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arXiv research

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.

168,742 papers · 148 categories

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3 results for “semi-covariance”

Dynamic ETF Portfolio Optimization Using enhanced Transformer-Based Models for Covariance and Semi-Covariance Prediction(Work in Progress)q-fin.PM

Enhanced Transformer models predict ETF portfolio performance by optimizing covariance and semi-covariance matrices.

problem Static covariance estimates fail to capture dynamic market fluctuations and non-linear correlations.

method Transformer-based models for real-time covariance and semi-covariance predictions.

result Portfolios optimized with semi-covariance matrix outperform those with standard covariance matrix, especially in volatile conditions.

Transformer models ETF portfolio optimization covariance prediction semi-covariance downside risk

2024-11-29abs ↗pdf ↗

U-gravity :

{\mathbf{SL}(N)}

hep-th

We construct a duality manifest gravitational theory for the special linear group, ${\mathbf{SL}(N)}$ with $N{\neq 4}$ . The spacetime is formally extended, to have the dimension $\textstyle{\frac{1}{2}} N(N-1)$ , yet is `gauged'. Consequently the theory is subject to a section condition. We introduce a semi-covariant de…

2014-02-20abs ↗pdf ↗

U-geometry : SL(5)hep-th

Recently Berman and Perry constructed a four-dimensional M-theory effective action which manifests SL(5) U-duality. Here we propose an underlying differential geometry of it, under the name `SL(5) U-geometry' which generalizes the ordinary Riemannian geometry in an SL(5) compatible manner. We introduce a `semi-covarian…

2013-02-07abs ↗pdf ↗