arXiv research

Wavelet scattering spectra model non-Gaussian time-series, proving scale invariance for self-similar processes.

Study provides LDP for non self-similar stochastic volatility models.

In this paper, three approaches to calculate the self-similarity exponent of a time series are compared in order to determine which one performs best to identify the transition from random efficient market behavior (EM) to herding behavior (HB) and hence, to find out the beginning of a market bubble. In particular, cla…

We conduct cluster analysis on a class of locally asymptotically self-similar stochastic processes, which includes multifractional Brownian motion as a representative. When the true number of clusters is supposed to be known, a new covariance-based dissimilarity measure is introduced, from which we obtain the approxima…

We replace the usual Convex Integration formula by a Corrugation Process and introduce the notion of Kuiper differential relations. This notion provides a natural framework for the construction of solutions with self-similarity properties. We consider the case of the totally real relation, we prove that it is Kuiper an…

We prove that the only self-similar surfaces of Euclidean 3-space which are foliated by circles are the self-similar surfaces of revolution discovered by S. Angenent and that the only ruled, self-similar surfaces are the cylinders over planar self-similar curves.

We review some developments on clustering stochastic processes and come with the conclusion that asymptotically consistent clustering algorithms can be obtained when the processes are ergodic and the dissimilarity measure satisfies the triangle inequality. Examples are provided when the processes are distribution ergod…

The paper introduces a new method to detect rough volatility and market states using fractional derivatives.

Lipschitz equivalence of self-similar sets is an important area in the study of fractal geometry. It is known that two dust-like self-similar sets with the same contraction ratios are always Lipschitz equivalent. However, when self-similar sets have touching structures the problem of Lipschitz equivalence becomes much …

Classifies self-similar curve shortening flows in hyperbolic 2-space.

Skeleton is a new notion designed for constructing space-filling curves of self-similar sets. It is shown in [Dai, Rao and Zhang, Space-filling curves of self-similar sets (II): Edge-to-trail substitution rule,https://doi.org/10.1088/1361-6544/ab1275] that for a connected self-similar set, space-filling curves can be c…

We derive explicit recursive formulas for Target Close (TC) and Implementation Shortfall (IS) in the Almgren-Chriss framework. We explain how to compute the optimal starting and stopping times for IS and TC, respectively, given a minimum trading size. We also show how to add a minimum participation rate constraint (Per…

Study properties of self-similar continua with finite intersection property.

The article contains a construction of a self-similar dendryte which cannot be the attractor of any self-similar zipper.

The paper analyzes self-similar solutions for mean curvature flow in 3D.

The paper considers the block sampling method for long-range dependent processes. Our theory generalizes earlier ones by Hall, Jing and Lahiri (1998) on functionals of Gaussian processes and Nordman and Lahiri (2005) on linear processes. In particular, we allow nonlinear transforms of linear processes. Under suitable c…

We consider the class of self-similar Gaussian stochastic volatility models, and compute the small-time (near-maturity) asymptotics for the corresponding asset price density, the call and put pricing functions, and the implied volatilities. Unlike the well-known model-free behavior for extreme-strike asymptotics, small…

Paper proves rigidity for self-similar solutions in 3D flows.

Wave maps with noise can lead to self-similar blowup from arbitrary initial data.

Pyramid Attention Networks improve image restoration by leveraging self-similarities across scales.

Study on self-similar surfaces and their mapping class groups generated by involutions.

Study finds solutions to flows by negative curvature powers.

Self-similar solutions to geometric flows are stable under small perturbations.

In this letter, two explicit self-similar solutions to a graph representation of time-like extremal hypersurfaces in Minkowski spacetime $\mathbb{R}^{1+3}$ are given. Meanwhile, there is an untable eigenvalue in the linearized time-like extremal hypersurfaces equation around two explicit self-similar solutions.

We present a machine learning model for the analysis of randomly generated discrete signals, modeled as the points of an inhomogeneous, compound Poisson point process. Like the wavelet scattering transform introduced by Mallat, our construction is naturally invariant to translations and reflections, but it decouples th…

We develop a local theory for the construction of singular spacetimes in all spacetime dimensions which become asymptotically self-similar as the singularity is approached. The techniques developed also allow us to construct and classify exact self-similar solutions which correspond to the formal asymptotic expansions …

We give a classification of all self-similar solutions to the curve shortening flow in the plane.

