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.
The study models life insurance policy cancellations using statistical and machine learning methods.
DOLCE improves off-policy evaluation and learning by decomposing effects.
New algorithm achieves sublinear regret in CMDPs without error cancellations.
Study on sample complexity of policy gradient for stabilizing linear systems under multiplicative noise.
We propose a limit order book (LOB) model with dynamics that account for both the impact of the most recent order and the shape of the LOB. We present an empirical analysis showing that the type of the last order significantly alters the submission rate of immediate future orders, even after accounting for the state of…
Note on new cancellation formulas for manifolds.
The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancelation by studying the statistical properties of inter-cancelation durations defined as the waiting times between consecutive order cancelatio…
Study modular forms over Γ^0(2) and anomaly cancellation formulas.
In this paper we consider some insurance policies related to drawdown and drawup events of log-returns for an underlying asset modeled by a spectrally negative geometric Lévy process. We consider four contracts, three of which were introduced in Zhang et al. (2013) for a geometric Brownian motion. The first one is an i…
Order cancellation process plays a crucial role in the dynamics of price formation in order-driven stock markets and is important in the construction and validation of computational finance models. Based on the order flow data of 18 liquid stocks traded on the Shenzhen Stock Exchange in 2003, we investigate the empiric…
We give a direct proof of a cancellation formula raised in [7] on the level of differential forms. We also obtain more cancellation formulas for even dimensional Riemannian manifolds with a complex line bundle involved. Relations among these cancellation formulas are discussed.
We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in the definition of relative price. The order placement process is determined by several empirical regularities: the long memory in order direc…
For even dimensional manifolds, we prove some twisted anomaly cancellation formulas which generalize some well-known cancellation formulas. For odd dimensional manifolds, we obtain some modularly invariant characteristic forms by the Chern-Simons transgression and we also get some twisted anomaly cancellation formulas.
New proof shows Cohen-Lyndon property for non-metric small-cancellation.
New anomaly cancellation formulas for E8*E8*E8 gauge group.
New anomaly formulas from E8 bundles.
By studying modular invariance properties of some characteristic forms, we prove some new anomaly cancellation formulas which generalize the Han-Zhang and Han-Liu-Zhang anomaly cancellation formulas
New modular forms for anomaly cancellation formulas on any dimensional manifolds.
This paper examines the value of a cancellable European option in a finite time horizon setting. The specifications of this generalized European option allow the seller to cancel the option at any point in time for a fixed penalty paid directly to the holder. Here, we provide an explicit valuation formula for the Europ…
Order submission and cancellation are two constituent actions of stock trading behaviors in order-driven markets. Order submission dynamics has been extensively studied for different markets, while order cancellation dynamics is less understood. There are two positions associated with a cancellation, that is, the price…
Resolves anomaly cancellation for M5-brane in M-theory.
We prove that a topological manifold (possibly with boundary) admitting a continuous cancellative binary operation is orientable. This implies that the Möbius band admits no cancellative continuous binary operation. This answers a question posed by the second author in 2010.
In this paper, by combining modular forms and characteristic forms, we obtain general anomaly cancellation formulas of any dimension. For dimensional manifolds, our results include the gravitational anomaly cancellation formulas of Alvarez-Gaumé and Witten in dimensions 2, 6 and 10 (\cite{AW}) as special cases. …
Second-order estimator improves continuous-time policy evaluation.
New formulas derived for anomaly cancellation using modular forms and E8 bundles.
By studying modular invariance properties of some characteristic forms, we obtain twisted anomaly cancellation formulas. We apply these twisted cancellation formulas to study divisibilities on spin manifolds and congruences on spin manifolds. Especially, we get twisted Rokhlin congruences for dimensional spi…
New anomaly formulas derived from bundles.
Abstract: Generalizes modular forms to family case and finds new anomaly cancellation formulas.
Game (Israeli) options in a multi-asset market model with proportional transaction costs are studied in the case when the buyer is allowed to exercise the option and the seller has the right to cancel the option gradually at a mixed (or randomised) stopping time, rather than instantly at an ordinary stopping time. Allo…
SL(2,Z) forms lead to new anomaly formulas.
Using small cancellation for rotating families of groups, we construct new examples of aspherical polyhedra.
The paper extends elliptic genus and proves anomaly cancellation formulas for almost complex manifolds.
We consider the hypothesis that the C-field 4-flux and 7-flux forms in M-theory are in the image of the non-abelian Chern character map from the non-abelian generalized cohomology theory called J-twisted Cohomotopy theory. We prove for M2-brane backgrounds in M-theory on 8-manifolds that such charge quantization of the…
We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orders and the time to cancel (TTC) for canceled ones in a double auction market. We find that the distribution of all three quantities decays a…
New method optimizes language model performance for test-time strategies.
Introduces a theorem for groups acting on trees.
Proposes Textual Echo Cancellation to improve speech recognition.
Random branched covers of groups are homotopy equivalent to geometrically small cancellation complexes.
We propose a parametric model for the simulation of limit order books. We assume that limit orders, market orders and cancellations are submitted according to point processes with state-dependent intensities. We propose new functional forms for these intensities, as well as new models for the placement of limit orders …
We explain and generalise a construction due to Gromov to realise geometric small cancellation groups over graphs of groups as fundamental groups of non-positively curved 2-dimensional complexes of groups. We then give conditions so that the hyperbolicity and some finiteness properties of the small cancellation quotien…
The paper defines new modular forms from almost complex manifolds and derives anomaly cancellation formulas.
There are fundamental open problems in the precise global nature of RR-field tadpole cancellation conditions in string theory. Moreover, the non-perturbative lift as M5/MO5-anomaly cancellation in M-theory had been based on indirect plausibility arguments,lacking a microscopic underpinning in M-brane charge quantizatio…
Proves small cancellation free products have geometric actions on CAT(0) cube complexes.
New formulas derived from modular forms for manifold indices.
With increasing concerns about security, the need for highly secure physical biometrics-based authentication systems utilizing \emph{cancelable biometric} technologies is on the rise. Because the problem of cancelable template generation deals with the trade-off between template security and matching performance, many …
In this paper, we generalize the anomaly cancellation formulas in \cite{AW, Liu1, HZ2} to the cases that an auxiliary bundle as well as a complex line bundle are involved with no conditions on the first Pontryagin forms being assumed.
New approach uses deep reinforcement learning for vehicle dispatching, reducing waiting times.
We compute the transgressed forms of some modularly invariant characteristic forms,which are related to the twisted elliptic genera. We study the modularity properties of these secondary characteristic forms and relations among them. We also get some twisted anomaly cancellation formulas on some odd dimensional manifol…