In this work we study the Lebesgue property for convex risk measures on the space of bounded càdlàg random processes (). Lebesgue property has been defined for one period convex risk measures in \cite{Jo} and earlier had been studied in \cite{De} for coherent risk measures. We introduce and study th…
On-device research index
arXiv research
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.
168,922 papers · 148 categories
Trend · papers per month
48 results for “periodic measurement”
The paper proposes a dynamic risk measure approach for evaluating defined-contribution pension funds.
problem Periodic evaluation of defined-contribution pension funds to manage risk and improve projections.
method Dynamic risk measure criterion, model-free reinforcement learning, Lee-Carter mortality model.
result Periodic evaluations lead to more risk-averse strategies, while mortality improvements encourage risk-seeking behaviors.
Paper defines untangling number to measure entanglement complexity in 3-periodic networks.
problem Measuring the complexity of entanglement in 3-periodic networks.
method Defining ground states through knot-theoretic crossing diagrams and measuring untangling number.
result Introduced untangling number as a measure of entanglement complexity.
Study dynamic Pareto-optimal allocations in multi-period economies with time-consistent risk measures.
problem Optimal allocation in multi-period pure-exchange economies with stochastic endowments and time-consistent risk measures.
method Introduced dynamic Pareto-optimal allocation processes and derived recursive and comonotone improvement theorems.
result Dynamic Pareto-optimal allocation processes can be constructed recursively and are comonotone.
We define the local periodic linking number, LK, between two oriented closed or open chains in a system with three-dimensional periodic boundary conditions. The properties of LK indicate that it is an appropriate measure of entanglement between a collection of chains in a periodic system. Using this measure of linking …
Lower bound on stretch factor for periodic maps.
problem Finding a lower bound on stretch factors for periodic maps.
method Using core characteristic of end-periodic homeomorphisms, we derive a lower bound on the Handel-Miller stretch factor.
result The derived bound is sharp and measures topological complexity.
Realization of uncertainty of prices is captured by volatility, that is the tendency of prices to vary along a period of time. This is generally measured as standard deviation of daily returns. In this paper we propose and investigate the application of fuzzy transform and its inverse as an alternative measure of volat…
Following a recent paper by Baryshnikov and Zharnitskii, we consider outer billiards in the plane possessing invariant curves consisting of periodic orbits. We prove the existence and abundance of such tables using tools from sub-Riemannian geometry. We also prove that the set of 3-periodic outer billiard orbits has ze…
We perform a large-scale simulation of an Ising-based financial market model that includes 300 asset time series. The financial system simulated by the model shows a fat-tailed return distribution and volatility clustering and exhibits unstable periods indicated by the volatility index measured as the average of absolu…
Twisted Alexander invariants have been defined for any knot and linear representation of its group. The invariants are generalized for any periodic representation of the commutator subgroup of the knot group. Properties of the new twisted invariants are given. Under suitable hypotheses, reciprocality and bounds on the …
Formalizes the Fundamental Theorem of Asset Pricing in Lean 4.
problem Formalizing the Fundamental Theorem of Asset Pricing in a proof assistant.
method Formalization in Lean 4 over Mathlib, covering three market settings.
result Constructs the equivalent martingale measure explicitly and proves its properties.
We consider the problem of reconstructing signals and images from periodic nonlinearities. For such problems, we design a measurement scheme that supports efficient reconstruction; moreover, our method can be adapted to extend to compressive sensing-based signal and image acquisition systems. Our techniques can be pote…
Introduces GA-P/E, a growth-adjusted stock valuation measure.
problem Evaluating stock value and predicting future returns.
method Computes a payback period adjusted for earnings growth, using a sorted portfolio methodology.
result Low GA-P/E stocks outperform high GA-P/E stocks in absolute and risk-adjusted returns.
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a framework based on the spectral representation of variance decompositions. In an e…
Hamiltonian dynamical systems tend to have infinitely many periodic orbits. For example, for a broad class of symplectic manifolds almost all levels of a proper smooth Hamiltonian carry periodic orbits. The Hamiltonian Seifert conjecture is the existence problem for regular compact energy levels without periodic orbits…
This paper optimizes periodic dividend strategies for Lévy processes with transaction costs.
problem Maximizing dividends for spectrally negative Lévy processes with fixed transaction costs.
method Using periodic strategies and fixed transaction costs, the paper calculates the value function and shows optimality conditions.
result A sufficient condition for optimality is that the Lévy measure is completely monotonic.
