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.
This study shows how trade policy uncertainty affects stock-T bill correlations.
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…
The paper analyzes sterling bills of exchange during the first globalization, revealing their global financial role.
Study finds billing codes at IPO boost digital health companies' financial performance.
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 …
Model predicts active and passive cosponsorship motivations in Congress.
Tether's dominance in U.S. Treasury bills lowers bond yields by 24 basis points.
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…
Automatic bill classification is an attractive task with many potential applications such as automated detection and counting in images or videos. To address this purpose we present a Deep Learning Model to classify Chilean Banknotes, because of its successful results in image processing applications. For optimal perfo…
Multivariate time series are routinely encountered in real-world applications, and in many cases, these time series are strongly correlated. In this paper, we present a deep learning structural time series model which can (i) handle correlated multivariate time series input, and (ii) forecast the targeted temporal sequ…
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.
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 …
There are more than eight hundred interest rates published in China bond market every day. Which are the benchmark interest rates that have broad influences on most interest rates is a major concern for economists. In this paper, multi-variable Granger causality test is developed and applied to construct a directed net…
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 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…
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…
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…
ECBMs unify concept-based interpretations in deep learning models.
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.
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…
Empirical evidence supports new financial market definitions.
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…
Modern smart grids rely on advanced metering infrastructure (AMI) networks for monitoring and billing purposes. However, such an approach suffers from electricity theft cyberattacks. Different from the existing research that utilizes shallow, static, and customer-specific-based electricity theft detectors, this paper p…
New evidence supports the Euler class one conjecture for tight contact structures.
Two machine learning models detect anomalies in ER claims, saving up to 40% in improper payments.
Traffic classification has various applications in today's Internet, from resource allocation, billing and QoS purposes in ISPs to firewall and malware detection in clients. Classical machine learning algorithms and deep learning models have been widely used to solve the traffic classification task. However, training s…
Trade finance history traced from medieval origins to modern markets.
LAD detects anomalies in dynamic graphs using Laplacian matrix.
Successful implementation of California's Renewable Portfolio Standard (RPS) mandating 33 percent renewable energy generation by 2020 requires inclusion of a robust strategy to mitigate increased risk of energy deficits (blackouts) due to short time-scale (sub 1 hour) intermittencies in renewable energy sources. Of the…
This is the first version of a submission made to vixra back in August 2009. It is concerned with the exploration of various ideas due to Roy Frieden of the University of Arizona in his manuscript "Physics from Fisher Information", which was originally published in December 1998 by Cambridge University Press. In additi…
This paper proves a converse to Thurston's 1976 observation for taut foliations on hyperbolic 3-manifolds.
We study the behavior of U.S. markets both before and after U.S. Federal Open Market Committee (FOMC) meetings, and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the announcement is described by an analogue of the Omori earthquake law. We quantify th…
In the age of data driven solution, the customer demographic attributes, such as gender and age, play a core role that may enable companies to enhance the offers of their services and target the right customer in the right time and place. In the marketing campaign, the companies want to target the real user of the GSM …
This work optimizes induced correlation in joint graph embeddings.
In this paper we use wavelet concepts to show that correlation coefficient between two financial data's is not constant but varies with scale from high correlation value to strongly anti-correlation value This studies is important because correlation coefficient is used to quantify degree of independence between two va…
We analyze the daily stock data of the Nasdaq Composite index in the 22-year period 1992-2013 and identify market states as clusters of correlation matrices with similar correlation structures. We investigate the stability of the correlation structure of each state by estimating the statistical fluctuations of correlat…
The study uses DCC for financial market analysis, revealing hidden correlations.
This study uses local Gaussian correlation to analyze stock return tails, revealing more sensitive network properties.
Polynomial time algorithm matches correlated Gaussian matrices without vanishing correlation.
This paper treats the problem of screening for variables with high correlations in high dimensional data in which there can be many fewer samples than variables. We focus on threshold-based correlation screening methods for three related applications: screening for variables with large correlations within a single trea…