The study proves uniqueness and symmetry of self-similar solutions in warped product spaces.

In [9] Kaimanovich introduced the concept of augmented tree on the symbolic space of a self-similar set. It is hyperbolic in the sense of Gromov, and it was shown in [13] that under the open set condition, a self-similar set can be identified with the hyperbolic boundary of the tree. In the paper, we investigate in det…

We confirm a well-known conjecture that the round sphere is the only compact, embedded self-similar shrinking solution to the mean curvature flow with genus $0$. More generally, we show that the only properly embedded self-similar shrinkers in $\mathbb{R}^3$ with vanishing intersection form are the sphere, the cylinder…

In this paper, we study two classes of planar self-similar fractals $T_\varepsilon$ with a shifting parameter $\varepsilon$. The first one is a class of self-similar tiles by shifting $x$-coordinates of some digits. We give a detailed discussion on the disk-likeness ({\it i.e., the property of being a topological disk}…

We carry out the first main step towards the construction of new examples of complete embedded self-similar surfaces under mean curvature flow. An approximate solution is obtained by taking two known examples of self-similar surfaces and desingularizing the intersection circle using an appropriately modified singly per…

In this paper, we consider affine self-similar solutions for the affine curve shortening flow in the Euclidean plane. We obtain the equations of all affine self-similar solutions up to affine transformations and solve the equations or give descriptions of the solutions for the degenerate case. Some new special solution…

We present new examples of complete embedded self-similar surfaces under mean curvature by gluing a sphere and a plane. These surfaces have finite genus and are the first examples of self-shrinkers in $\mathbb R^3$ that are not rotationally symmetric. The strategy for the construction is to start with a family of initi…

We consider the heat flow of corotational harmonic maps from $\mathbb R^3$ to the three-sphere and prove the nonlinear asymptotic stability of a particular self-similar shrinker that is not known in closed form. Our method provides a novel, systematic, robust, and constructive approach to the stability analysis of self…

Classifies self-similar solutions for heat equations with positive speed.

This article gives an alternative approach to the self-shrinking and self-expanding solutions of the curve shortening flow, which are related to singularity formation of the mean curvature flow. The motivation for the self-similar solutions arises from natural area preserving rescaling. Further we describe the self-sim…

In this paper, we obtain a complete list of all self-similar solutions of inverse mean curvature flow in $\mathbb{R}^2$.

We classify all Hamiltonian stationary Lagrangian surfaces in complex Euclidean plane which are self-similar solutions of the mean curvature flow.

We study the Dirichlet problem associated to the equation for self-similar surfaces for graphs over the Euclidean plane with a disk removed. We show the existence of a solution provided the boundary conditions on the boundary circle are small enough and satisfy some symmetries. This is the second step towards the const…

The paper constructs and analyzes self-similar blowup solutions for a wave map equation.

The study explores homeomorphism groups of self-similar 2-manifolds, including the 2-sphere and Cantor set.

The two main theorems of this paper provide a characterization of hyperbolic affine iterated function systems defined on Rm. Atsushi Kameyama (Distances on Topological Self-Similar Sets, Proceedings of Symposia in Pure Mathematics, Volume 72.1, 2004) asked the following fundamental question: given a topological self-si…

We prove that an irreducible lattice in a semisimple algebraic group is virtually isomorphic to an arithmetic lattice if and only if it admits a faithful self-similar action on a rooted tree of finite valency.

A novel approach to analyzing time series generated by complex systems, such as markets, is presented. The basic idea of the approach is the {\it Law of Self-Similar Evolution}, according to which any complex system develops self-similarly. There always exist some internal laws governing the evolution of a system, say …

New fractal spaces not quasisymmetric to Loewner spaces discovered.

We propose a new approach for analyzing price fluctuations in their strongly correlated regime ranging from minutes to months. This is done by employing a self-similarity assumption for the magnitude of coarse-grained price fluctuation or volatility. The existence of a Cramer function, the characteristic function for s…

New self-similarity for Einstein vacuum equations identified.