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.
LLMs can fail to maximize aligned values even after training, due to irrational reasoning.
This study analyzes mutual influence on investment strategies of financial market agents.
We give new rational blowdown constructions of exotic CP^2#n(-CP^2) (5\leq n\leq 9) without using elliptic fibrations. We also show that our 4-manifolds admit handle decompositions without 1- and 3-handles, for 7\leq n\leq 9. A strategy for rational blowdown constructions of exotic CP^2#n(-CP^2) (1\leq n\leq 4) is also…
We consider a framework involving behavioral economics and machine learning. Rationally inattentive Bayesian agents make decisions based on their posterior distribution, utility function and information acquisition cost Renyi divergence which generalizes Shannon mutual information). By observing these decisions, how ca…
We introduce a model of super-exponential financial bubbles with two assets (risky and risk-free), in which rational investors and noise traders co-exist. Rational investors form expectations on the return and risk of a risky asset and maximize their constant relative risk aversion expected utility with respect to thei…
Time inconsistency leads to intra-personal conflict and reconciliation strategies.
We consider a heterogeneous agent-based economic model where economic agents have strictly bounded rationality and where income allocation strategies evolve through selective imitation. Income is calculated by a Cobb-Douglas type production function, and selection of strategies for imitation depends on the income growt…
Ozsvath and Szabo conjectured that knot Floer homology detects fibred knots. We propose a strategy to approach this conjecture based on Gabai's theory of sutured manifold decomposition and contact topology. We implement this strategy for genus-one knots, obtaining as a corollary that, if rational surgery on a knot …
We consider a novel application of inverse reinforcement learning with behavioral economics constraints to model, learn and predict the commenting behavior of YouTube viewers. Each group of users is modeled as a rationally inattentive Bayesian agent which solves a contextual bandit problem. Our methodology integrates t…
The study reveals traders' risk aversion and a new risk premium from market volumes.
Investors trade based on shifting prices, leading to market inefficiencies.
We analyze and quantify, in a financial market with parameter uncertainty and for a Constant Relative Risk Aversion investor, the utility effects of two different boundedly rational (i.e., sub-optimal) investment strategies (namely, myopic and unconditional strategies) and compare them between each other and with the u…
New auction design uses statistical learning to reduce costs and improve fairness.
We study American swaptions in the linear-rational (LR) term structure model introduced in [5]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It reduces to a free-boundary problem that we tackle by the local time-space calculus of [7]. We characterize th…
We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected value) and risk (a variance). In the ideal case without transaction costs the optimal strategy for any given agent is fou…
We propose to study market efficiency from a computational viewpoint. Borrowing from theoretical computer science, we define a market to be \emph{efficient with respect to resources } (e.g., time, memory) if no strategy using resources can make a profit. As a first step, we consider memory- strategies whose a…
Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant (state-independent) setting corresponds to the optimum for an expected utility maximizer w…
Recurring international financial crises have adverse socioeconomic effects and demand novel regulatory instruments or strategies for risk management and market stabilization. However, the complex web of market interactions often impedes rational decisions that would absolutely minimize the risk. Here we show that, for…
The paper shows how compact Kähler manifolds with a special bundle can be broken down into simpler parts.
We study a game-theoretic variant of the maximum circulation problem. In a flow allocation game, we are given a directed flow network. Each node is a rational agent and can strategically allocate any incoming flow to the outgoing edges. Given the strategy choices of all agents, a maximal circulation that adheres to the…
This paper acts as a collection of various trading strategies and useful pieces of market information that might help to implement such strategies. This list is meant to be comprehensive (though by no means exhaustive) and hence we only provide pointers and give further sources to explore each strategy further. To set …
We propose an analytically tractable variation of the minority game in which rational agents use probabilistic strategies. In our model, agents choose between two alternatives repeatedly, and those who are in the minority get a pay-off 1, others zero. The agents optimize the expectation value of their discounted fu…
Proposes hedging strategies for mortgage prepayment risk.
