Study compares short vs long strategies for equity factors, finds short strategy better.
problem Determining the best market-neutral implementation of equity factors.
method Revisited the relative predictability of short and long legs, diversification, and costs.
result Long-Short implementation yields superior risk-adjusted returns compared to Hedged Long-Only.
Short text classi cation is a method for classifying short sentence with prede ned labels. However, short text is limited in shortness in text length that leads to a challenging problem of sparse features. Most of existing methods treat each short sentences as independently and identically distributed (IID), local cont…
Short selling is key to exploiting arbitrage opportunities in financial markets.
problem Theoretical basis for differences in financial service regulations.
method Analyzing semimartingales to show arbitrage opportunities require short selling.
result Arbitrage opportunities can only be exploited through short selling.
Approximates bond option volatilities using affine short-rate models.
problem Calculating implied volatilities for bond options.
method Derive asymptotic approximation for bond option volatilities under affine short-rate dynamics.
result Accuracy of approximation validated through numerical experiments.
We provide a combinatorial condition characterizing curves that are short along a Teichmueller geodesic. This condition is closely related to the condition provided by Minsky for curves in a hyperbolic 3-manifold to be short. We show that short curves in a hyperbolic manifold homeomorphic to S x R are also short in the…
Short sales are regarded as negative purchases in textbook asset pricing theory. In reality, however, the symmetry between purchases and short sales is broken by a variety of costs and risks peculiar to the latter. We formulate an optimal stopping model in which the decision to cover a short position is affected by two…
Model combines long-term and short-term memory using conceptors.
problem Transfer between long-term and short-term memory.
method Recurrent neural network with gated reservoir for short-term memory and conceptors for long-term memory.
result Standard operations on conceptors allow combining long-term memories and describing their effect on short-term memory.
Short proof for ideal polygons with near optimal orthogeodesic decomposition.
problem Decomposing ideal polygons into orthogeodesics.
method Short proof with orthogeodesic decomposition of length at most 2log(n). result Optimal orthogeodesic decomposition of ideal polygons with length 2log(n). Margin trading and short selling boost green tech innovation in China.
problem Encouraging green technology innovation in Chinese companies.
method Quasi-experimental research using panel data of Chinese listed companies, double difference model.
result Margin trading and short selling increase green tech innovation significantly.
Todays interactive devices such as smart-phone assistants and smart speakers often deal with short-duration speech segments. As a result, speaker recognition systems integrated into such devices will be much better suited with models capable of performing the recognition task with short-duration utterances. In this pap…
The paper introduces a new short rate model with memory components.
problem Modeling short rate dynamics with past values.
method Integrates memory (delay) components into Merton or Vasiček models.
result Analytical solutions for bond prices and forward rates.
A short proof for curve lengths on hyperbolic surfaces.
problem Proving a theorem about curve lengths on hyperbolic surfaces.
method Presented a concise proof for the theorem.
result A pair of curves has length at least half the perimeter of a specific polygon.
In this survey paper we discuss recent advances on short interest rate models which can be formulated in terms of a stochastic differential equation for the instantaneous interest rate (also called short rate) or a system of such equations in case the short rate is assumed to depend also on other stochastic factors. Ou…
Recent approaches based on artificial neural networks (ANNs) have shown promising results for short-text classification. However, many short texts occur in sequences (e.g., sentences in a document or utterances in a dialog), and most existing ANN-based systems do not leverage the preceding short texts when classifying …
The study finds at least two short, simple geodesic chords on a disk with convex boundary.
problem Existence of short, simple geodesic chords on a 2-disk with convex boundary.
method Proof of existence using Riemannian geometry and bounds on lengths.
result Existence of at least two short, simple orthogonal geodesic chords on a 2-disk with convex boundary.
A subset of the sphere is said short if it is contained in an open hemisphere. A short closed set which is geodesically convex is called a cap. The following theorem holds: 1. The minimal number of short closed sets covering the n-sphere is n+2. 2. If n+2 short closed sets cover the n-sphere then (i) their inte…
This paper uses Bayesian models to analyze CTA returns across short and long-term trends.
problem The relative merits and interactions of short- and long-term trend systems in CTA replication remain controversial.
method Dynamic decomposition of CTA returns into short-term trend, long-term trend, and market beta factors using a Bayesian graphical model.
result The blend of horizons shapes the strategy's risk-adjusted performance.
