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.
Universal model for soft tissue mechanics under shock waves.
We prove that the essential smoothness of the gravitational metric at shock waves in GR, a PDE regularity issue for weak solutions of the Einstein equations, is determined by a geometrical condition which we introduce and name the {\it Riemann-flat condition}. The Riemann-flat condition determines whether or not the es…
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 …
We review recent work on the Einstein equations of general relativity when the curvature is defined in a weak sense. Weakly regular spacetimes are constructed, in which impulsive gravitational waves, as well as shock waves, propagate.
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…
Recently, a novel adaptive wave model for financial option pricing has been proposed in the form of adaptive nonlinear Schrödinger (NLS) equation [Ivancevic a], as a high-complexity alternative to the linear Black-Scholes-Merton model [Black-Scholes-Merton]. Its quantum-mechanical basis has been elaborated in [Ivancevi…
We present authors' new theory of the RT-equations, nonlinear elliptic partial differential equations which determine the coordinate transformations which smooth connections to optimal regularity, one derivative smoother than the Riemann curvature tensor . As one application we extend Uhlenbeck compa…
Physics-constrained GP predicts material states under shockwave conditions.
We prove global existence for solutions arising from small initial data for a large class of quasilinear wave equations satisfying the `weak null condition' of Lindblad and Rodnianski, significantly enlarging upon the class of equations for which global existence is known. In addition to the usual weak null condition, …
A nonlinear wave alternative for the standard Black-Scholes option-pricing model is presented. The adaptive-wave model, representing 'controlled Brownian behavior' of financial markets, is formally defined by adaptive nonlinear Schrödinger (NLS) equations, defining the option-pricing wave function in terms of the stock…
Full Wave Inversion (FWI) imaging scheme has many applications in engineering, geoscience and medical sciences. In this paper, a surrogate deep learning FWI approach is presented to quantify properties of materials using stress waves. Such inverse problems, in general, are ill-posed and nonconvex, especially in cases w…
We investigate the initial value problem for the Einstein-Euler equations of general relativity under the assumption of Gowdy symmetry on T3, and we construct matter spacetimes with low regularity. These spacetimes admit, both, impulsive gravitational waves in the metric (for instance, Dirac mass curvature singularitie…
MUSIC learns coupled systems with sparse data and incomplete physics.
Following Geroch, Traschen, Mars and Senovilla, we consider Lorentzian manifolds with distributional curvature tensor. Such manifolds represent spacetimes of general relativity that possibly contain gravitational waves, shock waves, and other singular patterns. We aim here at providing a comprehensive and geometric (i.…
By studying the development of shock waves out of discontinuity waves, in 1954 P. Lax discovered a class of PDEs, which he called 'completely exceptional', where such a transition does not occur after a finite time. A straightforward integration of the completely exceptionality conditions allowed Boillat to show that s…
In this paper we introduce a new geometric flow --- the hyperbolic gradient flow for graphs in the -dimensional Euclidean space . This kind of flow is new and very natural to understand the geometry of manifolds. We particularly investigate the global existence of the evolution of convex hypers…
The study reveals asymmetries in US financial shocks' international impacts.
Study shows local governments smooth fiscal shocks from property tax revenues.
A simple banking network model is proposed which features multiple waves of bank defaults and is analytically solvable in the limiting case of an infinitely large homogeneous network. The model is a collection of nodes representing individual banks; associated with each node is a balance sheet consisting of assets and …
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…
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 …
Theory of packing diabolic domains in liquid crystals.
New method quantifies market shocks and their effects.
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 approach measures systemic risk by absorbing shocks before financial systems deteriorate.
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…
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.
Study proves interaction of three impulsive gravitational waves, showing local solution and Lipschitz continuity.
New Galilean spacetimes found as pp-wave reductions.
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…
Develops a climate risk model for asset managers.
The paper analyzes optimal timing for converting wealth into annuities in the presence of a mortality shock.
Analyzes Gerstner's trochoidal waves and their geometric properties.
Wave fronts on certain surfaces become dense.
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 …