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 optimal portfolio strategy with sporadic bankruptcy for isoelastic utility.
The goal of this paper is to give a conjectural census of complex hyperbolic sporadic groups. We prove that only finitely many of these sporadic groups are lattices. We also give a conjectural list of all lattices among sporadic groups, and for each group in the list we give a conjectural presentation, as well as a lis…
Paper presents ECL dataset for multi-modal bankruptcy prediction.
The study predicts bankruptcy in Indian companies using financial ratios.
VSDN models sporadic time series with neural SDEs.
We have conducted an agent-based simulation of chain bankruptcy. The propagation of credit risk on a network, i.e., chain bankruptcy, is the key to nderstanding largesized bankruptcies. In our model, decrease of revenue by the loss of accounts payable is modeled by an interaction term, and bankruptcy is defined as a ca…
Novel imputation method for EHRs with structured and sporadic missingness.
Study explores how labour income impacts optimal bankruptcy strategy.
Narrative disclosures in 10-K filings improve bankruptcy prediction beyond accounting ratios.
CARRNN tackles deep learning for sporadic data, improving prediction errors in healthcare.
New framework for reinforcement learning with sporadic state observations.
The paper classifies and proves properties of symmetry breaking operators for specific groups.
Optimizes dividend control in a bankruptcy process using a special Levy process.
Study proposes a data-driven CBR system for improved bankruptcy prediction.
Interval bankruptcy problems arise in situations where an estate has to be liquidated among a fixed number of creditors and uncertainty about the amounts of the claims is modeled by intervals. We extend in the interval setting the classical results by Curiel, Maschler and Tijs (1987) that characterize division rules wh…
Research aims to predict fallen angel bonds' bankruptcy using machine learning.
Predicting bankruptcy using financial data and news sentiment.
Gradient boosted trees outperform other models in predicting corporate bankruptcy.
Optimal dividends strategy in a two-state regime-switching environment.
New model uses financial filings to predict bankruptcy, even without MDA sections.
Modeling real-world multidimensional time series can be particularly challenging when these are sporadically observed (i.e., sampling is irregular both in time and across dimensions)-such as in the case of clinical patient data. To address these challenges, we propose (1) a continuous-time version of the Gated Recurren…
We study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the presence of the restriction that the surplus process must be above a given dividend payout barrier in order for dividend payments to be allowed. Bankruptcy occurs if the su…
Study combines intra-risk and contagion risk for SME bankruptcy prediction.
Using an exhaustive list of Japanese bankruptcy in 1997, we discover a Zipf law for the distribution of total liabilities of bankrupted firms in high debt range. The life-time of these bankrupted firms has exponential distribution in correlation with entry rate of new firms. We also show that the debt and size are high…
We study the action of the mapping class group M(F) on the complex of curves of a non-orientable surface F. We obtain, by using a result of K. S. Brown, a presentation for M(F) defined in terms of the mapping class groups of the complementary surfaces of collections of curves, provided that F is not sporadic, i.e. the …
We model a network economy with three sectors: downstream firms, upstream firms, and banks. Agents are linked by productive and credit relationships so that the behavior of one agent influences the behavior of the others through network connections. Credit interlinkages among agents are a source of bankruptcy diffusion…
This note explores the mathematical theory to solve modern gamblers ruin problems. We establish a ruin framework and solve for the probability of bankruptcy. We also show how this relates to the expected time to bankruptcy and review the risk neutral probabilities associated an adjustment to asymmetrical views.
We analyze the size dependence and temporal stability of firm bankruptcy risk in the US economy by applying Zipf scaling techniques. We focus on a single risk factor-the debt-to-asset ratio R-in order to study the stability of the Zipf distribution of R over time. We find that the Zipf exponent increases during market …
In bankruptcy prediction, the proportion of events is very low, which is often oversampled to eliminate this bias. In this paper, we study the influence of the event rate on discrimination abilities of bankruptcy prediction models. First the statistical association and significance of public records and firmographics i…
New method predicts bankruptcy by imputing missing data with granular semantics.
We first show that every quasisimple sporadic group possesses an unmixed strongly real Beauville structure aside from the Mathieu groups M11 and M23 (and possibly 2B and M). We go on to show that no almost simple sporadic group possesses a mixed Beauville structure. We then go on to use the exceptional nature of the al…
Credit estimation and bankruptcy prediction methods have been utilizing Altman's score method for the last several years. It is reported in many studies that score is sensitive to changes in accounting figures. Researches have proposed different variations to conventional score that can improve the predicti…
The optimal capital structure model with endogenous bankruptcy was first studied by Leland (1994) and Leland and Toft (1996), and was later extended to the spectrally negative Levy model by Hilberink and Rogers (2002) and Kyprianou and Surya (2007). This paper incorporates the scale effects by allowing the values of ba…
We revisit the optimal capital structure model with endogenous bankruptcy first studied by Leland \cite{Leland94} and Leland and Toft \cite{Leland96}. Differently from the standard case, where shareholders observe continuously the asset value and bankruptcy is executed instantaneously without delay, we assume that the …
New distress dictionary improves bankruptcy prediction from disclosure text.
Paper introduces a benchmark for predicting bankruptcy from text data.
Model predicts Mozambique bank failures, aiding risk management.
Divide knots and links, defined by A'Campo in the singularity theory of complex curves, is a method to present knots or links by real plane curves. The present paper is a continuation of the author's previous result that every knot in the major subfamilies of Berge's lens space surgery (i.e., knots yielding a lens spac…
We introduce a model in which a regulator employs mechanism design to embed her human capital beta signal(s) in a firm's capital structure, in order to enhance the value of her post career change indexed executive stock option contract with the firm. We prove that the agency cost of this revolving door behavior increas…
Study uses CNN to analyze images of SMEs for bankruptcy risk.
Proposes a new bankruptcy prediction model using Bayesian framework with expert knowledge.
The 1/3 Financial Rule helps prevent household bankruptcy through balanced spending, savings, and debt repayment.
Adapts Altman's model to compositional data for bankruptcy prediction.
Study improves bankruptcy prediction models for imbalanced data and economic stages.
New algorithm recovers sparse signals from linearly sparse dictionaries efficiently.
The question we address here is of whether phenomena of collective bankruptcies are related to self-organized criticality. In order to answer it we propose a simple model of banking networks based on the random directed percolation. We study effects of one bank failure on the nucleation of contagion phase in a financia…
This study analyzes how cryptocurrency networks adapt to financial disruptions.
We provide investment advice for an individual who wishes to minimize her lifetime poverty, with a penalty for bankruptcy or ruin. We measure poverty via a non-negative, non-increasing function of (running) wealth. Thus, the lower wealth falls and the longer wealth stays low, the greater the penalty. This paper general…