We improve kernel ridge regression for skewed responses using oversampling and adaptive partitioning.
problem Kernel ridge regression struggles with skewed response variables, leading to poor estimates.
method Combines adaptive partitioning with oversampling to address skewed responses in kernel ridge regression.
result The proposed method yields estimates with smaller risk compared to classical methods under mild conditions.
There are some statistical anomalies in the Chinese stock market, i.e., positive return skewness, anti-leverage effect (positive returns induce higher volatility than negative returns); and reverse volatility asymmetry (contemporaneous return-volatility correlation is positive). In this paper, we first confirm the exis…
This paper describes an agent-based model of interacting firms, in which interacting firm agents rationally invest capital and labor in order to maximize payoff. Both transactions and production are taken into account in this model. First, the performance of individual firms on a real transaction network was simulated.…
Matrix factorization is a popular approach to solving matrix estimation problems based on partial observations. Existing matrix factorization is based on least squares and aims to yield a low-rank matrix to interpret the conditional sample means given the observations. However, in many real applications with skewed and…
The study analyzes how large language models form and express investor risk profiles.
problem Understanding how large language models (LLMs) form and express investor risk profiles.
method Examined three LLMs (GPT, Gemini, and Llama) and assessed their responses to a standardized risk questionnaire under varying prompts.
result LLMs generally form long-term investment profiles, but they exhibit different risk tolerance levels.
In this paper, an application of three GARCH-type models (sGARCH, iGARCH, and tGARCH) with Student t-distribution, Generalized Error distribution (GED), and Normal Inverse Gaussian (NIG) distribution are examined. The new development allows for the modeling of volatility clustering effects, the leptokurtic and the skew…
The paper defines MTCov for skewed elliptical distributions.
problem No specific problem stated, but dealing with skewed elliptical distributions.
method Defined MTCov for generalized skew-elliptical distributions and compared with skewed and non-skewed normal distributions.
result Special formula for MTCov of generalized skew-elliptical distributions.
The paper analyzes skewness and kurtosis measures for skew-elliptical distributions.
problem Examining skewness and kurtosis measures for skew-elliptical distributions.
method Deriving exact expressions for skewness and kurtosis measures for skew-elliptical distributions, constructing test statistics, and comparing measures through simulations and real data analysis.
result Exact expressions and test statistics for skewness and kurtosis measures for various skew-elliptical distributions.
New method proves fast regret bounds for online RLHF with generalized preferences.
problem Minimizing max-regret in online RLHF with general preferences and bandit feedback.
method Adopted Generalized Bilinear Preference Model (GBPM) to investigate polylogarithmic regret guarantees.
result Proved polylogarithmic regret bounds for Greedy Sampling and Explore-Then-Commit policies under GBPM.
The paper calculates moments and conditional risks for skewed elliptical distributions.
problem Estimating moments and tail conditional risks for skewed elliptical distributions.
method Derives explicit expressions for multivariate doubly truncated moments and conditional risks for generalized skew-elliptical distributions.
result Explicit formulas for multivariate doubly truncated moments and conditional risks are derived for various skewed elliptical distributions.
This paper continues a series of studies devoted to analysis of the bivariate probability distribution P(x,y) of two consecutive price increments x (push) and y (response) at intraday timescales for a group of stocks. Besides the asymmetry properties of P(x,y) such as Market Mill dependence patterns described in preced…
Proposes a method to identify elements in a skewness matrix for multivariate skew-elliptical distributions.
problem Label switching issue in Bayesian estimation of skewness matrix.
method Imposes a positive lower-triangular constraint and uses Bayesian sparse estimation with horseshoe prior.
result Successfully estimates the true structure of skewness dependency.
Enhances knot counting invariant using skew braces.
problem Counting invariant for virtual knots and links.
method Introduces new invariants using skew brace structures.
result New invariants not determined by the counting invariant.
Study the geometry and dynamics of skew evolutes and involutes, related to bicycle kinematics.
problem Understanding the geometry and dynamics of skew evolutes and involutes.
method Investigate the skew evolute and involute maps, comparing them to bicycle kinematics.
result The skew evolute and involute maps have properties analogous to bicycle kinematics.
Study on simplicity of Lie skew braces, proving new results for compact cases.
problem Simplicity of Lie skew braces, focusing on compact connected cases.
method Reviewing correspondence, investigating ideals and rigidity, proving main result for compact Lie skew braces.
result Compact connected simple Lie skew braces are either trivial or have simple underlying Lie groups.