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…
Study examines how slight model changes affect multi-period optimization outcomes.
problem Effect of small probabilistic model changes on multi-period optimization problems.
method Adapted Wasserstein distance for measuring changes, explicit first-order approximations proved.
result Explicit first-order approximations for multi-period stochastic optimization and optimal stopping problems.
We give examples of rank one compact surfaces on which there exist recurrent geodesics that cannot be shadowed by periodic geodesics. We build rank one compact surfaces such that ergodic measures on the unit tangent bundle of the surface are not dense in the set of probability measures invariant by the geodesic flow. F…
The (torsion) complexity of a finite edge-weighted graph is defined to be the order of the torsion subgroup of the abelian group presented by its Laplacian matrix. When G is d-periodic (i.e., G has a free action of the rank-d free abelian group by graph automorphisms, with finite quotient) the Mahler measure of its Lap…
Study fragility in global financial indices using network analysis.
problem Monitor fragility in global financial indices.
method Network-based approach to analyze daily closing prices of global financial indices.
result Network-centric measures reveal fragility in global financial indices.
Paper introduces untangling number to quantify 3-periodic tangle complexity.
problem Quantifying the complexity of 3-periodic tangles in biological, chemical, and physical systems.
method Introduces untangling number, a measure of minimum distance to ground state through diagrammatic operations.
result For infinite open curves, generic ground states are crystallographic rod packings.
New methods assess topological entanglement in periodic systems.
problem Assessing topological entanglement in systems with periodic boundary conditions.
method Introducing Periodic Jones polynomial and Cell Jones polynomial.
result Periodic Jones polynomial is a recurring factor of Jones polynomial of finite cutoffs.
A new stable similarity measure for time series using persistent homology.
problem Constructing a robust measure of time series similarity.
method Persistent homology for stability, bi-conditional periodicity score for similarity.
result Stability of the bi-conditional periodicity score under perturbations and dimension reduction.
Develops a complexity measure for neural networks based on quantum statistical mechanics.
problem Understanding the relationship between neural network structure and generalization ability.
method Introduces Periodic Spectral Ergodicity (PSE) and cascading PSE (cPSE) to quantify neural network complexity.
result Demonstrates the effectiveness of cPSE in quantifying complexity and guiding NAS.
The relation between time series irreversibility and entropy production has been recently investigated in thermodynamic systems operating away from equilibrium. In this work we explore this concept in the context of financial time series. We make use of visibility algorithms to quantify in graph-theoretical terms time …
Study examines how COVID-19 affects bond yields using network filtering methods.
problem Impact of COVID-19 on sovereign bond yields.
method Network filtering methods applied to a correlation matrix of sovereign bond yields.
result Mean correlation decreases across all filtering methods during the COVID-19 period.
Improved LSTM for industrial flow prediction with higher accuracy.
problem Predicting continuous time series variables in industrial settings.
method LSTM algorithm with multivariate tuning, incorporating periodic measurement and time window concepts.
result Significantly improved prediction accuracy (54.05% higher than traditional LSTM).
Study asset pricing under model uncertainty with discrete time and states.
problem Asset pricing under model uncertainty with discrete time and states.
method Novel definition of arbitrage, investigation of no-arbitrage conditions, expansion to multi-period securities model.
result Necessary and sufficient conditions for no-arbitrage asset pricing under model uncertainty.
We present an approach to market-consistent multi-period valuation of insurance liability cash flows based on a two-stage valuation procedure. First, a portfolio of traded financial instrument aimed at replicating the liability cash flow is fixed. Then the residual cash flow is managed by repeated one-period replicatio…
p-index approach shows efficient-contrarian strategy outperforms others in low-sentiment periods
problem Evaluating investment strategies in stock markets
method Using p-index risk measure with European put option
result Efficient-contrarian strategy outperforms others in low-sentiment periods
New framework finds periodic policies in reset-free MDPs with sublinear regret.
problem Reset-free reinforcement learning with unknown dynamics and terminal law constraints.
method Periodic framework, periodic policies, periodic regret.
result First non-asymptotic guarantees for reset-free learning in multi-agent settings.
