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.
Study examines market impact of small orders in futures contracts.
Estimates mass of static vacuum metrics with small Bartnik data.
SGPT-PINNs solve PDEs with sparse, small models.
We derive a small-time expansion for out-of-the-money call options under an exponential Levy model, using the small-time expansion for the distribution function given in Figueroa-Lopez & Houdre (2009), combined with a change of numéraire via the Esscher transform. In particular, we quantify find that the effect of a no…
New method achieves small-loss regret bounds in random-order model.
A small investor provides liquidity at the best bid and ask prices of a limit order market. For small spreads and frequent orders of other market participants, we explicitly determine the investor's optimal policy and welfare. In doing so, we allow for general dynamics of the mid price, the spread, and the order flow, …
Analyzes Willmore flow for graphs with boundary data, proving existence and convergence.
High-frequency traders can act as either small informed traders or round-trippers, affecting price discovery and liquidity.
Connectedness of small clusters in Riemannian and Finsler manifolds proven.
We provide an asymptotic expansion of the value function of a multidimensional utility maximization problem from consumption with small non-linear price impact. In our model cross-impacts between assets are allowed. In the limit for small price impact, we determine the asymptotic expansion of the value function around …
Study identifies key metrics for small and large tick assets in LOBs.
Variance reduction techniques like SVRG provide simple and fast algorithms for optimizing a convex finite-sum objective. For nonconvex objectives, these techniques can also find a first-order stationary point (with small gradient). However, in nonconvex optimization it is often crucial to find a second-order stationary…
We consider the heat equation associated with a class of second order hypoelliptic Hörmander operators with constant second order term and linear drift. We describe the possible small time heat kernel expansion on the diagonal giving a geometric characterization of the coefficients in terms of the divergence of the dri…
Study leading-order asymptotics for VIX option prices in Bergomi models.
New bounds on diameters and generators for specific lattices and graphs.
In order to obtain a closed orientable convex projective four-manifold with small positive Euler characteristic, we build an explicit example of convex projective Dehn filling of a cusped hyperbolic four-manifold through a continuous path of projective cone-manifolds.
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is generic, and only relies on mild assumptions about the order flow and on the fact that prices are (to a first approximation) diffusive. This natu…
ISAAC Newton uses input-based curvature for efficient training.
The paper gives a constructive method, based on greedy algorithms, that provides for the classes of functions with small mixed smoothness the best possible in the sense of order approximation error for the -term approximation with respect to the trigonometric system.
We consider an investor with constant absolute risk aversion who trades a risky asset with general Ito dynamics, in the presence of small proportional transaction costs. Kallsen and Muhle-Karbe (2012) formally derived the leading-order optimal trading policy and the associated welfare impact of transaction costs. In th…
New method improves DAG learning by using large coefficients for higher-order terms.
We show that the mapping class group of a closed oriented surface of genus at least three is generated by 3 elements of order 3 and by 4 elements of order 4. Note that the mapping class group cannot be generated by finitely many torsion elements of same order if genus is equal to one or two.
We present an expansion for portfolio optimization in the presence of small, instantaneous, quadratic transaction costs. Specifically, the magnitude of transaction costs has a coefficient that is of the order small, which leads to the optimization problem having an asymptotically-singular Hamilton-Jacobi-Bellman eq…
Study on ordering geodesics on hyperbolic surfaces.
We consider the class of self-similar Gaussian stochastic volatility models, and compute the small-time (near-maturity) asymptotics for the corresponding asset price density, the call and put pricing functions, and the implied volatilities. Unlike the well-known model-free behavior for extreme-strike asymptotics, small…
An investor with constant absolute risk aversion trades a risky asset with general Itô-dynamics, in the presence of small proportional transaction costs. In this setting, we formally derive a leading-order optimal trading policy and the associated welfare, expressed in terms of the local dynamics of the frictionless op…
In a lens space X of order r a knot K representing an element of the fundamental group pi_1 X = Z/rZ of order s <= r contains a connected orientable surface S properly embedded in its exterior X-N(K) such that the boundary of S intersects the meridian of K minimally s times. Assume S has just one boundary component. Le…
Study finds conditions for operator fields to be in strictly upper triangular form in small dimensions.
Algorithm learns causal structures from low-order conditional independencies.
Quasi-alternating links of determinant 1, 2, 3, and 5 were previously classified by Greene and Teragaito, who showed that the only such links are two-bridge. In this paper, we extend this result by showing that all quasi-alternating links of determinant at most 7 are connected sums of two-bridge links, which is optimal…
We study a an optimal high frequency trading problem within a market microstructure model designed to be a good compromise between accuracy and tractability. The stock price is driven by a Markov Renewal Process (MRP), while market orders arrive in the limit order book via a point process correlated with the stock pric…
Fewer obstructions for small graphs in knotless embedding.
We investigate the general structure of optimal investment and consumption with small proportional transaction costs. For a safe asset and a risky asset with general continuous dynamics, traded with random and time-varying but small transaction costs, we derive simple formal asymptotics for the optimal policy and welfa…
We establish a canonical correspondence between connected quandles and certain configurations in transitive groups, called quandle envelopes. This correspondence allows us to efficiently enumerate connected quandles of small orders, and present new proofs concerning connected quandles of order p and 2p. We also present…
We extend the Heegaard Floer homological definition of spectral order for closed contact 3-manifolds due to Kutluhan, Matić, Van Horn-Morris, and Wand to contact 3-manifolds with convex boundary. We show that the order of a codimension zero contact submanifold bounds the order of the ambient manifold from above. As the…
New group with non-loxodromic Morse element found.
In the context of the multi-dimensional infinite horizon optimal consumption-investment problem with proportional transaction costs, we provide the first order expansion in small transact costs. Similar to the one-dimensional derivation in our accompanying paper [42], the asymptotic expansion is expressed in terms of a…
Transfer learning improves chaotic dynamics predictions with less data.
We use the Heegaard-Floer homology correction terms defined by Ozsváth--Szabó to formulate a new obstruction for a knot to be of finite order in the smooth concordance group. This obstruction bears a formal resemblance to that of Casson and Gordon but is sensitive to the difference between the smooth versus topological…
We show that wealth processes in the block-shaped order book model of Obizhaeva/Wang converge to their counterparts in the reduced-form model proposed by Almgren/Chriss, as the resilience of the order book tends to infinity. As an application of this limit theorem, we explain how to reduce portfolio choice in highly-re…
Early training of deep neural networks leads to small, directionally converging weights.
We prove that polyharmonic maps of arbitrary order from complete nonparabolic Riemannian manifolds to arbitrary Riemannian manifolds must be harmonic if certain smallness and integrability conditions hold.
Improved reinforcement learning with emergency stops.
The paper explores how smaller data sets can lead to better model selection decisions.
In this article, we consider a Markov process X, starting from x and solving a stochastic differential equation, which is driven by a Brownian motion and an independent pure jump component exhibiting state-dependent jump intensity and infinite jump activity. A second order expansion is derived for the tail probability …
Method screens similar capsule endoscopic images, reducing doctor workload and improving accuracy.
Study proves fluid limits of fragmented limit-order markets.
HAR regression improves performance on small datasets.