The paper examines smoothness in graded skew Clifford algebras.
problem Smoothness of graded skew Clifford algebras.
method Investigation of differential smoothness.
result Results on the differential smoothness of graded skew Clifford algebras.
A skew loop is a closed curve without parallel tangent lines. We prove: The only complete surfaces in euclidean 3-space with a point of positive curvature and no skew loops are the quadrics. In particular, ellipsoids are the only closed surfaces without skew loops. We also prove results about skew loops on cylinders an…
Simple method solves Quanto Skew problem.
problem Quanto Skew problem in Equities and FX.
method Analytical method that accommodates Equity and FX volatility skew.
result Highly efficient and fast performance.
New topological biquandles created using skew braces.
problem Creating nontrivial topological biquandles.
method Using the concept of skew braces.
result Constructs nontrivial examples of topological biquandles.
Examines differential smoothness in a specific skew PBW extension family.
problem Differential smoothness in skew PBW extensions.
method Investigates a specific family of skew PBW extensions.
result Results on differential smoothness of the family.
Skewness dispersion predicts future stock market returns, especially in months with monetary policy announcements.
problem Predicting future stock market returns using skewness dispersion.
method Cross-sectional analysis of firm-level realized skewness and stock market returns.
result Skewness dispersion is a significant predictor of future stock market returns, robust to various estimation methods.
New condition ensures submanifolds are skew in small areas.
problem Ensuring submanifolds are skew in Euclidean space.
method Introduces a third-order differential condition.
result Constructs improved totally skew embeddings for Rn. A skew brane is an immersed codimension 2 submanifold in affine space, free from pairs of parallel tangent spaces. Using Morse theory, we prove that a skew brane cannot lie on a quadratic hypersurface. We also prove that there are no skew loops on embedded ruled developable discs in 3-space. The paper extends recent wo…
This paper classifies 4D spin manifolds with skew Killing spinors.
problem Classifying 4D Riemannian spin manifolds with skew Killing spinors.
method Analyzing skew Killing spinors with skew-symmetric endomorphisms A, considering both degenerate and non-degenerate cases.
result In the degenerate case, the manifold is locally isometric to R x N with N having a skew Killing spinor.
Complete classification of quaternionic skew-Hermitian symmetric spaces found.
problem Classifying quaternionic skew-Hermitian symmetric spaces.
method Proving the existence of a torsion-free mSO∗(2n)mSp(1)-structure and showing that any homogeneous space is symmetric. result A complete classification of quaternionic skew-Hermitian symmetric spaces for arbitrary n>1. We propose coalescent mechanism of economic grow because of redistribution of external resources. It leads to Zipf distribution of firms over their sizes, turning to stretched exponent because of size-dependent effects, and predicts exponential distribution of income between individuals. We also present new approach to…
Study refracted skew Brownian motion, find densities and asymptotics.
problem Modeling and analyzing refracted skew Brownian motion.
method Perturbation approach to find potential densities, transition density, and asymptotic behaviors.
result Expressions and asymptotic behaviors of refracted skew Brownian motion.
Following recent work by Ghomi, Solomon and Tabachnikov, we study geometry and topology of skew branes. A skew brane is a codimension 2 submanifold in affine space such that the tangent spaces at any pair of distinct points are not parallel. We prove that if an oriented closed manifold has a non-zero Euler characterist…
New RESK distributions improve robust clustering of skewed data.
problem Robustly clustering non-symmetric, heavy-tailed data clusters.
method Proposes RESK distributions and an EM algorithm with robust skew-Huber M-estimator.
result Numerical experiments confirm the effectiveness of the proposed methods.
The paper examines differential smoothness in skew PBW extensions over polynomial rings.
problem Differential smoothness in skew PBW extensions over polynomial rings.
method Investigation of skew PBW extensions over commutative polynomial rings.
result Results on differential smoothness for skew PBW extensions over polynomial rings.
A parsimonious model reduces over-parameterization in skewed matrix variate mixtures.
problem Over-parameterization in skewed matrix variate mixtures.
method Parsimonious family of 256 models using bilinear factor analyzers constrained over clusters, with AECM algorithm for estimation.
result Extensive simulations and real-world datasets (MNIST, Olivetti faces) demonstrate the method's effectiveness.
Study various submanifolds in quaternionic skew-Hermitian spaces.
problem Characterize submanifolds in almost quaternionic skew-Hermitian manifolds.
method Construct explicit examples of submanifolds in semisimple quaternionic skew-Hermitian symmetric spaces.
result Explicit examples of submanifolds for each type considered.
