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 symmetry groups and curves from sums of exponentials.
A multivariate Hawkes process with sum-of-three-exponentials kernel fits limit order book data well.
Study the symmetry and winding numbers of curves defined by sums of exponentials.
This paper uses Hawkes processes to forecast high-frequency order flow imbalance.
Efficiently simulates and calibrates the rough Bergomi model using Wasserstein distance.
Many fits of Hawkes processes to financial data look rather good but most of them are not statistically significant. This raises the question of what part of market dynamics this model is able to account for exactly. We document the accuracy of such processes as one varies the time interval of calibration and compare t…
Fast simulates Volterra processes using RFF, focusing on S-fBM.