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.
Alternative finance models from physics for non-equilibrium systems.
Statistical arbitrageurs have inelastic demand, contrary to classical models.
Study equilibrium consumption habits in a large population using mean field games.
A new method relaxes molecules without needing non-equilibrium data.
During the last two years, Europe has been facing a debt crisis, and Greece has been at its center. In response to the crisis, drastic actions have been taken, including the halving of Greek debt. Policy makers acted because interest rates for sovereign debt increased dramatically. High interest rates imply that defaul…
We consider a simple stochastic model of a urban rental housing market, in which the interaction of tenants and landlords induces rent fluctuations. We simulate the model numerically and measure the equilibrium rent distribution, which is found to be close to a lognormal law. We also study the influence of the density …
Entropy regularization improves MFG learning efficiency and stability.
We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use polynomial expansions to approximate prices. The precision with which they can compute prices is endogenous and depends on t…
PAPAL algorithm finds mixed Nash equilibria in continuous games.
Enhanced diffusion sampling improves rare event sampling in biomolecular simulations.
Enhanced diffusion sampling tackles rare event sampling in biomolecular simulations.
AHEAD improves financial market efficiency through ad-hoc auctions.
We propose a method for learning cyclic causal models from a combination of observational and interventional equilibrium data. Novel aspects of the proposed method are its ability to work with continuous data (without assuming linearity) and to deal with feedback loops. Within the context of biochemical reactions, we a…
In recent years, machine learning researchers have focused on methods to construct flexible and interpretable prediction models. However, an interpretability evaluation, a relationship between generalization performance and an interpretability of the model and a method for improving the interpretability have to be cons…
We consider the insurance company as a physical system which is immersed in its environment (the financial market). The insurer company interacts with the market by exchanging the money through the payments for loss claims and receiving the premium. Here in the equilibrium state we obtain the premium by using the canon…
In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium adjustment mechanisms. This raises the important question of how sensitive such mod…
Game theory models how agents trade in a risky asset considering price impact and a common signal.
Motivated by the study of the equilibrium equations for a soap film hanging from a wire frame, we prove a compactness theorem for surfaces with asymptotically vanishing mean curvature and fixed or converging boundaries. In particular, we obtain sufficient geometric conditions for the minimal surfaces spanned by a given…
Model predicts BESS interactions and price impacts in energy markets.
In agreement with the recent research findings in the econophysics, we propose that the nonlinear dynamic chaos can be generated by the turbulent capital flows in both the quantitative easing transmission channels and the transaction networks channels, when there are the laminar turbulent capital flows transitions in t…
Derives formula for present value of future consumer goods multiplier.
This paper tackles traffic volume estimation challenges with a deep learning method.
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual unpredictable fluctuations. This classical view of markets absorbing information a…
We introduce a quantitative approach to comparative statics that allows to bound the maximum effect of an exogenous parameter change on a system's equilibrium. The motivation for this approach is a well known paradox in multimarket Cournot competition, where a positive price shock on a monopoly market may actually redu…
Personal income distribution in the USA has a well-defined two-class structure. The majority of population (97-99%) belongs to the lower class characterized by the exponential Boltzmann-Gibbs ("thermal") distribution, whereas the upper class (1-3% of population) has a Pareto power-law ("superthermal") distribution. By …
A \emph{new} notion of equilibrium, which we call \emph{strong equilibrium}, is introduced for time-inconsistent stopping problems in continuous time. Compared to the existing notions introduced in ArXiv: 1502.03998 and ArXiv: 1709.05181, which in this paper are called \emph{mild equilibrium} and \emph{weak equilibrium…
GANs improve stochastic dynamics prediction by selecting randomly between models.
Graph curvature measured by inverse resistance distance.
Two-cycle GEILA equilibria are OLG equilibria and vice versa, with applications to indeterminacy and bubbles.
We prove the existence of a Radner equilibrium in a model with proportional transaction costs on an infinite time horizon and analyze the effect of transaction costs on the endogenously determined interest rate. Two agents receive exogenous, unspanned income and choose between consumption and investing into an annuity.…
Existence of Radner equilibrium proven with growing population.
Study how transaction costs impact stock returns and holdings in equilibrium.
Equilibrium found for multi-agent trading with transaction costs.
The paper examines Nash equilibrium in GANs for stationary Gaussian processes.
Study on equilibrium with non-convex preferences.
We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.
The theorems we proved describe the structure of economic equilibrium in the exchange economy model. We have studied the structure of property vectors under given structure of demand vectors at which given price vector is equilibrium one. On this ground, we describe the general structure of the equilibrium state and gi…
We build an agent-based model for the order book with three types of market participants: informed trader, noise trader and competitive market makers. Using a Glosten-Milgrom like approach, we are able to deduce the whole limit order book (bid-ask spread and volume available at each price) from the interactions between…
An equation for the evolution of the distribution of wealth in a population of economic agents making binary transactions with a constant total amount of "money" has recently been proposed by one of us (RLR). This equation takes the form of an iterated nonlinear map of the distribution of wealth. The equilibrium distri…
By generalizing the measurements on the game experiments of mixed strategy Nash equilibrium, we study the dynamical pattern in a representative dynamic stochastic general equilibrium (DSGE). The DSGE model describes the entanglements of the three variables (output gap [], inflation [] and nominal interest rate [$…
We construct continuous-time equilibrium models based on a finite number of exponential utility investors. The investors' income rates as well as the stock's dividend rate are governed by discontinuous Levy processes. Our main result provides the equilibrium (i.e., bond and stock price dynamics) in closed-form. As an a…
Study analyzes market equilibrium returns with price impact and transaction costs.
DEQs converge to optimal solutions with mild over-parameterization.
Kyle's equilibrium model stability proven for 1-2 trading times, but not for 3 or more.
Geometric programming approach for traffic equilibrium problems.
In this paper, we study dynamics of geodesic flows over closed surfaces of genus greater than or equal to 2 without focal points. Especially, we prove that there is a large class of potentials having unique equilibrium states, including scalar multiples of the geometric potential, provided the scalar is less than 1. Mo…
The mutual fund industry manages about a quarter of the assets in the U.S. stock market and thus plays an important role in the U.S. economy. The question of how much control is concentrated in the hands of the largest players is best quantitatively discussed in terms of the tail behavior of the mutual fund size distri…
Quasitoric manifolds, introduced by M. Davis and T. Januskiewicz in 1991, are topological generalizations of smooth complex projective spaces. In 1992, Banchoff and Kühnel constructed a 10-vertex equilibrium triangulations of $\CP^2$. We generalize this construction for quasitoric manifolds and construct some equilibri…