arXiv research

The paper analyzes sterling bills of exchange during the first globalization, revealing their global financial role.

Trade finance history traced from medieval origins to modern markets.

Study finds billing codes at IPO boost digital health companies' financial performance.

GA-MSSR optimizes forex trading rules for higher returns and reduced risk.

Out of nearly 70,000 bills introduced in the U.S. Congress from 2001 to 2015, only 2,513 were enacted. We developed a machine learning approach to forecasting the probability that any bill will become law. Starting in 2001 with the 107th Congress, we trained models on data from previous Congresses, predicted all bills …

Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high frequency exchange rates of eight major world currencies over 2010-2018 period are used to study cross-correlations. The study is motivated by fundamental questions in compl…

Model predicts active and passive cosponsorship motivations in Congress.

We propose using canonical correlation analysis (CCA) to generate features from sequences of medical billing codes. Applying this novel use of CCA to a database of medical billing codes for patients with diverticulitis, we first demonstrate that the CCA embeddings capture meaningful relationships among the codes. We th…

Tether's dominance in U.S. Treasury bills lowers bond yields by 24 basis points.

In this paper, we pay our attention to geometric parameters and their applications in economics and finance. We discuss the multiplicative models in which a geometric mean and a geometric standard deviation are more natural than arithmetic ones. We give two examples from Warsaw Stock Exchange in 1995--2009 and from a b…

This study shows how trade policy uncertainty affects stock-T bill correlations.

Article explores Thurston's circle packing theorem in 3-manifold geometry.

In this paper, we present an effective deep prediction framework based on robust recurrent neural networks (RNNs) to predict the likely therapeutic classes of medications a patient is taking, given a sequence of diagnostic billing codes in their record. Accurately capturing the list of medications currently taken by a …

Here we shall consider a very popular practical applied problem of managing mode switching (in this work we are considering managing billing plans). Out of the two parties (service provider and service consumer), participating in the processes modelled here, we shall consider only a consumer type of a problem. Herein w…

We show that one-sided Alexandrov embedded constant mean curvature cylinders of finite type in the 3-sphere are surfaces of revolution. This confirms a conjecture by Pinkall and Sterling that the only embedded constant mean curvature tori in the 3-sphere are rotational.

We investigate CMC-surfaces with periodic metric in a dressing orbit of the cylinder. It is shown, that such surfaces are always of finite type. Using the periodicity conditions for the extended frame of a CMC-surface, we develop an alternative approach to the classification of CMC-tori given by Pinkall and Sterling.

Deep learning model classifies Chilean banknotes.

We study higher-order conservation laws of the non-linearizable elliptic Poisson equation $\frac{{\partial}^2 u}{\partial z \partial \bar{z}} = -f(u)$ as elements of the characteristic cohomology of the associated exterior differential system. The theory of characteristic cohomology determines a normal form for diffe…

In coming years residential consumers will face real-time electricity tariffs with energy prices varying day to day, and effective energy saving will require automation - a recommender system, which learns consumer's preferences from her actions. A consumer chooses a scenario of home appliance use to balance her comfor…

We give a unified geometric approach to some theorems about primitive elements and palindromes in free groups of rank 2. The geometric treatment gives new proofs of the theorems. Dedicated to Bill Harvey on his 65th birthday.

The study explores machine learning for predicting customer propensity-to-pay uncertainty.

We present a new methodology of computing incremental contribution for performance ratios for portfolio like Sharpe, Treynor, Calmar or Sterling ratios. Using Euler's homogeneous function theorem, we are able to decompose these performance ratios as a linear combination of individual modified performance ratios. This a…

This note summarizes in an informal way some geometric properties of Anosov representations into the symplectic group, which were presented in a talk at the conference What is Next. The mathematical legacy of Bill Thurston, held in June 2014 in Cornell.

Unsupervised model detects healthcare fraud from patient visit data.

