Study predicts crypto-currency price collapses using standard deviation.
problem Detecting price collapses in crypto-currencies.
method Phenomenological model and analysis of standard deviation.
result Standard deviation can predict crypto-currency price collapses.
We study the average price impact of a single trade executed in the NYSE. After appropriate averaging and rescaling, the data for the 1000 most highly capitalized stocks collapse onto a single function, giving average price shift as a function of trade size. This function increases as a power that is the order of 1/2 f…
Data analysis with log-periodical parametrization of the Brent oil price dynamics has allowed to estimate (very approximately) the date when the dashing collapse of the Brent oil price will achieve the absolute minimum level (corresponding to the so-called singularity point), after which there will occur a rather rapid…
It is a common belief that the behavior of shareholders depends upon the direction of price fluctuations: if prices increase they buy, if prices decrease they sell. That belief, however, is more based on ``common sense'' than on facts. In this paper we present evidence for a specific class of shareholders which shows t…
We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuations decrease with the size of their position, as it would be the case for risk-averse agents. In the equilibrium models of heterogeneous beliefs that fo…
Study finds significant price declines and capital reallocation from centralized to decentralized exchanges after FTX collapse.
problem Quantifying trust dynamics and redistribution between centralized and decentralized exchanges.
method Interdisciplinary approach combining causal inference and computational text analysis.
result Significant price declines and capital reallocation from centralized to decentralized exchanges following the FTX collapse.
Paper proposes a new stock price forecasting method using DRAGAN and feature matching.
problem Capturing correlations and training instability in GANs for stock price forecasting.
method Introduces DRAGAN and feature matching for improved training stability and correlation capture.
result Proposed method outperforms LSTM and basic GANs in stock price forecasting.
This article continues our analysis of the gold price dynamics that was published in December 2010 (abs/1012.4118) and forecasted the possibility of the "burst of the gold bubble" in April - June 2011. Our recent analysis suggests the possibility of one more substantial fluctuation before the final collapse in July 201…
Theory of parallel transport on non-collapsed RCD spaces established.
problem Parallel transport on non-collapsed RCD spaces.
method General theory developed for parallel transport on non-collapsed RCD spaces, including geodesics and curves via time-dependent vector fields.
result Existence and uniqueness of parallel transport results obtained.
We consider a simple stochastic differential equation for modeling bubbles in social context. A prime example is bubbles in asset pricing, but similar mechanisms may control a range of social phenomena driven by psychological factors (for example, popularity of rock groups, or a number of students pursuing a given majo…
We analyze the constituents stocks of the Dow Jones Industrial Average (DJIA30) and the Standard & Poor's 100 index (S&P100) of the NYSE stock exchange market. Surprisingly, we discover the data collapse of the histograms of the DJIA30 price fluctuations and of the S&P100 price fluctuations to the universal non-paramet…
Investment risk on a regulated market is influenced by gold prices and oil trading.
problem Systematic risk of loss in investment portfolios under sanctions.
method Statistical analysis of tail dependence between oil, gold, and Tehran Stock Exchange Index.
result Tail dependence should be considered for systematic risk, and active bartering of oil can prevent market collapse.
Our paper explains deep neural collapse in multiple layers.
problem Understanding deep neural collapse in multi-layered neural networks.
method Generalized unconstrained features model for deep networks.
result Deep unconstrained features model exhibits deep neural collapse.
Model shows how past consumption affects household confidence, leading to varied economic outcomes.
problem Exploring how past consumption impacts current confidence and economic activity in a multi-household model.
method Developed a DSGE model where past consumption influences individual household confidence and consumption propensity.
result The model demonstrates a range of economic outcomes including high output with no crises, high output with increased volatility, and alternation of high and low output states.
A new pricing controller handles resource constraints to infer target prices effectively.
problem Resource constraints prevent fixed-price inference, leading to support exclusion.
method Formalizes support-exclusion failure, designs a target-aware controller, and uses a realized information clock.
result The controller can certify feasible target bands and log continuous local densities, leading to polynomial rates of inference.
New findings on how certain functionals behave in random variable spaces.
problem Understanding when law-invariant convex functionals simplify to the mean.
method Analyzing a broad class of random variable spaces and mild semicontinuity assumptions.
result The expectation functional is the only law-invariant convex functional that collapses to the mean under certain conditions.
Paper examines floating exercise boundaries for American options in time-inhomogeneous models.
problem Floating exercise boundaries in time-inhomogeneous models with negative interest rates or yields.
method Semi-analytical approach for pricing American options.
result Specialized pricing methodologies are required for models with floating exercise boundaries.
