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.
Proves and tests methods for learning time-series with breaks.
Bayesian ARMA model with directional shifts captures structural breaks in compositional time series.
Paper proposes a method to efficiently estimate structural breaks in cointegrating regressions.
Paper detects and estimates breaks in high-dimensional functional time series.
The paper presents the comparative study of the nature of stock markets in short-term and long-term time scales with and without structural break in the stock data. Structural break point has been identified by applying Zivot and Andrews structural trend break model to break the original time series (TSO) into time ser…
This paper examines how investors mislearn factor risk premia under structural breaks in a misspecified Bayesian framework.
New algorithm reduces simultaneous asset shocks in financial portfolios.
Many data are naturally modeled by an unobserved hierarchical structure. In this paper we propose a flexible nonparametric prior over unknown data hierarchies. The approach uses nested stick-breaking processes to allow for trees of unbounded width and depth, where data can live at any node and are infinitely exchangeab…
Classifies patterns of symmetry breaking and vacuum degeneracy in scalar and gauge fields.
This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the CAPM with segmentation effects. Second, we study the structural breaks in this series. Finally…
The Lucas critique has exposed the problem of the trade-off between changes in monetary policy and structural breaks in economic time series. The search for and characterisation of such breaks has been a major econometric task ever since. We have developed an integral technique similar to CUSUM using an empirical model…
New model accurately predicts chemical bond breaking.
Human stablecoin transactions predict political risk in cryptocurrency markets.
This study extends and evaluates the forecasting performance of the Singular Spectrum Analysis (SSA) technique using a general non-linear form for the re- current formula. In this study, we consider 24 series measuring the monthly seasonally adjusted industrial production of important sectors of the German, French and …
Geometric mechanism mimics physics' symmetry breaking.
Study examines extreme and erratic cryptocurrency behaviour during COVID-19.
Least symmetry breaking principle explains SGD's local minima in shallow ReLU networks.
The paper analyzes cryptocurrency and equity markets using advanced statistical methods.
In this article we prove that iterated renormalisations of circle diffeomorphisms with breaks, , with given size of breaks, converge to an invariant family of piecewise Moebius maps, of dimension . We prove that this invariant family identifies with a \textit{relative character variety} $χ(…
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consist of the pricing of nth-to-default baskets under the Gaussian copula model (GCM). We provide necessary and sufficient co…
Study uncovers tactical line-breaking passes in football using clustering.
Paper proposes a VB method for TS-SBP mixture models with reduced computational cost.
Researchers create BPS monopoles with any desired symmetry breaking.
The paper classifies and proves properties of symmetry breaking operators for specific groups.
We give a complete classification of intertwining operators (symmetry breaking operators) between spherical principal series representations of G=O(n+1,1) and G'=O(n,1). We construct three meromorphic families of the symmetry breaking operators, and find their distribution kernels and their residues at all poles explic…
Investigates spontaneous symmetry breaking in non-equilibrium systems.
For massive and heterogeneous modern datasets, it is of fundamental interest to provide guarantees on the accuracy of estimation when computational resources are limited. In the application of learning to rank, we provide a hierarchy of rank-breaking mechanisms ordered by the complexity in thus generated sketch of the …
The paper analyzes XVA reduction strategies in financial crises using Mandatory Breaks, Restructuring, and Resets.
We introduce the concept of spontaneous symmetry breaking to arbitrage modeling. In the model, the arbitrage strategy is considered as being in the symmetry breaking phase and the phase transition between arbitrage mode and no-arbitrage mode is triggered by a control parameter. We estimate the control parameter for mom…
We present Bernstein-Sato identities for scalar-, spinor- and differential form-valued distribution kernels on Euclidean space associated to conformal symmetry breaking operators. The associated Bernstein-Sato operators lead to partially new formulae for conformal symmetry breaking differential operators on functions, …
The paper addresses dynamic capital structure models with defaultable debt, proving existence and uniqueness.
We present an efficient alternating direction method of multipliers (ADMM) algorithm for segmenting a multivariate non-stationary time series with structural breaks into stationary regions. We draw from recent work where the series is assumed to follow a vector autoregressive model within segments and a convex estimati…
The Chinese restaurant process (CRP) and the stick-breaking process are the two most commonly used representations of the Dirichlet process. However, the usual proof of the connection between them is indirect, relying on abstract properties of the Dirichlet process that are difficult for nonexperts to verify. This shor…
We study Riemannian 8-manifolds with an infinitesimal action of SO(3) by which each tangent space breaks into irreducible spaces of dimensions 3 and 5. The relationship with quaternionic, almost product- and PSU-geometry is thoroughly explained using representation-theoretical arguments.
SymPE breaks symmetries in equivariant networks, improving performance across various tasks.
Noether's framework reveals symmetry-breaking in neural networks.
We have modeled the employment/population ratio in the largest developed countries. Our results show that the evolution of the employment rate since 1970 can be predicted with a high accuracy by a linear dependence on the logarithm of real GDP per capita. All empirical relationships estimated in this study need a struc…
Novel framework synthesizes stochastic trajectories with anticipated structural breaks.
Part I. We prove a one-to-one correspondence between differential symmetry breaking operators for equivariant vector bundles over two homogeneous spaces and certain homomorphisms for representations of two Lie algebras, in connection with branching problems of the restriction of representations. We develop a new method…
New method breaks symmetry in neural networks, improving sample efficiency.
Study shows instantons and monopoles decompose into U(1) components.
The beta-Bernoulli process provides a Bayesian nonparametric prior for models involving collections of binary-valued features. A draw from the beta process yields an infinite collection of probabilities in the unit interval, and a draw from the Bernoulli process turns these into binary-valued features. Recent work has …
We provide some insights in the study of branching problems of reductive groups, and a method of investigations into symmetry breaking operators. First, we give geometric criteria for finiteness property of linearly independent continuous (respectively, differential) operators that intertwine two induced representation…
The physics of classical particles in a Lorentz-breaking spacetime has numerous features resembling the properties of Finsler geometry. In particular, the Lagrange function plays a role similar to that of a Finsler structure function. A summary is presented of recent results, including new calculable Finsler structures…
Study on spontaneous symmetry breaking in financial markets using quantum mechanics.
Study on wave-breaking phenomena in solutions of the Camassa-Holm equation.
We extend Stochastic Gradient Variational Bayes to perform posterior inference for the weights of Stick-Breaking processes. This development allows us to define a Stick-Breaking Variational Autoencoder (SB-VAE), a Bayesian nonparametric version of the variational autoencoder that has a latent representation with stocha…
The article finds non-Abelian DT-instantons on non-Kähler manifolds.