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.
Constructs tail-specific prediction intervals for financial applications
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and Conditional Value…
SS-GEN simulates rare events in heavy and light-tailed data.
Consider the problem of finding a population or a probability distribution amongst many with the largest mean when these means are unknown but population samples can be simulated or otherwise generated. Typically, by selecting largest sample mean population, it can be shown that false selection probability decays at an…
A motif-based framework identifies local spillover structures in financial markets.
Optimized bandit algorithms have heavy-tailed regret distributions that can grow faster than expected.