The study analyzes how wartime controls influenced zaibatsu stock prices in Japan.
problem How wartime economic controls affected zaibatsu stock prices in Japan.
method Developed a four-portfolio asset-pricing model and used a CAPM-AR(p)-SV event-study framework.
result Wartime economic controls influenced stock prices through financing wedges and zaibatsu affiliation.
In this paper, we quantitatively investigate the statistical properties of a statistical ensemble of stock prices. We selected 1200 stocks traded on the Tokyo Stock Exchange, and formed a statistical ensemble of daily stock prices for each trading day in the 3-year period from January 4, 1999 to December 28, 2001, corr…
New estimates quantify blow-up rates of spacelike singularities in gravitational collapse.
problem Quantifying the blow-up rates of spacelike singularities in gravitational collapse.
method Deriving new quantitative estimates using spherical symmetry and double-null coordinates.
result Polynomial blow-up rates O(1/rN) for various quantities, with improved estimates for r∂ur and r∂vr. We study theoretical and empirical aspects of the mean exit time of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a quadratic scaling law and it has associated a pre-factor which is specific to the analy…
We propose a reduced form set of two coupled continuous time equations linking the price of a representative asset and the price of a bond, the later quantifying the cost of borrowing. The feedbacks between asset prices and bonds are mediated by the dependence of their "fundamental values" on past asset prices and bond…
Small stocks drive market crashes by suppressing resilience.
problem The single-security price limit exacerbates market panic during crashes.
method Simplified dynamic model on networks of investors and stocks, empirical verification.
result Unexpected linear association between price limit and critical market confidence.
Bayesian deep learning faces posterior collapse due to likelihood vs. prior competition.
problem Posterior collapse in Bayesian deep learning models.
method Identified competition between likelihood and prior regularization in a linear latent variable model.
result Posterior collapse is related to neural and dimensional collapse, suggesting a broader learning issue.
Proves weakly non-collapsed RCD spaces are strongly non-collapsed.
problem Proving the equivalence of weakly non-collapsed and strongly non-collapsed RCD spaces.
method Analyzes properties of RCD spaces and uses auxiliary results.
result Confirms conjecture about RCD spaces being strongly non-collapsed.
Study on Neural Collapse limits in deep learning.
problem Understanding the limits of Neural Collapse in deep learning.
method Investigated Neural Collapse in the context of generalization and feature learning, refining conjectures and conducting experiments.
result Neural Collapse primarily occurs on the train set and not on the test set, suggesting it is an optimization phenomenon with unclear connections to generalization.
Study of collapsed manifolds with bounded Ricci curvature and non-collapsed universal cover.
problem Understanding collapsed manifolds with specific Ricci curvature properties.
method Ricci flow techniques applied to non-collapsed universal cover.
result Partial extension of nilpotent structural results to global Ricci bounded covering geometry.
SR-GANs combat mode collapse in GANs by monitoring and compensating spectral distributions.
problem Mode collapse in GANs.
method Spectral regularization (SR-GANs) to combat spectral collapse.
result SR-GANs prevent mode collapse and outperform SN-GANs in experiments.
We explore a model of the interaction between banks and outside investors in which the ability of banks to issue inside money (short-term liabilities believed to be convertible into currency at par) can generate a collapse in asset prices and widespread bank insolvency. The banks and investors share a common belief abo…
Ricci flow smooths locally collapsing manifolds with controlled curvature.
problem Locally collapsing manifolds with controlled Ricci curvature.
method Ricci flow for a definite period of time, detecting collapsing infranil fiber bundles.
result Topological conditions detect collapsing infranil fiber bundles.
Mathematical analysis shows annealing prevents mode collapse in Gaussian mixtures.
problem Mode collapse in variational inference for multimodal distributions.
method Analyzed annealing strategies for Gaussian mixtures, derived formulas, and tested on neural networks.
result Appropriately chosen annealing schemes can robustly prevent mode collapse.
The study characterizes and rules out collapsing in convex ancient mean curvature flow.
problem Characterizing and ruling out collapsing in convex ancient mean curvature flow.
method Characterization and counterexamples.
result Collapsing occurs if and only if the flow is asymptotic to at least one Grim hyperplane.
New method controls posterior collapse in VAEs without network architecture constraints.
problem Posterior collapse in VAEs reduces diversity of generated samples.
method Introduces Latent Reconstruction (LR) loss to control posterior collapse.
result Controls posterior collapse on various datasets without architectural constraints.