In this paper, we give the first detailed proof of the short-time existence of Deane Yang's local Ricci flow. Then using the local Ricci flow, we prove short-time existence of the Ricci flow on noncompact manifolds, whose Ricci curvature has global lower bound and sectional curvature has only local average integral bou…
We consider the fractional Heston model originally proposed by Comte, Coutin and Renault. Inspired by recent ground-breaking work on rough volatility, which showed that models with volatility driven by fractional Brownian motion with short memory allows for better calibration of the volatility surface and more robust e…
The paper proves short-time existence and uniqueness of Ricci flow on Finsler manifolds.
problem Existence and uniqueness of Ricci flow solutions on Finsler manifolds.
method Investigation of short-time existence and uniqueness of Ricci flow solutions on Finsler manifolds.
result Theorems demonstrating the short-time existence of the flow solution for n-dimensional Finsler manifolds and the uniqueness of the solution for isotropic Finsler manifolds.
A new model for short rates using pure-jump processes.
problem Modeling short rates with bounded behavior and affine bond prices.
method Sum of pure-jump Ornstein-Uhlenbeck processes for mean-reversion, with affine bond price representations.
result The model can be market-consistently calibrated and has an explicit option pricing formula.
Deep learning models improve stock portfolio performance.
problem Improving stock portfolio allocation strategies.
method Used MLP, CNN, LSTM, and Transformer models to predict stock returns.
result Deep learning models enhance long-short stock portfolio performance.
QLSTM outperforms LSTM in predicting KSE 100 index movements.
problem Predicting stock market movement in uncertain economic conditions.
method Used LSTM and QLSTM models on monthly data of economic indicators.
result QLSTM provided more accurate predictions of KSE 100 index values.
This paper uses DRL for long-short portfolio optimization, improving risk-adjusted returns.
problem Traditional portfolio optimization limits diversification by excluding short-selling.
method Developed a DRL framework with a short-selling mechanism for continuous trading.
result DRL model with short-selling achieves superior risk-adjusted returns.
The paper extends Merton model to price equity warrants under subdiffusive fractional Brownian motion of the short rate.
problem Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate.
method The paper applies subdiffusive mechanism to analyze equity warrant in a fractional Brownian motion environment, deriving a pricing formula for equity warrant.
result The paper provides a pricing formula for equity warrants under subdiffusive fractional Brownian motion model of the short rate.
The paper presents the comparative study of the nature of stock markets in short-term and long-term time scales with and without structural break in the stock data. Structural break point has been identified by applying Zivot and Andrews structural trend break model to break the original time series (TSO) into time ser…
This study examines the interaction between CDS and stock indices, revealing significant short and long-term impacts.
problem Understanding the interaction between Credit Default Swaps (CDS) and national stock indices.
method ARDL technique applied to analyze short and long-run interactions between BIST-100 index and CDS prices over a specific period.
result The study finds that changes in CDS and BIST-100 index prices have significant impacts on each other, with long-term effects being more pronounced.
We indicate two short proofs of the Goresky-MacPherson topological invariance of intersection homology. One proof is very short but requires the Goresky-MacPherson support and cosupport axioms; the other is slightly longer but does not require these axioms and so is adaptable to more general perversities.
Study proves short-term existence for harmonic maps under evolving metrics.
problem Analyzing harmonic maps under time-dependent metrics.
method Proves short-term existence for harmonic map heat flow coupled with a smooth family of complete metrics.
result Generalizes short-term existence results for harmonic map heat flow.
