arXiv research

The paper generalizes index theory for periodic manifolds and proves equivalence of signatures for tori.

We extend the Atiyah, Patodi, and Singer index theorem for first order differential operators from the context of manifolds with cylindrical ends to manifolds with periodic ends. This theorem provides a natural complement to Taubes' Fredholm theory for general end-periodic operators. Our index theorem is expressed in t…

We analyze the financial crash in 2008 for different financial markets from the point of view of log-periodic function model. In particular, we consider Dow Jones index, DAX index and Hang Seng index. We shortly discuss the possible relation of the theory of critical phenomena in physics to financial markets.

In recent years, we have established the iteration theory of the index for symplectic matrix paths and applied it to periodic solution problems of nonlinear Hamiltonian systems. This paper is a survey on these results.

We study the de Rham complex on a smooth manifold with a periodic end modeled on an infinite cyclic cover X' \to X. The completion of this complex in exponentially weighted L^2-norms is Fredholm for all but finitely many exceptional weights determined by the eigenvalues of the covering translation map H_*(X') \to H_*(X…

Area and orientation preserving diffeomorphisms of the standard 2-disc, referred to as symplectomorphisms of $\mathbb{D}^{2}$, allow decompositions in terms of positive twist diffeomorphisms. Using the latter decomposition we utilize the Conley index theory of discrete braid classes as introduced in [Ghrist et al., C. …

Derives an index formula for families of end-periodic Dirac operators.

We show that for generic choices of parameters the moduli spaces of periodic monopoles (with singularities), i.e. monopoles on $\mathbb{R}^{2} \times \mathbb{S}^{1}$ possibly singular at a finite collection of points, are either empty or smooth hyperkähler manifolds. Furthermore, we prove an index theorem and therefore…

We prove an index theorem for families of linear periodic Hamiltonian systems, which is reminiscent of the Atiyah-Singer index theorem for selfadjoint elliptic operators. For the special case of one-parameter families, we compare our theorem with a classical result of Salamon and Zehnder. Finally, we use the index theo…

p-index approach shows efficient-contrarian strategy outperforms others in low-sentiment periods

We describe an exercise of using Big Data to predict the Michigan Consumer Sentiment Index, a widely used indicator of the state of confidence in the US economy. We carry out the exercise from a pure ex ante perspective. We use the methodology of algorithmic text analysis of an archive of brokers' reports over the peri…

Defines and computes geometric pairings for discrete groups using Baum-Connes assembly map.

The 3D-index connects to Turaev-Viro invariant and knot periods.

In the framework of fibred cusp operators on a manifold $X$ associated to a boundary fibration $Φ: \pa X\to Y$, the homotopy groups of the space of invertible smoothing perturbations of the identity are computed in terms of the K-theory of $T^{*}Y$. It is shown that there is a periodicity, namely the odd and the even h…

This is a survey of our recent work with Tom Mrowka on Seiberg-Witten gauge theory and index theory for manifolds with periodic ends. We explain how this work leads to a new invariant, which is related to the classical Rohlin invariant of homology 3-spheres and to the Furuta-Ohta invariant originating in Yang-Mills gau…

New stock market index captures market chaos and volatility.

This paper is our first step in establishing a de Rham model for equivariant twisted $K$-theory using machinery from noncommutative geometry. Let $G$ be a compact Lie group, $M$ a compact manifold on which $G$ acts smoothly. For any $α\in H^3_G (M, {\mathbb Z})$ we introduce a notion of localized equivariant twisted co…

Scattering theory for harmonic one-forms on Riemann surfaces.

Study classifies stock price data into stationary and non-stationary periods for mechanical trading.

Proves a theorem for mechanical systems with reflections.

The p-index improves investment performance for NYSE stocks but not for SSE stocks.

