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.
Multiplex Network Hawkes model for systemic risk measurement
Geopolitical and geoeconomic shocks affect sovereign risk differently, with distinct transmission channels.
Traders and investors involved in an option contract having the underlying stock in range bound are likely to lose their initial investment. Timing in buying an option contract is of capital importance. In a recent article [1] the hypothesis of range bound market is used in conjunction to Black-Scholes equation to find…
Currency volatility shocks predict lower excess returns, and buying weak transmitters outperforms selling strong ones.
MOAI evaluates indoor airflow's impact on COVID-19 transmission.
Market trade-routes can support infectious-disease transmission, impacting biological populations and even disrupting causal trade. Epidemiological models increasingly account for reductions in infectious contact, such as risk-aversion behaviour in response to pathogen outbreaks. However, market dynamics clearly differ…
Study reveals risk transmission channels among Chinese sectors.
This paper examines cryptocurrency integration with traditional markets, showing how network structure and turbulence influence cross-asset spillovers.
The paper analyzes risk spillovers between AI ETFs, AI tokens, and green markets.
Changes in collateralization have been implicated in significant default (or near-default) events during the financial crisis, most notably with AIG. We have developed a framework for quantifying this effect based on moving between Merton-type and Black-Cox-type structural default models. Our framework leads to a singl…
We address the problem of maintaining high voltage power transmission networks in security at all time, namely anticipating exceeding of thermal limit for eventual single line disconnection (whatever its cause may be) by running slow, but accurate, physical grid simulators. New conceptual frameworks are calling for a p…
This paper uses deep reinforcement learning to automate electric transmission voltage control.
New method detects close contacts to prevent SARS-CoV-2 spread.
New framework analyzes belief evolution in social networks.
Paper proposes model to assess financial risk of grid-ignited wildfires.
This paper considers a transmission control problem in network-coded two-way relay channels (NC-TWRC), where the relay buffers random symbol arrivals from two users, and the channels are assumed to be fading. The problem is modeled by a discounted infinite horizon Markov decision process (MDP). The objective is to find…
Mutual information minimum spanning trees are used to explore nonlinear dependencies on Brazilian equity network in the periods from June/01/2015 to January/26/2016, in which Brazil was under the government of President Dilma Rousseff, and from January/27/2016 to September/08/2016 which includes the government transiti…
This work interprets GELU and related activations via a first-order loss function.
Anomaly detection identifies unusual malaria transmission patterns in Ghana.
In this note, we present some interesting observations on the Schiffer's conjecture, interior transmission eigenvalue problem and their connections to singular and nonsingular invisibility cloaking problems of acoustic waves.
Linear problems appear in a variety of disciplines and their application for the transmission matrix recovery is one of the most stimulating challenges in biomedical imaging. Its knowledge turns any random media into an optical tool that can focus or transmit an image through disorder. Here, converting an input-output …
Transmission imaging, as an important imaging technique widely used in astronomy, medical diagnosis, and biology science, has been shown in [49] quite different from reflection imaging used in our everyday life. Understanding the structures of images (the prior information) is important for designing, testing, and choo…
Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in financial markets. Yet, the large literature studying information transmission mechanisms ignores the fact that bad and good volatility may spill over at different magnitudes. This paper fills this gap…
The European sovereign debt crisis has impaired many European banks. The distress on the European banks may transmit worldwide, and result in a large-scale knock-on default of financial institutions. This study presents a computer simulation model to analyze the risk of insolvency of banks and defaults in a bank credit…
CAPM interpretation is flawed; beta reflects proxy for underlying driver, not causal transmission.
This study presents an ANWSER model (asset network systemic risk model) to quantify the risk of financial contagion which manifests itself in a financial crisis. The transmission of financial distress is governed by a heterogeneous bank credit network and an investment portfolio of banks. Bankruptcy reproductive ratio …
In this paper, wireless video transmission to multiple users under total transmission power and minimum required video quality constraints is studied. In order to provide the desired performance levels to the end-users in real-time video transmissions while using the energy resources efficiently, we assume that power c…
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…
This study maps systemic risks in TradFi and DeFi, highlighting their interdependence.
Paper develops fine-grain spatiotemporal risk scores using high-resolution mobility data.
Study forecasts cholera outbreaks in Malawi using dynamic models.
Model for cross-border markets with limited transmission capacities.
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical forecasting have seen to be inadequate to describe financial systems in any reasonable w…
Crypto markets show negative spillovers between chains, not positive co-movements.
Novel method detects faults in helicopter transmissions using healthy data only.
AI monitors social distancing and masks at manufacturing plants.
Recent work has studied the emergence of language among deep reinforcement learning agents that must collaborate to solve a task. Of particular interest are the factors that cause language to be compositional -- i.e., express meaning by combining words which themselves have meaning. Evolutionary linguists have found th…
This study identifies financial risk paths in digital-transformed enterprises.
Unified theory of ownership concentration, overlap, and dependence.
A new method for energy-efficient file delivery in small cell networks.
One of the biggest challenges in the field of biomedical imaging is the comprehension and the exploitation of the photon scattering through disordered media. Many studies have pursued the solution to this puzzle, achieving light-focusing control or reconstructing images in complex media. In the present work, we investi…
Study investigates FL performance over a noisy downlink, showing analog approach outperforms digital.
Stochastic models analyze traffic network performance.
Conductor galloping is the high-amplitude, low-frequency oscillation of overhead power lines due to wind. Such movements may lead to severe damages to transmission lines, and hence pose significant risks to the power system operation. In this paper, we target to design a prediction framework for conductor galloping. Th…
Spreading processes are often modelled as a stochastic dynamics occurring on top of a given network with edge weights corresponding to the transmission probabilities. Knowledge of veracious transmission probabilities is essential for prediction, optimization, and control of diffusion dynamics. Unfortunately, in most ca…
As financial instruments grow in complexity more and more information is neglected by risk optimization practices. This brings down a curtain of opacity on the origination of risk, that has been one of the main culprits in the 2007-2008 global financial crisis. We discuss how the loss of transparency may be quantified …
Oil markets profoundly influence world economies through determination of prices of energy and transports. Using novel methodology devised in frequency domain, we study the information transmission mechanisms in oil-based commodity markets. Taking crude oil as a supply-side benchmark and heating oil and gasoline as dem…
Modeling infection hotspots to quantify effects of contact tracing and testing.