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.
New method detects change points in quasi-periodic signals without supervision.
Binary encoding enables neural networks to extrapolate periodic functions.
Proposes a deep RL approach for high-frequency market making using tick data and periodic signals.
A challenging problem in physics concerns the possibility of forecasting rare but extreme phenomena such as large earthquakes, financial market crashes, and material rupture. A promising line of research involves the early detection of precursory log-periodic oscillations to help forecast extreme events in collective p…
TDA detects financial bubbles through early warning signals.
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…
This work tried to detect the existence of a relationship between the graphic signals - or patterns - observed day by day in the Brazilian stock market and the trends which happen after these signals, within a period of 8 years, for a number of securities. The results obtained from this study show evidence of the exist…
A growing part of the behavioral finance literature has addressed some of the stylized facts of financial time series as macroscopic patterns emerging from herding interactions among groups of agents with heterogeneous trading strategies and a limited rationality. We extend a stochastic herding formalism introduced for…
A new model detects financial bubbles with high accuracy.
The relation between performance and stress is described by the Yerkes-Dodson Law but varies significantly between individuals. This paper describes a method for determining the individual optimal performance as a function of physiological signals. The method is based on attention and reasoning tests of increasing comp…
Game theory model for optimal trading with end-of-day constraints.
Pitch or fundamental frequency (f0) extraction is a fundamental problem studied extensively for its potential applications in speech and clinical applications. In literature, explicit mode specific (modal speech or singing voice or emotional/ expressive speech or noisy speech) signal processing and deep learning f0 ext…
DEPTS learns to forecast periodic time series with improved accuracy.
We study the profitability of optimal mean reversion trading strategies in the US equity market. Different from regular pair trading practice, we apply maximum likelihood method to construct the optimal static pairs trading portfolio that best fits the Ornstein-Uhlenbeck process, and rigorously estimate the parameters.…
Study compares two factor models for electricity spot prices across different periods.
Paper proposes an efficient method for calibrating spatio-temporal forecasts.
Spectral methods predict long-term signals from linear and nonlinear systems.
Bayesian Neural Networks detect gravitational wave events with high accuracy and real-time potential.
The financial crisis clearly illustrated the importance of characterizing the level of 'systemic' risk associated with an entire credit network, rather than with single institutions. However, the interplay between financial distress and topological changes is still poorly understood. Here we analyze the quarterly inter…
MarketSenseAI uses AI to select stocks with 10-30% excess alpha.
We show that the emergence of systemic risk in complex systems can be understood from the evolution of functional networks representing interactions inferred from fluctuation correlations between macroscopic observables. Specifically, we analyze the long-term collective dynamics of the New York Stock Exchange between 1…
Feature extraction for automatic classification of EEG signals typically relies on time frequency representations of the signal. Techniques such as cepstral-based filter banks or wavelets are popular analysis techniques in many signal processing applications including EEG classification. In this paper, we present a com…
Based on the Log-Periodic Power Law (LPPL) methodology, with the universal preferred scaling factor , the negative bubble on the oil market in 2014-2016 has been detected. Over the same period a positive bubble on the so called commodity currencies expressed in terms of the US dollar appears to take place w…
We consider the demixing problem of two (or more) structured high-dimensional vectors from a limited number of nonlinear observations where this nonlinearity is due to either a periodic or an aperiodic function. We study certain families of structured superposition models, and propose a method which provably recovers t…
We consider the problem of reconstructing a signal from under-determined modulo observations (or measurements). This observation model is inspired by a (relatively) less well-known imaging mechanism called modulo imaging, which can be used to extend the dynamic range of imaging systems; variations of this model have al…
This study evaluates a dynamic pairs trading strategy in cryptocurrencies using cointegration tests.
Develops a validated trading framework for market microstructure signals.
I introduce a general, Bayesian method for modelling univariate time series data assumed to be drawn from a continuous, stochastic process. The method accommodates arbitrary temporal sampling, and takes into account measurement uncertainties for arbitrary error models (not just Gaussian) on both the time and signal var…
AI-driven investment strategies self-defeat at scale due to signal crowding and erosion.
Paper proposes SERT model for US stock pricing, outperforming standard models during market shocks.
Transformer model predicts train axle vibrations for safer maintenance.
A blindfolded LLM trading framework validates market signals without ticker memorization.
This study uses high-frequency data to identify early warning signals for bank crises.
Demand response is designed to motivate electricity customers to modify their loads at critical time periods. The accurate estimation of impact of demand response signals to customers' consumption is central to any successful program. In practice, learning these response is nontrivial because operators can only send a …
Applicability of the concept of financial log-periodicity is discussed and encouragingly verified for various phases of the world stock markets development in the period 2000-2010. In particular, a speculative forecasting scenario designed in the end of 2004, that properly predicted the world stock market increases in …
Computing accurate estimates of the Fourier transform of analog signals from discrete data points is important in many fields of science and engineering. The conventional approach of performing the discrete Fourier transform of the data implicitly assumes periodicity and bandlimitedness of the signal. In this paper, we…
Predicting the health of components in complex dynamic systems such as an automobile poses numerous challenges. The primary aim of such predictive systems is to use the high-dimensional data acquired from different sensors and predict the state-of-health of a particular component, e.g., brake pad. The classical approac…
Optimizes trading strategy considering alpha decay and transaction costs.
Study limits of circadian synchronization under different light signals.
A new diffusion model improves time-series forecasting by preserving seasonal patterns.
Dynamic econometric models improve trading signals in momentum strategies.
The recent literature on deep learning offers new tools to learn a rich probability distribution over high dimensional data such as images or sounds. In this work we investigate the possibility of learning the prior distribution over neural network parameters using such tools. Our resulting variational Bayes algorithm …
We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very long time scales. We use for our studies both futures time series, that exist since 1960, and spot time series that allow us to go back to 18…
Study uses neural networks to filter financial spillovers from noise.
Improving the performance of click-through rate (CTR) prediction remains one of the core tasks in online advertising systems. With the rise of deep learning, CTR prediction models with deep networks remarkably enhance model capacities. In deep CTR models, exploiting users' historical data is essential for learning user…
What is the role of social interactions in the creation of price bubbles? Answering this question requires obtaining collective behavioural traces generated by the activity of a large number of actors. Digital currencies offer a unique possibility to measure socio-economic signals from such digital traces. Here, we foc…
The objective of this article is to analyze the impact of capital structure on profitability. This impact can be explained by three essential theories: signaling theory, tax theory and the agency costs theory. A sample of 1846 French industrial firms are taken over the period 1999-2006, as a dynamic panel study by usin…
Researchers adaptively analyze market regimes to reveal investor behavior shifts.