A C*algebra A generated by a class of zero-order classical pseudodifferential operator on a cylinder RxB, where B is a compact riemannian manifold, containing operators with periodic symbols, is considered. A description of the K-theory index map associated to the continuous extension to A of the principal-symbol map i…

Proves infinite bordism groups for certain manifolds with positive scalar curvature.

We discuss a conjecture of Gromov and Lawson, later modified by Rosenberg, concerning the existence of metrics of positive scalar curvature. It says that a closed spin manifold $M$ of dimension $n\ge 5$ has such a metric if and only if the index of a suitable ``Dirac" operator in $KO_n(C^* (π_1(M)))$, the real $K$-theo…

Unified framework predicts S&P500 index direction using transfer learning and causal graph.

Paper uses neural networks to analyze oil price impact on Iranian stock and industry indices.

Clarifies a trace for Heisenberg operators on contact manifolds.

Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from twelve European bourses, this paper presents VaR measures based on their unconditional and conditional distributions for single and multi-period settings. These measures underpinned by extreme va…

The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the Nikkei 225 index (Nikkei 225) from January 4, 1975 to August 18, 2004, of (ii…

We clarify the status of log-periodicity associated with speculative bubbles preceding financial crashes. In particular, we address Feigenbaum's [2001] criticism and show how it can be rebuked. Feigenbaum's main result is as follows: ``the hypothesis that the log-periodic component is present in the data cannot be reje…

Periodicity is often studied in timeseries modelling with autoregressive methods but is less popular in the kernel literature, particularly for higher dimensional problems such as in textures, crystallography, and quantum mechanics. Large datasets often make modelling periodicity untenable for otherwise powerful non-pa…

In the previous work, the first author established an algorithm to compute the Morse index and the nullity of an $n$-periodic minimal surface in $\mathbb{R}^n$. In fact, the Morse index can be translated into the number of negative eigenvalues of a real symmetric matrix and the nullity can be translated into the number…

Investigates the relationship between US money supply and asset indices over 2001-2019.

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…

We prove that the length difference between a closed periodic curve and its parallel curve at a sufficiently small distance is proportional to the rotation index. As an application, the rotation index of a curve could be estimated by means of Cauchy-Crofton formula.

We look into a construction of principal abelian varieties attached to certain spin manifolds, due to Witten and Moore-Witten around 2000 and try to place it in a broader framework. This is related to Weil intermediate Jacobians but it also suggests to associate abelian varieties to polarized even weight Hodge structur…

In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market efficiency, using the standard ratio variance test, considering over 1600 one week…

Let $γ$ be a non-degenerate Ustilovsky geodesic in $Ham (M, ω)$ generated by $H$. We give a simple proof of a generalization of the conjecture stated in \cite{virtmorse}, relating the Morse index of $γ$, as a critical point of the Hofer length functional, with the Conley Zehnder index of the extremizers of $H$, consid…

We examine volatility of an Indian stock market in terms of aspects like participation, synchronization of stocks and quantification of volatility using the random matrix approach. Volatility pattern of the market is found using the BSE index for the three-year period 2000-2002. Random matrix analysis is carried out us…

Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading, separately. We show that periods characterized by the strong inter-stock coupling…

Debate over the existence of branches in the stellar activity-rotation diagrams continues. Application of modern time series analysis tools to study the mean cycle periods in chromospheric activity index is lacking. We develop such models, based on Gaussian processes, for one-dimensional time series and apply it to the…

By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of bifurcations and phase transitions, the log-periodic power law model has been developed as a flexible tool to detect bubbl…

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…

Analyzed Bitcoin market index volatility changes over two distinct periods using anomalous diffusion and multifractal analysis.

A new model detects financial bubbles with high accuracy.

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…

We study the multi-scale temporal correlations and causality connections between the New York Stock Exchange (NYSE) and Bombay Stock Exchange (BSE) monthly average closing price indexes for a period of 300 months, encompassing the time period of the liberalisation of the Indian economy and its gradual global exposure. …

Predicts stock market crashes using rational bubble model.