New method estimates robust multi-period portfolios using entropy.
problem Lack of general agreement on building robust multi-period portfolios.
method Detrended cluster entropy approach to estimate portfolio weights.
result Portfolio weights are estimated reliably from real-world data at varying time horizons.
Comparison of volatility distributions in the periods of booms and stagnations: an empirical study on stock price indicesphysics.soc-ph
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…
The paper confirms a conjecture linking link bipyramid volume and Mahler measure.
problem Link bipyramid volume and Mahler measure relationship for alternating links.
method Using isoradial graphs and spanning trees on lattices, the authors confirm the conjecture for two examples and calculate five more.
result The conjecture is confirmed for specific examples of alternating links.
Describing the effect of influential spreaders on the different sectors of Indian market: a complex networks perspectivephysics.soc-ph
This study uses complex networks to analyze influential spreaders and their effects on different market sectors.
problem Existing methods failed to distinguish between positive and negative influences of market sectors.
method LIEST (Local Influential Effects for Specific Target) method using complex network analysis.
result LIEST effectively distinguishes positive and negative influences of market sectors during different periods.
Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a `liquidity-adjusted risk measure' characterized by the absence of a fixed time horizon. The underlying assumption is that - due to changes on market liquidity conditions - o…
Non-ergodic measures found in horocycle flow on Abelian differentials.
problem Finding non-ergodic measures in the horocycle flow on Abelian differentials.
method Analyzing weak convergence of ergodic measures to non-ergodic invariant measures.
result Existence of points with non-equidistributing horocycle flow orbits.
Study Agol cycles on 2-punctured torus and 5-punctured sphere, finding new dilatation formula.
problem Understanding Agol cycles on specific surfaces.
method Computed measured train tracks and Agol cycles for pseudo-Anosov maps.
result Found a new formula for the dilatation of pseudo-Anosov maps.
An area-preserving diffeomorphism of an annulus has an "action function" which measures how the diffeomorphism distorts curves. The average value of the action function over the annulus is known as the Calabi invariant of the diffeomorphism, while the average value of the action function over a periodic orbit of the di…
Study SRB measures for Anosov actions on manifolds.
problem Characterize SRB measures for Anosov actions.
method Use Ruelle-Taylor resonances and properties of Sinai-Ruelle-Bowen measures.
result SRB measures have properties like smooth disintegrations, positive basins, and are unique under certain conditions.
The purpose of this study is to measure the Total Factor Productivity (TFP) growth and determine the share of each of the economic growth sources in the mining sector of Iran. The time period of this study is 1355-1385 of the Solar Hijri calendar (roughly overlaying with the time period of 1976-2006 of the Gregorian ca…
The paper extends the market price of risk for electricity swap contracts, incorporating jump risk.
problem Pricing electricity swap contracts with consideration of jump risk.
method Introducing a Merton type model with jumps and transferring to the physical measure, comparing arithmetic and geometric averaging.
result A decomposition of swap's market price of risk into classical and market price of risk components.
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…
Complexity of signed graphs linked to Alexander polynomials and Lehmer's question.
problem Complexity of signed graphs and its relation to Alexander polynomials.
method Definition of graph complexity using Laplacian matrix and Mahler measure, linking to Alexander polynomials and Lehmer's question.
result Complexity growth of signed graphs is related to the growth rate of Alexander polynomials.
The paper examines how randomness in forex returns increases during financial crises.
problem Measuring randomness in forex returns during financial crises.
method Approximate Entropy and Sample Entropy statistics.
result Randomness in forex returns decreases during financial crises, as evidenced by lower entropy values.
Study improves risk management for volatile markets using expectiles.
problem Limitations of traditional risk measures during market stress.
method Develops expectile-based framework for FTSE 100 index.
result Expectile-based Value-at-Risk (EVaR) outperforms traditional VaR measures.
A new model detects financial bubbles with high accuracy.
problem Quantifying and detecting financial bubbles.
method Hyped Log-Periodic Power Law Model (HLPPL) with sentiment scores and hype index.
result Achieved an average annualized return of 34.13% during backtesting.