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.
Study identifies transitions between traffic modes on Cologne motorways.
Minimum helicity states found in MHD equations.
We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure. We identify the dominating variable and extract its explicit stochastic model. …
We suggest an alternative mathematical model for the massless neutrino. Consider an elastic continuum in 3-dimensional Euclidean space and assume that points of this continuum can experience no displacements, only rotations. This framework is a special case of the so-called Cosserat theory of elasticity. Rotations of p…
In the limit of infinite number of nodes (agents), the Itô-reduced Bouchaud-Mézard network model of economic exchange has a time-independent mean and a steady-state inverse gamma distribution. We show that for a finite number of nodes the mean is actually distributed as a time-dependent lognormal and inverse gamma is q…
Economic integration, globalization and financial crises represent examples of processes whose understanding requires the analysis of the underlying network structure. Of particular interest is establishing whether a real economic network is in a state of (quasi)stationary equilibrium, i.e. characterized by smooth stru…
New method separates market motion from stock correlations.
New method identifies precursors of financial crises in market correlation structures.
We propose a combination of cluster analysis and stochastic process analysis to characterize high-dimensional complex dynamical systems by few dominating variables. As an example, stock market data are analyzed for which the dynamical stability as well as transitions between different stable states are found. This comb…
In this paper, we consider a simple kinetic model of economy involving both exchanges between agents and speculative trading. We show that the kinetic model admits non trivial quasi-stationary states with power law tails of Pareto type. In order to do this we consider a suitable asymptotic limit of the model yielding a…
This paper proposes a hierarchical feature extractor for non-stationary streaming time series based on the concept of switching observable Markov chain models. The slow time-scale non-stationary behaviors are considered to be a mixture of quasi-stationary fast time-scale segments that are exhibited by complex dynamical…
The Multi-Armed Bandits (MAB) framework highlights the tension between acquiring new knowledge (Exploration) and leveraging available knowledge (Exploitation). In the classical MAB problem, a decision maker must choose an arm at each time step, upon which she receives a reward. The decision maker's objective is to maxi…
\begin{abstract} We model individual T2DM patient blood glucose level (BGL) by stochastic process with discrete number of states mainly but not solely governed by medication regimen (e.g. insulin injections). BGL states change otherwise according to various physiological triggers which render a stochastic, statisticall…
This paper aims to provide a simple modelling of speculative bubbles and derive some quantitative properties of its dynamical evolution. Starting from a description of individual speculative behaviours, we build and study a second order Markov process, which after simple transformations can be viewed as a turning two-d…
Framework selects optimal historical data windows for non-stationary learning.
The disbalance of Supply and Demand is typically considered as the driving force of the markets. However, the measurement or estimation of Supply and Demand at price different from the execution price is not possible even after the transaction. An approach in which Supply and Demand are always matched, but the rate $I=…
Power quality (PQ) analysis describes the non-pure electric signals that are usually present in electric power systems. The automatic recognition of PQ disturbances can be seen as a pattern recognition problem, in which different types of waveform distortion are differentiated based on their features. Similar to other …
ABS dynamically adjusts batch size based on policy stability, improving RL performance.
Spectral analysis detects structural changes in financial networks.
Optimizes deep neural network initialization variance for better performance.