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.
New approach measures systemic risk by absorbing shocks before financial systems deteriorate.
Data-driven approach discovers molecular photoswitches with separated electronic absorption bands.
We discuss the essential self-adjointness of wave operators, as well as the limiting absorption principle, in generalizations of asymptotically Minkowski settings. This is obtained via using a Fredholm framework for inverting the spectral family first, and then refining its conclusions to show its dense range in L^2 wh…
The purpose of this paper is to study the property of the resolvent of the Laplace-Beltrami operator on a noncompact complete Riemannian manifold with various ends each of which has a different limit of the growth rate of the Riemannian measure at infinity, in particular, focusing on the limiting absorption principle. …
We use a Lagrangian perspective to show the limiting absorption principle on Riemannian scattering, i.e. asymptotically conic, spaces, and their generalizations. More precisely we show that, for non-zero spectral parameter, the `on spectrum', as well as the `off-spectrum', spectral family is Fredholm in function spaces…
We study the optimal dividend problem for a firm's manager who has partial information on the profitability of the firm. The problem is formulated as one of singular stochastic control with partial information on the drift of the underlying process and with absorption. In the Markovian formulation, we have a 2-dimensio…
New complete panel dataset for LMICs helps analyze innovation and development.
In this paper, we study the non-linear diffusion equation associated with a particle system where the common drift depends on the rate of absorption of particles at a boundary. We provide an interpretation as a structural credit risk model with default contagion in a large interconnected banking system. Using the metho…
New protocol reduces communication costs for heterogeneous bandits over complex networks.
The study reveals asymmetries in US financial shocks' international impacts.
Study shows local governments smooth fiscal shocks from property tax revenues.
Study controlled contagion with state-dependent killing, proving a comparison principle.
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a common systemic shock. Despite unlike the classical multidimensional Marshall-Olkin model here only a unique common shock affecting all the lifet…
The study uses Random Matrix Theory to identify structural changes in stock markets during shocks.
We have analyzed the Indices of Industrial Production (Seasonal Adjustment Index) for a long period of 240 months (January 1988 to December 2007) to develop a deeper understanding of the economic shocks. The angular frequencies estimated using the Hilbert transformation, are almost identical for the 16 industrial secto…
Paper explores ML for UV spectra, showing transferability in chemical space.
Currency volatility shocks predict lower excess returns, and buying weak transmitters outperforms selling strong ones.
We empirically test the effects of unanticipated fiscal policy shocks on the growth rate and the cyclical component of real private output and reveal different types of asymmetries in fiscal policy implementation. The data used are quarterly U.S. observati ons over the period 1967:1 to 2011:4. In doing so, we use both …
New method quantifies market shocks and their effects.
The paper calibrates shrinkage covariance estimators for spectral functionals in high dimensions.
Paper addresses unbalanced data in common shock models for loss reserving.
This study assesses how economic shocks affect the efficiency and robustness of international pesticide trade networks.
This paper investigates how economic shocks propagate and amplify through the input-output network connecting industrial sectors in developed economies. We study alternative models of diffusion on networks and we calibrate them using input-output data on real-world inter-sectoral dependencies for several European count…
Geopolitical and geoeconomic shocks affect sovereign risk differently, with distinct transmission channels.
New method identifies uncertainty shocks in financial markets using revised VIX.
Using a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations, we analyze the reaction of financial markets to shocks. In order to do this, we gather data from indices of a variety of financial markets for the 1987 Black Monday, the Russian crisis of 1998, the crash …
Finance is about how the continuous stream of news gets incorporated into prices. But not all news have the same impact. Can one distinguish the effects of the Sept. 11, 2001 attack or of the coup against Gorbachev on Aug., 19, 1991 from financial crashes such as Oct. 1987 as well as smaller volatility bursts? Using a …
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…
We reverse engineer dynamics of financial contagion to find the scenario of smallest exogenous shock that, should it occur, would lead to a given final systemic loss. This reverse stress test can be used to identify the potential triggers of systemic events, and it removes the arbitrariness in the selection of shock sc…
Stress shocks are often calculated as multiples of the standard deviation of a history set. This paper investigates how many standard deviations are required to guarantee that this shock exceeds any observation within the history set, given the additional constraint of kurtosis. The results of this analysis are then us…
We establish a simple relation between curvatures of the group of volume-preserving diffeomorphisms and the lifespan of potential solutions to the inviscid Burgers equation before the appearance of shocks. We show that shock formation corresponds to a focal point of the group of volume-preserving diffeomorphisms regard…
We investigate shock-wave solutions of the Einstein equations in the case when the speed of propagation is equal to the speed of light. The work extends the shock matching theory of Smoller and Temple, which characterizes solutions of the Einstein equations when the spacetime metric is only Lipschitz continuous across …
In this paper, we implement multi-label neural networks with optimal thresholding to identify gas species among a multi gas mixture in a cluttered environment. Using infrared absorption spectroscopy and tested on synthesized spectral datasets, our approach outperforms conventional binary relevance - partial least squar…
Universal model for soft tissue mechanics under shock waves.
Study historical cholera epidemics and simulate long-term mortality impacts.
Network models assume unrealistic idiosyncratic risk, which can be mitigated by allowing for correlated shocks.
The paper analyzes how open-end fund sales affect prices and returns.
Study optimal reinsurance and investment strategies under common shocks affecting financial and actuarial markets.
This paper combines and develops the models in Lastrapes (2002) and Mankiw & Weil (1989), which enables us to analyze the effects of interest rate and population growth shocks on housing price in one integrated framework. Based on this model, we carry out policy simulations to examine whether the housing (stock or flow…
The paper analyzes optimal timing for converting wealth into annuities in the presence of a mortality shock.
A low-cost, robust, and simple mechanism to measure hemoglobin would play a critical role in the modern health infrastructure. Consistent sample acquisition has been a long-standing technical hurdle for photometer-based portable hemoglobin detectors which rely on micro cuvettes and dry chemistry. Any particulates (e.g.…
Study on liquidation games with market drop-out, proving unique equilibria.
We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatility V(T_{c}) has a peak that exceeds a predetermined threshold. The cascade of high volatility "aftershocks" triggered by the "main shock" is …
Modeling financial contagion through bank networks, revealing solvency correlations.
Systems with long-range persistence and memory are shown to exhibit different precursory as well as recovery patterns in response to shocks of exogeneous versus endogeneous origins. By endogeneous, we envision either fluctuations resulting from an underlying chaotic dynamics or from a stochastic forcing origin which ma…
We provide an explicit aggregation in the neoclassical growth model with aggregate shocks and uninsurable employment risk. We show there are two restrictions on the unemployment shock for approximate aggregation to occur. First the probability of unemployment must be positive for each agent in each time period. That en…
Realized GARCH model explains VIX and VRP dynamics.
We provide a general probabilistic framework within which we establish scaling limits for a class of continuous-time stochastic volatility models with self-exciting jump dynamics. In the scaling limit, the joint dynamics of asset returns and volatility is driven by independent Gaussian white noises and two independent …