We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.
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48 results for “technical solutions”
Paper fills in technical details for Hitchin's self-duality equations proof.
problem Existence of solutions to Hitchin's self-duality equations.
method Reduction to minimizing energy functional, Coulomb gauge construction.
result Smooth solution constructed using unitary gauge transformation.
Paper presents a randomized algorithm for SPCA with high probability approximation.
problem Sparse Principal Component Analysis (SPCA) is NP-hard.
method Based on basic SDP relaxation, the algorithm constructs deterministic and randomized solutions.
result The algorithm achieves an approximation ratio of at most the sparsity constant with high probability.
New techniques exploit market systems to manipulate prices.
problem Market manipulation through technical details and glitches.
method Analyzed and modeled market manipulation techniques and proposed mitigation measures.
result Technical solutions can significantly thwart market manipulation.
Paper compares stock price prediction models using Heston and Geometric Brownian Motion.
problem Predicting stock prices accurately.
method Developed Heston and Geometric Brownian Motion models using Ito's lemma and Euler-Maruyama methods.
result Models outperform statistical indicators in predicting stock prices.
This paper tackles hidden technical debts in fair ML systems for Fintech.
problem Building fair machine learning systems in financial services.
method Examining key stages of ML system development and deployment.
result Technical debts exist in deploying fair ML systems in Fintech.
In this note under a crucial technical assumption we derive a differential equality of the Yamabe constant where is a solution of the Ricci flow on a closed manifold.
It is the purpose of this article to establish a technical tool to study regularity of solutions to parabolic equations on manifolds. As applications of this technique, we prove that solutions to the Ricci-DeTurck flow, the surface diffusion flow and the mean curvature flow enjoy joint analyticity in time and space, an…
We solve the -marginal Skorokhod embedding problem for a continuous local martingale and a sequence of probability measures which are in convex order and satisfy an additional technical assumption. Our construction is explicit and is a multiple marginal generalisation of the Azema and Yor (1979) soluti…
In this article, we prove the existence of bounded solutions of quadratic backward SDEs with jumps, that is to say for which the generator has quadratic growth in the variables (z,u). From a technical point of view, we use a direct fixed point approach as in Tevzadze [38], which allows us to obtain existence and unique…
As an application of his entropy formula, Perelman proved that every compact shrinking breather is a shrinking gradient Ricci soliton. We give a proof for the complete noncompact case by using Perelman's -geometry. Our proof follows the argument in Lu and Zheng of constructing an ancient solution, and remo…
Study well-poses Dirac operator problem with APS boundary conditions.
problem Well-posedness of Cauchy problem for Dirac operator on Lorentzian manifolds.
method Derived energy estimates, established uniqueness and existence of weak solutions, introduced mollifier operators.
result Well-posedness of Cauchy problem for Dirac operator with APS boundary conditions.
Machine learning for many-body physics: efficient solution of dynamical mean-field theorycond-mat.str-el
Machine learning methods for solving the equations of dynamical mean-field theory are developed. The method is demonstrated on the three dimensional Hubbard model. The key technical issues are defining a mapping of an input function to an output function, and distinguishing metallic from insulating solutions. Both meta…
In this paper, we investigate Dimensionality reduction (DR) maps in an information retrieval setting from a quantitative topology point of view. In particular, we show that no DR maps can achieve perfect precision and perfect recall simultaneously. Thus a continuous DR map must have imperfect precision. We further prov…
The paper limits the profitability of technical trading rules and finds they are not better than random trading.
problem The profitability of technical trading rules in stock markets is controversial.
method Proves the upper bound of cumulative return and investigates the profitability of technical trading rules using bootstrap methodology.
result Technical trading rules are not better than random trading and less profitable than the market.
The 2018 Grand Challenge targets the problem of accurate predictions on data streams produced by automatic identification system (AIS) equipment, describing naval traffic. This paper reports the technical details of a custom solution, which exposes multiple tuning parameters, making its configurability one of the main …
We study power utility maximization for exponential Lévy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraints, an explicit solution in terms of the Lévy triplet is constructed under minimal assumptions by solving the Bellman equation. We use a nove…
Wang simplifies ancient convex solutions to mean curvature flow structure theory.
problem Understanding convex ancient solutions to mean curvature flow.
method Simplified analysis using monotonicity formula and differential Harnack inequality, new structure result.
result Various rigidity results for convex ancient solutions and translators follow from structure theory.