We present a simple model of a non-equilibrium self-organizing market where asset prices are partially driven by investment decisions of a bounded-rational agent. The agent acts in a stochastic market environment driven by various exogenous "alpha" signals, agent's own actions (via market impact), and noise. Unlike tra…
We consider a class of auctions (Lowest Unique Bid Auctions) that have achieved a considerable success on the Internet. Bids are made in cents (of euro) and every bidder can bid as many numbers as she wants. The lowest unique bid wins the auction. Every bid has a fixed cost, and once a participant makes a bid, she gets…
This work suggests modifications to a previously introduced class of heterogeneous agent models that allow for the inclusion of different types of agent motivations and behaviours in a unified way. The agents operate within a highly simplified environment where they are only able to be long or short one unit of the ass…
A general framework is suggested to describe human decision making in a certain class of experiments performed in a trading laboratory. We are in particular interested in discerning between two different moods, or states of the investors, corresponding to investors using fundamental investment strategies, technical ana…
LLMs mimic human traders in finance, but not as much as expected.
Investment strategies in financial markets can lead to instability due to market impacts.
LLMs in financial markets show diverse behaviors, from stable to speculative, challenging rational expectations.
Kyle (1985) builds a pioneering and influential model, in which an insider with long-lived private information submits an optimal order in each period given the market maker's pricing rule. An inconsistency exists to some extent in the sense that the ``constant pricing rule " actually assumes an adaptive expected price…
Predictive models that are developed in a regulated industry or a regulated application, like determination of credit worthiness, must be interpretable and rational (e.g., meaningful improvements in basic credit behavior must result in improved credit worthiness scores). Machine Learning technologies provide very good …
We propose a method for extending a given asset pricing formula to account for two additional sources of risk: the risk associated with future changes in market--calibrated parameters and the remaining risk associated with idiosyncratic variations in the individual assets described by the formula. The paper makes simpl…
The paper constructs new rational homology 3-spheres bounding rational homology 4-balls.
Paper tackles hidden game problem in AI alignment and language games.
This paper investigates the effects of the "uptick rule" (a short selling regulation formally known as rule 10a-1) by means of a simple stock market model, based on the ARED (adaptive rational equilibrium dynamics) modeling framework, where heterogeneous and adaptive beliefs on the future prices of a risky asset were f…
We present a universal algorithm for online trading in Stock Market which performs asymptotically at least as good as any stationary trading strategy that computes the investment at each step using a fixed function of the side information that belongs to a given RKHS (Reproducing Kernel Hilbert Space). Using a universa…
We develop a general strategy, based on gauge theoretical methods, to prove existence of curves on class VII surfaces. We prove that, for , every minimal class VII surface has a cycle of rational curves hence, by a result of Nakamura, is a global deformation of a one parameter family of blown up primary Hopf sur…
The present paper attempts to show an alternative approach with regards to rational Pythagorean-hodograph (PH) curves and especially more natural approach for rational PH helices (i.e. rational helices). It exploits geometric features of rational helices to obtain a simpler construction of these curves and apply this t…
Optimal trend-following strategy uses simple EMA, avoiding complex cherry-picked signals.
Classifies real rational knots and curves in a specific quadric space.
New method for simplifying knots with specific properties.
The study calculates the average genus of rational knots and links.
Financial markets are well known for their dramatic dynamics and consequences that affect much of the world's population. Consequently, much research has aimed at understanding, identifying and forecasting crashes and rebounds in financial markets. The Johansen-Ledoit-Sornette (JLS) model provides an operational framew…
We note that a rational -tangle diagram is obtained from a combination of four generators. There is an algorithm to distinguish two rational -tangle diagrams up to isotopy. However, there is no perfect classification about rational -tangle diagrams such as the classification of rational -tangle diagrams cor…
New rational band moves simplify knot classification.
Classifies surgeries on torus knots and cables that bound rational homology balls.
Jones polynomial coincidences explored for rational knots.