Study flat manifolds' collapsed limits as flat orbifolds.
problem Understanding collapsed limits of flat manifolds.
method Analyzing totally geodesic foliations and Gromov-Hausdorff limits.
result Identify collapsed limits as flat orbifolds and provide criteria for singularity.
Special Lagrangian submanifolds emerge from K3 surface collapse.
problem Understanding special Lagrangian submanifolds in K3 surface collapse.
method Lifting affine lines to degenerating sequences of special Lagrangian submanifolds.
result Constructing special Lagrangian two-spheres connecting Taub-NUT bubbles.
The torus cannot collapse to a segment under certain curvature conditions.
problem Impossibility of codimension-one collapse for surfaces of negative Euler characteristic.
method Analysis of Gaussian curvature and homology loops.
result The torus cannot collapse to a segment under similar conditions to surfaces of negative Euler characteristic.
Collapsibility is a combinatorial strengthening of contractibility. We relate this property to metric geometry by proving the collapsibility of any complex that is CAT(0) with a metric for which all vertex stars are convex. This strengthens and generalizes a result by Crowley. Further consequences of our work are: (1) …
Two-dimensional collapsed spaces with lower Ricci bounds are topological surfaces.
problem Topology of collapsed spaces with lower Ricci bounds
method Prove that collapsed spaces are topological surfaces
result Collapsed spaces are topological surfaces
Temporal VAE improves VaR estimation for financial portfolios.
problem Estimating VaR for large asset portfolios in finance.
method Temporal VAE with annealing regularization to avoid posterior collapse.
result Temporal VAE outperforms classical VaR estimation methods on real data.
Prove that collapsing CSC metrics can be perturbed to invariant collapsing CSC metrics.
problem Prove that collapsing constant scalar curvature metrics can be perturbed to invariant collapsing constant scalar curvature metrics.
method Prove that a sequence of constant scalar curvature metrics which is collapsing with bounded curvature to a manifold can be perturbed to a sequence of invariant collapsing constant scalar curvature metrics.
result Prove that a sequence of constant scalar curvature metrics which is collapsing with bounded curvature to a manifold can be perturbed to a sequence of invariant collapsing constant scalar curvature metrics.
New differential operator helps characterize non-collapsed RCD spaces.
problem Characterizing non-collapsed compact RCD spaces.
method Explicit formula of Laplacian associated with pull-back Riemannian metric via heat kernel.
result Confirms conjecture on implication from weakly non-collapsed to non-collapsed condition.
We will simplify the earlier proofs of Perelman's collapsing theorem of 3-manifolds given by Shioya-Yamaguchi and Morgan-Tian. Among other things, we use Perelman's semi-convex analysis of distance functions to construct the desired local Seifert fibration structure on collapsed 3-manifolds. The verification of Perelma…
Estimate collapsibility of causal effects in CPDAGs via strong d-convex hulls.
problem Estimate causal effects in CPDAGs.
method Use strong d-convex hulls to characterize minimal collapsible sets.
result Efficient algorithm for obtaining collapsible sets in DAGs and CPDAGs.
We introduce the theory of strong homotopy types of simplicial complexes. Similarly to classical simple homotopy theory, the strong homotopy types can be described by elementary moves. An elementary move in this setting is called a strong collapse and it is a particular kind of simplicial collapse. The advantage of usi…
Deep nets exhibit 'Neural Collapse' during training's final phase, simplifying decision-making.
problem Understanding and optimizing deep learning training phases.
method Direct measurements on three deepnet architectures across seven datasets.
result Deep nets exhibit 'Neural Collapse' during training's final phase, simplifying decision-making.
Study tackles criterion collapse in learning criteria, showing conditions for loss minimization.
problem Criterion collapse in optimization, focusing on error probability minimizers.
method Analyzes various learning criteria, including DRO, OCE risks, and non-monotonic criteria.
result Non-monotonic criteria can avoid collapse, while monotonic ones cannot.
Lower Ricci curvature bound prevents first Betti number from dropping more than dimension in collapsing manifolds.
problem Understanding how the first Betti number behaves under manifold collapse with Ricci curvature bounds.
method Analyzing sequences of Riemannian manifolds with lower Ricci curvature bounds.
result The first Betti number cannot drop more than the dimension in collapsing manifolds.
Study on collapsing Calabi-Yau manifolds and their metrics.
problem Understanding degenerations of Calabi-Yau manifolds with Ricci-flat Kahler metrics.
method Survey of recent developments, focusing on volume collapsing metrics.
result New insights into the behavior of Calabi-Yau manifolds under volume collapse.