arXiv research

We consider in a market model the cooperative emergence of value due to a positive feedback between perception of needs and demand. Here we consider also a negative feedback from production of the traded products, and find that this cooperativity is robust, provided that the production rate is slow. Cooperativity is fo…

This study finds ESG rating disagreement reduces corporate productivity, especially in certain types of firms.

Rating platforms enable large-scale collection of user opinion about items (products, other users, etc.). However, many untrustworthy users give fraudulent ratings for excessive monetary gains. In the paper, we present FairJudge, a system to identify such fraudulent users. We propose three metrics: (i) the fairness of …

Researchers prove inner product recovery is impossible in latent space models.

New formula classifies product reviews into higher and lower ratings based on sentiment analysis.

Our study employs sentiment analysis to evaluate the compatibility of Amazon.com reviews with their corresponding ratings. Sentiment analysis is the task of identifying and classifying the sentiment expressed in a piece of text as being positive or negative. On e-commerce websites such as Amazon.com, consumers can subm…

Develops a method to approximate convexity adjustments for interest rate products.

Labor productivity in developed countries is analyzed and modeled. Modeling is based on our previous finding that the rate of labor force participation is a unique function of GDP per capita. Therefore, labor productivity is fully determined by the rate of economic growth, and thus, is a secondary economic variable. In…

Paper analyzes constant-product market making protocols.

The paper extends kernel ridge regression to product kernels and reveals new convergence behaviors.

The Weil-Petersson metric for the moduli space of Riemann surfaces has negative sectional curvature. Surfaces represented in the complement of a compact set in the moduli space have short geodesics. At such surfaces the Weil-Petersson metric is approximately a product metric. An almost product metric has sections with …

Derives equations for capital deepening in a competitive economy without assuming a production function.

Bubbles are essential in certain economic models with high growth and low interest rates.

The study examines how automorphism growth rates of a group can be deduced from its simpler decompositions.

Deep neural networks approximate analytic functions in high dimensions with exponential rates.

It seems to be a pearl of conventional wisdom that parameter learning in deep sum-product networks is surprisingly fast compared to shallow mixture models. This paper examines the effects of overparameterization in sum-product networks on the speed of parameter optimisation. Using theoretical analysis and empirical exp…

A new model prices Bermudan swaptions without calibration.

For a product of interest, we propose a search method to surface a set of reference products. The reference products can be used as candidates to support downstream modeling tasks and business applications. The search method consists of product representation learning and fingerprint-type vector searching. The product …

Different technological domains have significantly different rates of performance improvement. Prior theory indicates that such differing rates should influence the relative speed of diffusion of the products embodying the different technologies since improvement in performance during the diffusion process increases th…

The prediction of the gas production from mature gas wells, due to their complex end-of-life behavior, is challenging and crucial for operational decision making. In this paper, we apply a modified deep LSTM model for prediction of the gas flow rates in mature gas wells, including the uncertainties in input parameters.…

We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al (2011), and the related collateralized valuation measure, can be helpful in defining the key market rates underlying th…

Labor productivity in Turkey, Spain, Belgium, Austria, Switzerland, and New Zealand has been analyzed and modeled. These counties extend the previously analyzed set of the US, UK, Japan, France, Italy, and Canada. Modelling is based on the link between the rate of labor participation and real GDP per capita. New result…

Enhanced Gordon growth model for valuing financial products.

The aim of this paper is to present a dual-term structure model of interest rate derivatives in order to solve the two hardest problems in financial modeling: the exact volatility calibration of the entire swaption matrix, and the calculation of bucket vegas for structured products. The model takes a series of long-ter…

This paper mixes constant sum and constant product market makers to improve their features.

Optimal rates for vector-valued regression on various norms.

Proposes GLWB-LTC for enhanced life care annuities with dynamic withdrawal strategies and stochastic interest rates.

We analyze four structured products that have caused severe losses to investors in recent years. These products are: return optimization securities, yield magnet notes, reverse exchangeable securities, and principal-protected notes. We describe the basic structure of these products, analyze them probabilistically using…

In this paper, we present a data-driven model for forecasting the production increase after hydraulic fracturing (HF). We use data from fracturing jobs performed at one of the Siberian oilfields. The data includes features, characterizing the jobs, and geological information. To predict an oil rate after the fracturing…

The aim of this work is to provide fast and accurate approximation schemes for the Monte Carlo pricing of derivatives in LIBOR market models. Standard methods can be applied to solve the stochastic differential equations of the successive LIBOR rates but the methods are generally slow. Our contribution is twofold. Firs…

This paper presents a new method for estimating high dimensional covariance matrices. The method, permuted rank-penalized least-squares (PRLS), is based on a Kronecker product series expansion of the true covariance matrix. Assuming an i.i.d. Gaussian random sample, we establish high dimensional rates of convergence to…

Random walks on hyperbolic spaces follow predictable large deviation principles.

We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX rates can be performed effciently through the FFT methodology thanks to the affinit…

In this paper, we give a new sharp generalization bound of lp-MKL which is a generalized framework of multiple kernel learning (MKL) and imposes lp-mixed-norm regularization instead of l1-mixed-norm regularization. We utilize localization techniques to obtain the sharp learning rate. The bound is characterized by the d…

Study proves Łojasiewicz inequalities for self-shrinkers, aiding in their uniqueness.

This study optimizes trading and arbitrage in decentralized finance's CPMs, revealing convexity costs and developing efficient strategies.

Equivalent tests for SGD batch size selection found.

Modeling taxation of Variable Annuities has been frequently neglected but accounting for it can significantly improve the explanation of the withdrawal dynamics and lead to a better modeling of the financial cost of these insurance products. The importance of including a model for taxation has first been observed by Mo…

We employ the Bayesian framework to define a cointegration measure aimed to represent long term relationships between time series. For visualization of these relationships we introduce a dissimilarity matrix and a map based on the Sorting Points Into Neighborhoods (SPIN) technique, which has been previously used to ana…

New model incorporates long-range dependence in mortality rates for better valuation and risk management.

Mathematically, a homothetic function is a function of the form $f({\bf x})=F(h(x_1,...,x_n))$, where $h$ is a homogeneous function of any degree $d\ne 0$ and $F$ is a monotonically increasing function. In economics homothetic functions are production functions whose marginal technical rate of substitution is homogeneo…

Paper improves SDR estimation speed and conditions.

We study estimation of (semi-)inner products between two nonparametric probability distributions, given IID samples from each distribution. These products include relatively well-studied classical $\mathcal{L}^2$ and Sobolev inner products, as well as those induced by translation-invariant reproducing kernels, for whic…

The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A single yield curve is not sufficient any longer to describe the market of interest rate products. On the other hand, using different yield c…

For any manifold $N^p$ admitting an Einstein metric with positive Einstein constant, we study the behavior of the Ricci flow on high-dimensional products $M = N^p \times S^{q+1}$ with doubly-warped product metrics. In particular, we provide a rigorous construction of local, type II, conical singularity formation on suc…

Topological theory for qLDPC codes enables non-Clifford gates and magic state injection.

The key idea of this model is that firms are the result of an evolutionary process. Based on demand and supply considerations the evolutionary model presented here derives explicitly Gibrat's law of proportionate effects as the result of the competition between products. Applying a preferential attachment mechanism for…

Study on kernel regression risk in high dimensions using Pinsker bound.