Text-independent speaker recognition using short utterances is a highly challenging task due to the large variation and content mismatch between short utterances. I-vector based systems have become the standard in speaker verification applications, but they are less effective with short utterances. In this paper, we fi…
Recently, we have studied evolution of a family of Finsler metrics along Finsler Ricci flow and proved its convergence in short time. Here, existence of solutions to the so called Hamilton Ricci flow on Finsler spaces is studied and a short time solution is found. To this end the Finslerian Ricci-DeTurck flow on Finsle…
Short proof shows infinite diameter for surface diffeomorphisms.
problem Infinite diameter of surface diffeomorphisms group.
method Short proof using Lp-diameter concept. result Infinite Lp-diameter of Diff0(S,area) group. In this paper, we develop a theory of market crashes resulting from a deleveraging shock. We consider two representative investors in a market holding different opinions about the public available information. The deleveraging shock forces the high confidence investors to liquidate their risky assets to pay back their …
Kernel method estimates long-term effects from short-term data.
problem Estimating long-term effects from short-term data in continuous actions.
method Kernel ridge regression to embed and extrapolate long-term effects.
result Uniform consistency and nonasymptotic error bounds for the estimator.
Study shows risk-averse investors have consistent ranking of risky assets.
problem Ranking of risky assets in short-term investments.
method Analyzes various decision problems regarding risky assets with continuous returns.
result Risk-averse decision makers have the same ranking over risky assets.
Study examines insider trading in short-selling restricted markets.
problem Analyzing insider trading opportunities in short-selling prohibited markets.
method Introducing minimal supermartingale measure and analyzing its properties in relation to minimal martingale measure.
result Conditions under which both measures fail to exist, indicating insider information affecting market perception.
Predicts short-term futures contract direction using neural networks and order flow data.
problem Challenges in predicting short-term directional movement of futures contracts.
method Engineering features from technical analysis, order flow, and order-book data; training a Tabnet neural network.
result Achieved an accuracy of 0.601 in predicting directional change on the Silver Futures Contract.
This paper proposes a framework to predict long-term trends and short-term fluctuations in multivariate time series.
problem Existing prediction methods often ignore the distinction between long-term trends and short-term fluctuations.
method The paper introduces a MTS forecasting framework that uses both original time series and its first difference to capture long-term trends and short-term fluctuations.
result The proposed method improves forecasting performance by using more supervision information.
A new model for pricing ultra-short-term options with complex volatility patterns.
problem Complex pricing of ultra-short-term options due to oscillations in implied volatility.
method Edgeworth++ model with nonparametric stochastic volatility and deterministic shift extension.
result Fast and accurate closed-form option pricing for ultra-short-term options.
We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the semimartingale. We derive in particular the asymptotic behavior of call options with sho…
Statistical models outperform mechanistic models in short-term COVID-19 incidence forecasts.
problem Comparing accuracy of mechanistic vs statistical models for short-term COVID-19 incidence forecasts.
method Empirical comparison of forecasts from mechanistic and statistical models using daily incidence data from six US states.
result Statistical models are at least as accurate as mechanistic models and better capture volatility.
In this short survey we report on the theory of biharmonic maps between Riemannian manifolds.
Study provides explicit pricing formula for options with volatility dependent on short rate.
problem Pricing European options with volatility dependent on short rate.
method Developed a class of models with explicit pricing formula using characteristic functions.
result Explicit pricing formula for European options is derived.
The paper bounds eigenvalue multiplicities for hyperbolic surfaces using short geodesics.
problem Bounding the multiplicity of Laplacian eigenvalues for hyperbolic surfaces.
method Using the number of short closed geodesics and surface genus.
result Upper bounds on eigenvalue multiplicities, showing sublinear behavior under certain conditions.
TimeMixer predicts global financial asset volatility, excelling in short-term forecasts.
problem Predicting volatility in global financial markets is challenging due to complexity and non-linear dynamics.
method Uses TimeMixer, a multiscale-mixing model for forecasting across different scales.
result TimeMixer performs exceptionally well in short-term volatility forecasting but less so in longer-term predictions.
We enhance short-rate models to control implied volatility analytically.
problem Controlling implied volatility in short-rate models.
method Randomized Affine Diffusion (RAnD) method applied to Heath-Jarrow-Morton framework.
result Randomized short-rate models improve calibration and control implied volatility shapes.
Meta-learning framework improves short utterance speaker recognition.
problem Poor performance of existing models with short utterances.
method Prototypical Networks with support and query sets, enforcing classification against entire training set.
result Significant performance gains on VoxCeleb datasets.
New framework estimates long-term outcomes from short-term data.
problem Estimating long-term outcomes from short-term data.
method Reward function decomposition-based framework (LOPE).
result LOPE outperforms existing methods, especially when surrogacy is violated.