This document consists of the collection of handouts for a two-week summer workshop entitled 'Geometry and the Imagination', led by John Conway, Peter Doyle, Jane Gilman and Bill Thurston at the Geometry Center in Minneapolis, June 17-28, 1991. The workshop was based on a course `Geometry and the Imagination' which we …

We study minimal annuli in $\mathbb{S}^2 \times \mathbb{R}$ of finite type by relating them to harmonic maps $\mathbb{C} \to \mathbb{S}^2$ of finite type. We rephrase an iteration by Pinkall-Sterling in terms of polynomial Killing fields. We discuss spectral curves, spectral data and the geometry of the isospectral set…

Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algorithms for constructing (ex-post) trading strategies that are optimal with respect to the total return, the Sterling ratio…

In this manuscript we analyse the leading statistical properties of fluctuations of (log) 3-month US Treasury bill quotation in the secondary market, namely: probability density function, autocorrelation, absolute values autocorrelation, and absolute values persistency. We verify that this financial instrument, in spit…

We study the space of periodic solutions of the elliptic $\sinh$-Gordon equation by means of spectral data consisting of a Riemann surface $Y$ and a divisor $D$. We show that the space $M_g^{\mathbf{p}}$ of real periodic finite type solutions with fixed period $\mathbf{p}$ can be considered as a completely integrable s…

We address the problem of parameter estimation for diffusion driven stochastic volatility models through Markov chain Monte Carlo (MCMC). To avoid degeneracy issues we introduce an innovative reparametrisation defined through transformations that operate on the time scale of the diffusion. A novel MCMC scheme which ove…

We present a connection between the Killing fields that arise in the loop-group approach to integrable systems and conservation laws viewed as elements of the characteristic cohomology. We use the connection to generate the complete set of conservation laws (as elements of the characteristic cohomology) for the Tzitzei…

We show how to assign to any immersed torus in $\R^3$ or $S^3$ a Riemann surface such that the immersion is described by functions defined on this surface. We call this surface the spectrum or the spectral curve of the torus. The spectrum contains important information about conformally invariant properties of the toru…

Optimal control of reserve assets for stablecoins to maintain peg stability.

The telecommunications industry is highly competitive, which means that the mobile providers need a business intelligence model that can be used to achieve an optimal level of churners, as well as a minimal level of cost in marketing activities. Machine learning applications can be used to provide guidance on marketing…

We propose a multifractal model for short-term interest rates. The model is a version of the Markov-Switching Multifractal (MSM), which incorporates the well-known level effect observed in interest rates. Unlike previously suggested models, the level-MSM model captures the power-law scaling of the structure functions a…

Study refines trend-following strategy to improve adaptability.

The exchange algorithm is studied for its convergence and asymptotic variance.

The paper studies how to transform a sequence of cmc planes into a minimal surface.

Study on pricing American Exchange options using Lévy processes.

Optimal crypto order execution using cross-exchange signals.

Donoho's JCGS (in press) paper is a spirited call to action for statisticians, who he points out are losing ground in the field of data science by refusing to accept that data science is its own domain. (Or, at least, a domain that is becoming distinctly defined.) He calls on writings by John Tukey, Bill Cleveland, and…

Study exchange option pricing with stochastic volatility and correlation.

New models reduce regional inequality by adjusting exchange range and asset distribution bias.

A known failing of many popular random graph models is that the Aldous-Hoover Theorem guarantees these graphs are dense with probability one; that is, the number of edges grows quadratically with the number of nodes. This behavior is considered unrealistic in observed graphs. We define a notion of edge exchangeability …

We investigate the macroeconomic consequences of narrow banking in the context of stock-flow consistent models. We begin with an extension of the Goodwin-Keen model incorporating time deposits, government bills, cash, and central bank reserves to the base model with loans and demand deposits and use it to describe a fr…

Empirical evidence supports new financial market definitions.

How do individuals accumulate wealth as they interact economically? We outline the consequences of a simple microscopic model in which repeated pairwise exchanges of assets between individuals build the wealth distribution of a population. This distribution is determined for generic exchange rules --- transactions that…

The team predicts foreign exchange rates using clustering and attention models.