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 puzzles from geometry and topology.
We analyze higher-dimensional sliding puzzles, finding solvability patterns.
Open geometry puzzles keep the author engaged.
In this article we prove the impossibility of some disentanglement puzzles, first building mathematical models that reflect the essential characteristics of these puzzles.
Proponents of behavioral finance have identified several "puzzles" in the market that are inconsistent with rational finance theory. One such puzzle is the "excess volatility puzzle". Changes in equity prices are too large given changes in the fundamentals that are expected to change equity prices. In this paper, we of…
This paper introduces the first deep neural network-based estimation metric for the jigsaw puzzle problem. Given two puzzle piece edges, the neural network predicts whether or not they should be adjacent in the correct assembly of the puzzle, using nothing but the pixels of each piece. The proposed metric exhibits an e…
We solve in closed-form an equilibrium model in which a finite number of exponential investors continuously consume and trade with price-impact. Compared to the analogous Pareto-efficient equilibrium model, price-impact has an amplification effect on risk-sharing distortions that helps resolve the interest rate puzzle …
New model solves equity premium puzzle with risk aversion coefficient.
We introduce Quintessence: a family of burr puzzles based on the geometry and combinatorics of the 120-cell. We discuss the regular polytopes, their symmetries, the dodecahedron as an important special case, the three-sphere, and the quaternions. We then construct the 120-cell, giving an illustrated survey of its geome…
New model solves equity premium puzzle.
In his stimulating article on the reasons for two puzzling observations about the behaviour of interest rates, exchange rates and the rate of inflation, Charles Engel (2016) puts forward an explanation that rests on the concept of a non-pecuniary liquidity return on assets. Albeit intriguing the analysis struggles to a…
Algorithm finds characteristic maps over complex shapes.
Solves equity premium puzzle with time-varying variables.
Solved Dudeney's 100-year-old puzzle about triangle to square dissection.
The paper explains a geometry puzzle from Plato's Meno.
Globalization is one of the central concepts of our age. The common perception of the process is that, due to declining communication and transport costs, distance becomes less and less important. However, the distance coefficient in the gravity model of trade, which grows in time, indicates that the role of distance i…
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as anomalies the theory of rational finance cannot explain: Predictability of asset returns, The Equity Premium, (The Volatility Puzzle. We offer resolutions of those objections within the rational finance…
Voluntary insurance contracts constitute a puzzle because they increase the expectation value of one party's wealth, whereas both parties must sign for such contracts to exist. Classically, the puzzle is resolved by introducing non-linear utility functions, which encode asymmetric risk preferences; or by assuming the p…
Understanding and reasoning about physics is an important ability of intelligent agents. We develop the PHYRE benchmark for physical reasoning that contains a set of simple classical mechanics puzzles in a 2D physical environment. The benchmark is designed to encourage the development of learning algorithms that are sa…
An edge tessellation is a tiling of the plane generated by reflecting a polygon in its edges. We prove that a polygon generating an edge tessellation is one the following eight types: a rectangle; an equilateral, 60-right, isosceles right, or 120-isosceles triangle; a 120-rhombus; a 60-90-120 kite; or a regular hexagon…
Puzzle Mix optimizes mixup by leveraging saliency and local statistics.
Archaeologists are in dire need of automated object reconstruction methods. Fragments reassembly is close to puzzle problems, which may be solved by computer vision algorithms. As they are often beaten on most image related tasks by deep learning algorithms, we study a classification method that can solve jigsaw puzzle…
Financial markets provide a natural quantitative lab for understanding some of the most advanced human behaviours. Among them is the use of mathematical tools known as financial instruments. Besides money, the two most fundamental financial instruments are bonds and equities. More than 30 years ago Mehra and Prescott f…
Solves the equity premium puzzle without calibrated values.
Generating music medleys is about finding an optimal permutation of a given set of music clips. Toward this goal, we propose a self-supervised learning task, called the music puzzle game, to train neural network models to learn the sequential patterns in music. In essence, such a game requires machines to correctly sor…
New method makes robust estimators work without knowing corruption levels.
This paper presents a novel scheme, based on a unique combination of genetic algorithms (GAs) and deep learning (DL), for the automatic reconstruction of Portuguese tile panels, a challenging real-world variant of the jigsaw puzzle problem (JPP) with important national heritage implications. Specifically, we introduce …
Study on CEF discount in Bangladesh, finds size and maturity impact, turnover negative.
By using two different invariants for the Rubik's Magic puzzle, one of metric type, the other of topological type, we can dramatically reduce the universe of constructible configurations of the puzzle. Finding the set of actually constructible shapes remains however a challenging task, that we tackle by first reducing …
We introduce two operations named biflip and puzzle-move on simple polytopes producing polytopes with diffeomorphic moment-angle manifolds.
Chess engines Stockfish and LCZero differ in their approach to solving endgame puzzles.
Deep networks generalize well due to hidden mechanisms like renormalization.
The Unified Growth Theory is a puzzling collection of myths based on illusions created by hyperbolic distributions. Some of these myths are discussed. The examination of data shows that the three stages of growth (Malthusian Regime, Post-Malthusian Regime and Modern Growth Regime) did not exist and that Industrial Revo…
The equity risk premium puzzle is that the return on equities has far exceeded the average return on short-term risk-free debt and cannot be explained by conventional representative-agent consumption based equilibrium models. We review a few attempts done over the years to explain this anomaly: 1. Inclusion of highly u…
Study resolves the Korean LVRP puzzle by showing HVRP exists but is masked by investor heterogeneity and improper intensity normalization.
Problems for the graduate students who want to improve problem-solving skills in geometry. Every problem has a short elegant solution -- this gives a hint which was not available when the problem was discovered.
Measuring information value in markets using covariance of price changes and order flow.
We look at generalized complex structures from the point of view of Poisson and Dirac geometry and we remark that the puzzling equations underlying the notion of generalized complex structure have miraculously simple meaning when passing to Lie algebroids/groupoids.
SOC theory explains financial volatility and economic shocks.
Empirical evidence supports new financial market definitions.
L. Kauffman conjectured that a particular solution of the Chinese Rings puzzle is the simplest possible. We prove his conjecture by using low-dimensional topology and group theory. We notice also a surprising connection between the Chinese Rings and Habiro moves (related to Vassiliev invariants).
The paper studies pricing of insurance products focusing on the pricing of annuities under uncertainty. This pricing problem is crucial for financial decision making and was studied intensively, however, many open questions still remain. In particular, there is a so-called "annuity puzzle" related to certain inconsiste…
The paper improves bounds on how many squares can fit in a rectangle and still have stable homology.
Diversification return is an incremental return earned by a rebalanced portfolio of assets. The diversification return of a rebalanced portfolio is often incorrectly ascribed to a reduction in variance. We argue that the underlying source of the diversification return is the rebalancing, which forces the investor to se…
In this paper, we address one of the main puzzles in finance observed in the stock market by proponents of behavioral finance: the stock predictability puzzle. We offer a statistical model within the context of rational finance which can be used without relying on behavioral finance assumptions to model the predictabil…
We explain a persistent cost-of-carry spread in EUA market and suggest ECB policy change.
This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints. It appears that the mathematical problem is more complex than the traditional risk budgeting problem. The formulation of the optimization program is particularly critical in order to determine the right risk …
The study uses equity order flow to forecast stock returns and resolves the liquidity premium puzzle.