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.
Improved MF-DFA model analyzes precious metals market efficiency and multifractality.
Binary PheNorm extends phenotype labeling for EHRs using binary silver labels.
This study compares Bitcoin and Litecoin using cryptocurrency metrics and trading strategies.
Minimal stretch factors for certain pseudo-Anosov maps are bounded.
TGARCH model shows CSI-300 futures reduce spot price volatility.
Paper develops new spot regression estimators using candlesticks for asset pricing.
SVAR-LiNGAM reveals causal order in crypto-asset markets.
Study assesses weakly-supervised methods for rare outcomes in medical records.
Study hot spots on warped product manifolds and infinite cones.
Hot spots conjecture proven for small eigenvalue domains.
The main result of this paper, Simon's conjecture for fibered knots, was previously proven by Silver and Whitten math.GT/0405462 with essentially the same proof. This paper is therefore being withdrawn. The author would like to apologize for having missed this.
Continuous Speech Keyword Spotting (CSKS) is the problem of spotting keywords in recorded conversations, when a small number of instances of keywords are available in training data. Unlike the more common Keyword Spotting, where an algorithm needs to detect lone keywords or short phrases like "Alexa", "Cortana", "Hi Al…
This paper introduces the class of volatility modulated Lévy-driven Volterra (VMLV) processes and their important subclass of Lévy semistationary (LSS) processes as a new framework for modelling energy spot prices. The main modelling idea consists of four principles: First, deseasonalised spot prices can be modelled di…
Hybrid models forecast EPEC energy spot prices.
Given a TQFT in dimension d+1, and an infinite cyclic covering of a closed (d+1)-dimensional manifold M, we define an invariant taking values in a strong shift equivalence class of matrices. The notion of strong shift equivalence originated in R. Williams' work in symbolic dynamics. The Turaev-Viro module associated to…
We show that a group presented by a labelled oriented tree presentation in which the tree has diameter at most three is an HNN extension of a finitely presented group. From results of Silver, it then follows that the corresponding higher dimensional ribbon knots admit minimal Seifert manifolds.
The study proves constant-curvature analogues of hot spots conjecture for triangles.
In this paper we introduce a flexible HJM-type framework that allows for consistent modelling of intraday, spot, futures, and option prices. This framework is based on stochastic processes with economic interpretations and consistent with the initial term structure given in the form of a price forward curve. Furthermor…
Research forecasts electricity spot prices using stochastic volatility models.
SpotV2Net forecasts intraday spot volatilities using graph attention networks.
We consider the space of all representations of the commutator subgroup of a knot group into Z/p, p is prime. As proven by D. Silver and S. Williams, this space can be completely described by a finite oriented graph. We describe the lengths of cycles in this graph.
We construct a no-arbitrage model of bond prices where the long bond is used as a numeraire. We develop bond prices and their dynamics without developing any model for the spot rate or forward rates. The model is arbitrage free and all nominal interest rates remain positive in the model. We give examples where our mode…
It follows from earlier work of Silver-Williams and the authors that twisted Alexander polynomials detect the unknot and the Hopf link. We now show that twisted Alexander polynomials also detect the trefoil and the figure-8 knot, that twisted Alexander polynomials detect whether a link is split and that twisted Alexand…
New method for spot volatility estimation with reduced microstructure noise.
Study compares two factor models for electricity spot prices across different periods.
Empirical study finds variance swap rate is affine in spot variance for S&P500 data.
Most models for barrier pricing are designed to let a market maker tune the model-implied covariance between moves in the asset spot price and moves in the implied volatility skew. This is often implemented with a local volatility/stochastic volatility mixture model, where the mixture parameter tunes that covariance. T…
Agents trained in simulation may make errors in the real world due to mismatches between training and execution environments. These mistakes can be dangerous and difficult to discover because the agent cannot predict them a priori. We propose using oracle feedback to learn a predictive model of these blind spots to red…
A new method for spotting symbols in CAD images reduces annotation costs and improves accuracy.
A new model adds stochastic spot/volatility correlation to Heston model for better exotic pricing.
We define a family of virtual knots generalizing the classical twist knots. We develop a recursive formula for the Alexander polynomial (as defined by Silver and Williams) of these virtual twist knots. These results are applied to provide evidence for a conjecture that the odd writhe of a virtual knot can be obta…
Russia-Ukraine conflict impacts global agricultural futures and spot markets' extreme risks.
There are many industrial situations where rods are used to stir a fluid, or where rods repeatedly stretch a material such as bread dough or taffy. The goal in these applications is to stretch either material lines (in a fluid) or the material itself (for dough or taffy) as rapidly as possible. The growth rate of mater…
Self-training with noisy student-teacher boosts keyword spotting accuracy.
Derives pricing formulas for perpetual futures contracts.
CNNs can develop blind spots due to uneven padding in feature maps.
We propose a new structural model that can compute the electricity spot and forward prices in two coupled markets with limited interconnection and multiple fuels. We choose a structural approach in order to represent some key characteristics of electricity spot prices such as their link to fuel prices, consumption leve…
We give a new interpretation of the Alexander polynomial for virtual knots due to Sawollek and Silver and Williams, and use it to show that, for any virtual knot, determines the writhe polynomial of Cheng and Gao (equivalently, Kauffman's affine index polynomial). We also use it to define a second-order wri…
The paper proves the consistency and efficiency of a volatility estimator in noisy data.
The adversarial training procedure proposed by Madry et al. (2018) is one of the most effective methods to defend against adversarial examples in deep neural networks (DNNs). In our paper, we shed some lights on the practicality and the hardness of adversarial training by showing that the effectiveness (robustness on t…
This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The first novelty consist in proposing a model that unifies the dynamics of the futures curve and the spot price, which accounts…
We discuss stochastic modeling of volatility persistence and anti-correlations in electricity spot prices, and for this purpose we present two mean-reverting versions of the multifractal random walk (MRW). In the first model the anti-correlations are modeled in the same way as in an Ornstein-Uhlenbeck process, i.e. via…
Correlation matrices of foreign exchange rate time series are investigated for 60 world currencies. Minimal Spanning Tree (MST) graphs for the gold, silver and platinum are presented. Inverse power like scaling is discussed for these graphs as well as for four distinct currency groups (major, liquid, less liquid and no…
Keyword spotting--or wakeword detection--is an essential feature for hands-free operation of modern voice-controlled devices. With such devices becoming ubiquitous, users might want to choose a personalized custom wakeword. In this work, we present DONUT, a CTC-based algorithm for online query-by-example keyword spotti…
Study Fourier estimator for spot volatility with unbounded coefficients and jumps.
Study finds intrinsic multifractality in maize and barley spot markets, but not in wheat and rice.
We show that the mapping class group of a handlebody of genus at least 2 (with any number of marked points or spots) is exponentially distorted in the mapping class group of its boundary surface. The same holds true for solid tori with at least two marked points or spots.
In commodity markets the convergence of futures towards spot prices, at the expiration of the contract, is usually justified by no-arbitrage arguments. In this article, we propose an alternative approach that relies on the expected profit maximization problem of an agent, producing and storing a commodity while trading…