Machine Learning has been steadily gaining traction for its use in Anomaly-based Network Intrusion Detection Systems (A-NIDS). Research into this domain is frequently performed using the KDD~CUP~99 dataset as a benchmark. Several studies question its usability while constructing a contemporary NIDS, due to the skewed r…
Optimizes option portfolios for skewed-t returns using VaR and variance measures.
problem Optimizing portfolios for skewed-t returns with heavy tails and skewness.
method Uses variance and VaR measures, departing from normal returns, and provides explicit portfolio weights.
result Optimal portfolio weights differ significantly from variance optimal weights due to skewness.
The paper introduces BCART models for aggregate claim amount, improving frequency-severity and joint modeling.
problem Modeling aggregate claim amount with frequency-severity and joint dependencies.
method Developed three types of BCART models: frequency-severity, sequential, and joint models. Used various distributions for claim severity data.
result Weibull distribution outperforms gamma and lognormal for right-skewed, heavy-tailed claim severity data.
New divergence measures improve KL approximation.
problem Improving KL divergence approximation without AC condition.
method Introduced α-geodesical skew divergence. result Properties of α-geodesical skew divergence studied. The paper improves asset allocation using a skew-normal distribution in the Black-Litterman model.
problem Improving asset allocation under skewed return distributions.
method Using the Black-Litterman model with hidden truncation skew-normal distribution and Simaan's three-moment risk model.
result Optimal portfolios have less risk and higher skewness compared to classical BL model.
Study improves dynamic PT fleet optimization under noisy demand predictions.
problem Accurately predicting dynamic public transport demand for effective fleet management.
method Experimental case study in Copenhagen, using linear programming to optimize fleets.
result Optimized fleet performance is mainly affected by noise distribution skew and large errors.
A new clustering method for functional data using skewed distributions.
problem Clustering functional data with skewed distributions.
method Mixtures of functional linear regression models and three skewed multivariate distributions (variance-gamma, skew-t, normal-inverse Gaussian).
result The proposed method funWeightClustSkew performs well on simulated and real data.
The paper characterizes curvature of quaternionic skew-Hermitian manifolds and constructs related geometric structures.
problem Characterizing the curvature of quaternionic skew-Hermitian manifolds.
method Holonomy theory of symplectic connections and bundle constructions.
result Existence and integrability of almost hypercomplex skew-Hermitian structures on Swann bundles.
The paper defines symmetric brackets for skew-symmetric algebroids with totally skew-symmetric torsion.
problem Defining symmetric brackets for skew-symmetric algebroids.
method Using connections with totally skew-symmetric torsion and pseudo-Riemannian metrics.
result Explicit formula for the Levi-Civita connection and symmetric brackets on almost Hermitian manifolds.
Investigates differential smoothness of 3D skew polynomial rings.
problem Differential smoothness of 3D skew polynomial rings.
method Analyzes Bell and Smith's characterization of 3D skew polynomial rings.
result Provides insights into the differential smoothness of these rings.
A geometry with parallel skew-symmetric torsion is a Riemannian manifold carrying a metric connection with parallel skew-symmetric torsion. Besides the trivial case of the Levi-Civita connection, geometries with non-vanishing parallel skew-symmetric torsion arise naturally in several geometric contexts, e.g. on natural…
Develops a binary tree model for option pricing with skew dynamics.
problem Option pricing in incomplete markets with skew dynamics.
method Binary tree model with skew Brownian motion dynamics.
result Model preserves skewness under both discrete and continuous time limits.
SkewD robustly discovers causal relationships in skewed noise models.
problem Distinguishing cause from effect in skewed noise models.
method SkewD extends normal-distribution framework to skew-normal setting for reliable inference.
result SkewD remains robust under high skewness, improving reliability.
LLMs overestimate stock returns and are less accurate at predicting extreme outcomes.
problem Behavioral biases in LLMs' stock return forecasts.
method Comparison of LLM forecasts with crowd-sourced estimates and historical data.
result LLMs overestimate stock returns and are less accurate at predicting extreme outcomes.
Optimal option portfolios under Sharpe Ratio maximization with skew-elliptical t-distributed returns
problem Optimal option portfolios under Sharpe Ratio maximization
method Formulation for explicit portfolio weights
result Different optimal portfolios for Sharpe Ratio and return-to-Value-at-Risk (VaR) ratio
New method to calculate 3-manifold invariants via skew-racks.
problem Calculating invariants of 3-manifolds.
method Introducing skew-racks with good involution and Property FR, defining cocycle invariants.
result Established new approach to obtain 3-manifold invariants via Dehn surgery.