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 copulas model external shocks with different effects on system components.
New estimator reveals intraday betas mainly driven by correlations.
We define scenarios, propose different methods of aggregating them, discuss their properties and benchmark them against quadrant requirements.
Proposes a method to measure similarity between anomaly scores from different methods.
This paper evaluates different data management methods for GBDT systems.
Consider two insurance companies (or two branches of the same company) that receive premiums at different rates and then split the amount they pay in fixed proportions for each claim (for simplicity we assume that they are equal). We model the occurrence of claims according to a Poisson process. The ruin is achieved wh…
We introduce a new framework for training deep generative models for high-dimensional conditional density estimation. The Bottleneck Conditional Density Estimator (BCDE) is a variant of the conditional variational autoencoder (CVAE) that employs layer(s) of stochastic variables as the bottleneck between the input a…
Differential forms and symmetric tensors show contrasting singular behaviors in a specific geometric setting.
In this article we consider the Merton problem in a market with a single risky asset and transaction costs. We give a complete solution of the problem up to the solution of a free-boundary problem for a first-order differential equation, and find that the form of the solution (whether the problem is well-posed, whether…
We factorize the Dirac operator on the Connes-Landi 4-sphere in unbounded KK-theory. We show that a family of Dirac operators along the orbits of the torus action defines an unbounded Kasparov module, while the Dirac operator on the principal orbit space -an open quadrant in the 2-sphere- defines a half-closed chain. W…
We exhibit many examples of closed symplectic manifolds on which there is an autonomous Hamiltonian whose associated flow has no nonconstant periodic orbits (the only previous explicit example in the literature was the torus T^2n (n\geq 2) with an irrational symplectic structure). The underlying smooth manifolds of our…
The quotient of random variables with normal distributions is examined and proven to have have power law decay, with density , with the coefficient depending on the means and variances of the numerator and denominator and their correlation. We also obtain the conditional probability…
New insights into tail behavior of heavy-tailed random vectors and processes.
A new optimization method for probability simplex problems.
GCNs help in diagnosing label scarcity and feature quality on graphs.
The Morris Water Maze is commonly used in behavioural neuroscience for the study of spatial learning with rodents. Over the years, various methods of analysing rodent data collected in this task have been proposed. These methods span from classical performance measurements (e.g. escape latency, rodent speed, quadrant p…
Paper introduces new copulas from shock models, improving on maxmin copulas.
Study examines financial market structure changes during the COVID-19 crash using a novel MI approach.
Let M be a complete n-dimensional Riemannian spin manifold, partitioned by q two-sided hypersurfaces which have a compact transverse intersection N and which in addition satisfy a certain coarse transversality condition. Let E be a Hermitean bundle with connection on M. We define a coarse multi-partitioned index of the…
Ortho-MADS optimizes SVM hyperparameters for better accuracy.
FLAIR measures LP competitiveness in AMMs, improving LP performance evaluations.