is investigated with a focus on intercontinental comparison. Since most existing herd behavior indices do not provide a comparative method, we propose a new h…

We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock market returns exhibit multi-fractal characteristics, with some of the companies showing deviations at small and large scale…

Extends tracking guarantees for time-varying variational inequalities.

In this paper we have analyzed scaling properties of time series of stock market indices (SMIs) of developing economies of Western Balkans, and have compared the results we have obtained with the results from more developed economies. We have used three different techniques of data analysis to obtain and verify our fin…

We propose and analyze numerically a simple dynamical model that describes the firm behaviors under uncertainty of demand forecast. Iterating this simple model and varying some parameters values we observe a wide variety of market dynamics such as equilibria, periodic and chaotic behaviors. Interestingly the model is a…

This paper presents empirical evidence using recently developed techniques in econophysics suggesting that the degree of long-range dependence in interest rates depends on the conduct of monetary policy. We study the term structure of interest rates for the US and find evidence that global Hurst exponents change dramat…

Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do so, we split the time interval of interest into periods in which a well chosen r…

We introduce a mathematical criterion defining the bubbles or the crashes in financial market price fluctuations by considering exponential fitting of the given data. By applying this criterion we can automatically extract the periods in which bubbles and crashes are identified. From stock market data of so-called the …

A graph $G$ is said to be $p$-periodic, if the automorphism group $Aut(G)$ contains an element of order $p$ which preserves no edges. In this paper, we investigate the behavior of graph polynomials (Negmai and Tutte) with respect to graph periodicity. In particular, we prove that if $p$ is a prime, then the coefficient…

Researchers adaptively analyze market regimes to reveal investor behavior shifts.

The study examines cross-border lending behavior from G7 countries, showing changes in driving factors after the 2008 financial crisis.

Calendar graph neural networks model user behavior with location and time data.

This paper addresses the problem of change-point detection on sequences of high-dimensional and heterogeneous observations, which also possess a periodic temporal structure. Due to the dimensionality problem, when the time between change-points is on the order of the dimension of the model parameters, drifts in the und…

Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction, cool period and continuous auction. The distributions of relative logarithmic prices against reference prices in the thre…

Learning three data points can generate all types of periodic orbits in a neural network.

Model explains periodic trading in financial markets through game theory.

This note summarizes results that were obtained by the author in his habilitation thesis (arXiv:1607.08792) concerning the development of a spectral theory for simply periodic, 2-dimensional, complex-valued solutions of the sinh-Gordon equation. Spectral data for such solutions are defined for periodic Cauchy data on a…

We investigate the behavior of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is presumed to oscillate and damp in a quantum spatial-periodic harmonic oscillator potential well. Complicated non-linear relations including inter-band positive correlatio…

Gold prices show seasonal behavior, with January and July having opposite returns.

The paper proposes a dynamic risk measure approach for evaluating defined-contribution pension funds.

The presence of log-periodic structures before and after stock market crashes is considered to be an imprint of an intrinsic discrete scale invariance (DSI) in this complex system. The fractal framework of the theory leaves open the possibility of observing self-similar log-periodic structures at different time scales.…

Study on investment strategy for agents with periodic preferences and discounting.

We study the distribution of fluctuations over a time scale $Δt$ (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately 1 million records sampled at 1 min intervals for the 13-year period 1984-1996, database (ii) contains 8686 daily records for the 35-year pe…

A generalized complex manifold which satisfies the $\partial \overline{\partial}$-lemma admits a Hodge decomposition in twisted cohomology. Using a Courant algebroid theoretic approach we study the behavior of the Hodge decomposition in smooth and holomorphic families of generalized complex manifolds. In particular we …

Generative model captures repetitive industrial processes with varying durations and dynamics.

Modeling financial bubbles and crashes with a cubic momentum function.

We construct most symmetric Saddle towers in Heisenberg space i.e. periodic minimal surfaces that can be seen as the desingularization of vertical planes intersecting equiangularly. The key point is the construction of a suitable barrier to ensure the convergence of a family of bounded minimal disks. Such a barrier is …

A framework for computing holonomy groups of hybrid systems to achieve forward motion.

We investigate the behavior of the Shanghai Stock Exchange Composite (SSEC) index for the period from 1990:12 to 2007:06 using an unconstrained two-regime threshold autoregressive (TAR) model with an unit root developed by Caner and Hansen. The method allows us to simultaneously consider non-stationarity and nonlineari…

Exponential inequalities are main tools in machine learning theory. To prove exponential inequalities for non i.i.d random variables allows to extend many learning techniques to these variables. Indeed, much work has been done both on inequalities and learning theory for time series, in the past 15 years. However, for …

Imitative and contrarian behaviors are the two typical opposite attitudes of investors in stock markets. We introduce a simple model to investigate their interplay in a stock market where agents can take only two states, bullish or bearish. Each bullish (bearish) agent polls m "friends'' and changes her opinion to bear…

We apply a recently developed wavelet based approach to characterize the correlation and scaling properties of non-stationary financial time series. This approach is local in nature and it makes use of wavelets from the Daubechies family for detrending purpose. The built-in variable windows in wavelet transform makes t…

For $n \geq 5$, we consider positive solutions $u$ of the biharmonic equation \[ Δ^2 u = u^\frac{n+4}{n-4} \qquad \text{on}\ \mathbb R^n \setminus \{0\} \] with a non-removable singularity at the origin. We show that $|x|^{\frac{n-4}{2}} u$ is a periodic function of $\ln |x|$ and we classify all periodic functions obta…