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.
Bayesian realized EGARCH models improve tail risk forecasting.
A new model framework called Realized Conditional Autoregressive Expectile (Realized-CARE) is proposed, through incorporating a measurement equation into the conventional CARE model, in a manner analogous to the Realized-GARCH model. Competing realized measures (e.g. Realized Variance and Realized Range) are employed a…
Study examines asymmetry impacts on Japanese stock market volatility modeling and forecasting.
The realized GARCH framework is extended to incorporate the two-sided Weibull distribution, for the purpose of volatility and tail risk forecasting in a financial time series. Further, the realized range, as a competitor for realized variance or daily returns, is employed in the realized GARCH framework. Further, sub-s…
A new model forecasts financial risks using multiple realized measures.
VOLARE provides standardized realized volatility measures from financial data.
New bandit algorithm works without realizability assumption.
A new realized conditional autoregressive Value-at-Risk (VaR) framework is proposed, through incorporating a measurement equation into the original quantile regression model. The framework is further extended by employing various Expected Shortfall (ES) components, to jointly estimate and forecast VaR and ES. The measu…
Realized GARCH model explains VIX and VRP dynamics.
Bayesian framework forecasts financial tail risks using realized volatility and nonlinear thresholds.
New active learning framework for multiclass classification beyond realizability assumption.
We show that every Kaehler affine curvature model can be realized geometrically.
We show any Riemannian curvature model can be geometrically realized by a manifold with constant scalar curvature. We also show that any pseudo-Hermitian curvature model, para-Hermitian curvature model, hyper-pseudo-Hermitian curvature model, or hyper-para-Hermitian curvature model can be realized by a manifold with co…
Enhanced volatility model using LSTM and realized volatility.
Bayesian model improves asset price forecasting using realized volatility.
We show that a Hermitian algebraic curvature model satisfies the Gray identity if and only if it is geometrically realizable by a Hermitian manifold. Furthermore, such a curvature model can in fact be realized by a Hermitian manifold of constant scalar curvature and constant *-scalar curvature which satisfies the Kaehl…
The paper evaluates forecast accuracy of realized volatility measures in large cross-sections.
We investigate the existence of affine realizations for term structure models driven by Lévy processes. It turns out that we obtain more severe restrictions on the volatility than in the classical diffusion case without jumps. As special cases, we study constant direction volatilities and the existence of short rate re…
The joint Value at Risk (VaR) and expected shortfall (ES) quantile regression model of Taylor (2017) is extended via incorporating a realized measure, to drive the tail risk dynamics, as a potentially more efficient driver than daily returns. Both a maximum likelihood and an adaptive Bayesian Markov Chain Monte Carlo m…
We undertake a systematic comparison between implied volatility, as represented by VIX (new methodology) and VXO (old methodology), and realized volatility. We compare visually and statistically distributions of realized and implied variance (volatility squared) and study the distribution of their ratio. We find that t…
We show that a para-Hermitian algebraic curvature model satisfies the para-Gray identity if and only if it is geometrically realizable by a para-Hermitian manifold. This requires extending the Tricerri-Vanhecke curvature decomposition to the para-Hermitian setting. Additionally, the geometric realization can be chosen …
We show any Weyl curvature model can be geometrically realized by a Weyl manifold
We develop a tractable model of realization utility that studies the role of reference-dependent S-shaped preferences in a dynamic investment setting with reinvestment. Our model generates both voluntarily realized gains and losses. It makes specific predictions about the volume of gains and losses, the holding periods…
We show that every Kaehler algebraic curvature tensor is geometrically realizable by a Kaehler manifold of constant scalar curvature. We also show that every para-Kaehler algebraic curvature tensor is geometrically realizable by a para-Kaehler manifold of constant scalar curvature
Cryptocurrency, the most controversial and simultaneously the most interesting asset, has attracted many investors and speculators in recent years. The visibly significant market capitalization of cryptos also motivates modern financial instruments such as futures and options. Those will depend on the dynamics, volatil…
A new perspective on portfolio selection using realized returns.
Abstraction and realization are bilateral processes that are key in deriving intelligence and creativity. In many domains, the two processes are approached through rules: high-level principles that reveal invariances within similar yet diverse examples. Under a probabilistic setting for discrete input spaces, we focus …
New method improves dictionary recovery from over-realized models.
Criterion for realizing groups on Enriques manifolds.
We calculate the realized volatility in the spin model of financial markets and examine the returns standardized by the realized volatility. We find that moments of the standardized returns agree with the theoretical values of standard normal variables. This is the first evidence that the return dynamics of the spin fi…
Lower bounds on Bayes risk for realizable models derived using information theory.
Study forecasts volatility and risk in electricity markets using matrix-HAR models.
The paper studies multi-curve interest rate models and their consistency and finite-dimensional realizations.
Unified framework for realizable and agnostic learning.
The study compares econometric and deep learning models for forecasting COMEX copper futures volatility.
The paper introduces a dynamic MVP model using high-frequency financial data.
Procyclicality of historical risk measure estimation means that one tends to over-estimate future risk when present realized volatility is high and vice versa under-estimate future risk when the realized volatility is low. Out of it different questions arise, relevant for applications and theory: What are the factors w…
We study realizations of Lie algebras by vector fields. A correspondence between classification of transitive local realizations and classification of subalgebras is generalized to the case of regular local realizations. A reasonable classification problem for general realizations is rigorously formulated and an algori…
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the influence of different timescales on volatility forecasts. The decomposition of …
RNN-HAR model improves VaR forecasting with long-memory and non-linear dynamics.
Study realizes symplectic algebras and homotopy types on manifolds.
We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time-frequency domain. Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we allow for the decomposition of the realized variance into several investment horizons and jumps. Basing our estimator…
TensorPlan algorithm finds δ-optimal policies with poly queries under linearly realizable state-value function.
The paper optimizes RV estimation by efficient sampling in time-changed diffusion models.
The paper examines circle graphs of Gauss diagrams and finds counterexamples to previous descriptions.
Solves a problem related to Nielsen realization for certain groups.
Incorrect parity-based descriptions of realizable Gauss diagrams found, but bipartite graphs provide a valid approach.
The abstract discusses convergent realizations of Lie subalgebras in control theory.