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.
Develops a method to estimate the shadow riskless rate from empirical data.
Unified framework for ESG-inclusive portfolio optimization and pricing.
Extends option pricing framework without risk-free asset using Levy jumps.
This paper studies the utility maximization on the terminal wealth with random endowments and proportional transaction costs. To deal with unbounded random payoffs from some illiquid claims, we propose to work with the acceptable portfolios defined via the consistent price system (CPS) such that the liquidation value p…
Unified model integrates Bachelier and Black-Scholes-Merton for asset pricing.
The paper studies convergence rates of Tsallis entropic regularization in optimal transport.
We study the origins of the effect in finance and SDE. In particular, we show, in the game-theoretic framework, that market volatility is a consequence of the absence of riskless opportunities for making money and that too high volatility is also incompatible with such opportunities. More precisely, riskles…
Geometric proof confirms link volume conjecture.
Framework identifies population quantities from MNAR feedback using weak shadow variables from pretrained models.
We investigate the impact of capital gains taxes on optimal investment decisions in a quite simple model. Namely, we consider a risk neutral investor who owns one risky stock from which she assumes that it has a lower expected return than the riskless bank account and determine the optimal stopping time at which she se…
We discuss the turnpike property for optimal investment and consumption problems. We find there exists a threshold value that determines the turnpike property for investment policy. The threshold value only depends on the Sharpe ratio, the riskless interest rate and the discount rate. We show that if utilities behave a…
Paper explores asset pricing dynamics in Bachelier model.
New invariants for singular knots and links defined using shadow structures.
Two new methods for option pricing without or with a riskless asset.
We analyse the effectiveness of modern deep learning techniques in predicting credit ratings over a universe of thousands of global corporate entities obligations when compared to most popular, traditional machine-learning approaches such as linear models and tree-based classifiers. Our results show a adequate accuracy…
Special shadow-complexity equals k+1 for k copies of S1×S3.
We consider the problem of optimizing the expected logarithmic utility of the value of a portfolio in a binomial model with proportional transaction costs with a long time horizon. By duality methods, we can find expressions for the boundaries of the no-trade-region and the asymptotic optimal growth rate, which can be …
This paper considers the problem of consumption and investment in a financial market within a continuous time stochastic economy. The investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless account. The market coefficients and discount factor switch according to a finite…
This paper proves properties of uniformly hyperbolic sets and constructs Markov partitions.
New invariant measures complexity of 2-knots in 4D space.
A shadow diagram is a knot diagram with under-over information omitted; a shadow movie is a sequence of shadow diagrams related by shadow Reidemeister moves. We show that not every shadow movie arises as the shadow of a Reidemeister movie, meaning a sequence of classical knot diagrams related by classical Reidemeister …
Paper studies knotoid chirality using shadow quandle colorings and invariants.
We study markets with no riskless (safe) asset. We derive the corresponding Black-Scholes-Merton option pricing equations for markets where there are only risky assets which have the following price dynamics: (i) continuous diffusions; (ii) jump-diffusions; (iii) diffusions with stochastic volatilities, and; (iv) geome…
We find the optimal investment strategy to minimize the expected time that an individual's wealth stays below zero, the so-called {\it occupation time}. The individual consumes at a constant rate and invests in a Black-Scholes financial market consisting of one riskless and one risky asset, with the risky asset's price…
Proposes a new method to rank risky investments based on Omega measure.
The average shadowing property is considered for set-valued dynamical systems, generated by parameterized IFS, which are uniformly contracting, or conjugacy, or products of such ones. We also prove that if a continuous surjective IFS F on a compact metric space X has the aver- age shadowing property, then every point x…
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial market especially, it is important to include stochastic volatility in the risky asset's price process. Given the rate of c…
Paper optimizes trading strategies by creating shadow prices for markets with transaction costs.
We construct elements of the third quandle homology groups of knot quandles, which are called the shadow fundamental classes. They play the same roles for the shadow quandle cocycle invariants of knots as the fundamental classes of knot quandles does for the quandle cocycle invariants. As an application of the shadow f…
In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless account. The market coefficients and discount factor switches…
Computes Kauffman bracket polynomial for specific 2-tangle shadows.
The paper presents fundamental groups of complements of shadows in 4-balls.
An asset network systemic risk (ANWSER) model is presented to investigate the impact of how shadow banks are intermingled in a financial system on the severity of financial contagion. Particularly, the focus of this study is the impact of the following three representative topologies of an interbank loan network betwee…
Study on inflection points of plane curve shadows with fixed embedded shapes.
We introduce an associative algebra Z[X,S] associated to a birack shadow and define enhancements of the birack counting invariant for classical knots and links via representations of Z[X,S] known as shadow modules. We provide examples which demonstrate that the shadow module enhanced invariants are not determined by th…
In this article we show that the payment flow of a linear tax on trading gains from a security with a semimartingale price process can be constructed for all càglàd and adapted trading strategies. It is characterized as the unique continuous extension of the tax payments for elementary strategies w.r.t. the convergence…
This paper will examine a model with many agents, each of whom has a different belief about the dynamics of a risky asset. The agents are Bayesian and so learn about the asset over time. All agents are assumed to have a finite (but random) lifetime. When an agent dies, he passes his wealth (but not his knowledge) onto …
New forms generalize Whitney forms with rational coefficients for numerical analysis.
Study of quandle coloring quivers with dihedral quandles.
We prove that for a relatively hyperbolic group G there is a sequence of relatively hyperbolic proper quotients such that their growth rates converge to the growth rate of G. Under natural assumptions, the same conclusion holds for the critical exponent of a cusp-uniform action of G on a hyperbolic metric space. As a c…
We define and study branched shadows of 4-manifolds as a combination of branched spines of 3-manifolds and Turaev's shadows. We use these objects to combinatorially represent 4-manifolds equipped with -structures and homotopy classes of almost complex structures. We then use branched shadows to study complex 4-…
In this paper we find infinitely many Mazur type manifolds and corks with shadow complexity one among the 4-manifolds constructed from contractible special polyhedra having one true vertex by using the notion of Turaev's shadow. We also find such manifolds among 4-manifolds constructed from Bing's house. Our manifolds …
Prove a global shadow lemma for Patterson-Sullivan measures associated with relatively Morse subgroups in higher-rank semisimple Lie groups.
We introduce a topological combinatorial game called the Link Smoothing Game. The game is played on the shadow of a link diagram and legal moves consist of smoothing precrossings. One player's goal is to keep the diagram connected while the other player's goal is to disconnect the shadow. We make significant progress t…
The paper studies dynamical properties in semigroups modulo ideals.
For portfolio choice problems with proportional transaction costs, we discuss whether or not there exists a "shadow price", i.e., a least favorable frictionless market extension leading to the same optimal strategy and utility. By means of an explicit counter-example, we show that shadow prices may fail to exist even i…
We show that for each even integer , every reduced shadow with sufficiently many crossings is a shadow of a torus knot T(2,m+1), or of a twist knot , or of a connected sum of trefoil knots.
The study examines a financial model with sticky prices and finds no arbitrage when interest rate is zero.