In this paper, the third of its series, we prove that the sobolev spaces of L^p_k approximate solutions to the Dirichlet problem for the epsilon-Yang Mills equations on a four dimensional disk, carry a natural manifold structure (more precisely a natural structure of Banach bundle), for p(k+1)> 4. All results apply als…
Study of singular solutions to a fourth order system in a ball with a singularity.
problem Asymptotic behavior of singular solutions to a conformally invariant fourth order system.
method Spectral analysis and a priori estimates for Jacobi fields.
result Solutions near the singularity behave like Emden--Fowler solutions.
Abstract: A new approach to technical indicators without lag.
problem Defining classical technical indicators as bounded operators for lag-free trading.
method Using linear algebra to redefine technical indicators as bounded operators in space.
result Demonstrated the no-lag versions of technical indicators are simpler and more effective.
Profitable Strategy Design by Using Deep Reinforcement Learning for Trades on Cryptocurrency Marketsq-fin.TR
Deep RL strategies outperform traditional methods in cryptocurrency trading.
problem Designing profitable trading strategies for cryptocurrency markets.
method Applied Proximal Policy Optimization, Soft Actor-Critic, and Generative Adversarial Imitation Learning to a Gym environment based on cryptocurrency markets.
result Highest gain of 4850 US dollars per 10000 US dollars investment on unseen data.
DeepSupp detects financial support levels using attention mechanisms.
problem Traditional SR identification methods fail to adapt to modern markets.
method Multi-head attention mechanisms, dynamic correlation matrices, DBSCAN clustering.
result DeepSupp outperforms six baseline methods across six financial metrics.
In this paper we use fuzzy systems theory to convert the technical trading rules commonly used by stock practitioners into excess demand functions which are then used to drive the price dynamics. The technical trading rules are recorded in natural languages where fuzzy words and vague expressions abound. In Part I of t…
Review of algorithms for linear system approximations.
problem Linear approximation of high-dimensional dynamical systems.
method State-of-the-art algorithms for low-rank DMD.
result Provides additional details for comprehensive understanding.
Independent Component Analysis (ICA) is a popular model for blind signal separation. The ICA model assumes that a number of independent source signals are linearly mixed to form the observed signals. We propose a new algorithm, PEGI (for pseudo-Euclidean Gradient Iteration), for provable model recovery for ICA with Gau…
The study redefines algorithmic fairness as a sociotechnical concept.
problem Systemic discrimination in automated decision-making.
method Literature review and sociotechnical analysis.
result Algorithmic fairness should be viewed through a sociotechnical lens.
Technical trading rules have a long history of being used by practitioners in financial markets. Their profitable ability and efficiency of technical trading rules are yet controversial. In this paper, we test the performance of more than seven thousands traditional technical trading rules on the Shanghai Securities Co…
Revisits life insurance surplus models with new technical bases.
problem Classifying and extending life insurance surplus models.
method Using Markov models and classifying technical bases in Thiele's equation.
result Introduces a `canonical' model with three technical bases.
Fatal accidents are a major issue hindering the wide acceptance of safety-critical systems using machine-learning and deep-learning models, such as automated-driving vehicles. Quality assurance frameworks are required for such machine learning systems, but there are no widely accepted and established quality-assurance …
Improved iterative hard thresholding for faster, sparser solutions.
problem Finding sparser solutions without sacrificing runtime.
method Adaptive regularization framework applied to iterative hard thresholding.
result Returns solutions with sparsity , improving over existing methods.
We investigate the performance of dynamic portfolios constructed using more than 21,000 technical trading rules on 12 categorical and country-specific markets over the 2004-2015 study period, on rolling forward structures of different lengths. We also introduce a discrete false discovery rate (DFRD+/-) method for contr…
How to reconcile Market Efficiency and Technical Analysiscond-mat.stat-mech
Weak form of the Efficiency Market Hypothesis (EMH) excludes predictions of future market movements from historical data and makes the technical analysis (TA) out of law. However the technical analysis is widely used by traders and speculators who steadely refuse to consider the market as a "fair game" and survive with…
Review of Yau's conjecture on zero sets of Laplace eigenfunctions.
problem Yau's conjecture on zero sets of Laplace eigenfunctions.
method Discussion of old and new results and methods related to the conjecture, including solutions and new results in smooth settings.
result Discussion of Donnelly and Fefferman's solution of the conjecture in the real-analytic Riemannian manifold case and new results in the smooth setting.
The Allen-Cahn system on manifolds yields multiple phase distributions.
problem Finding the number of solutions to the Allen-Cahn system on manifolds.
method Volume-fixing variations approach to classify isoperimetric clusters.
result The number of solutions is bounded by topological invariants for parallelizable manifolds.
Systematic review of multimodal data challenges and solutions.
problem Challenges in integrating diverse data types for improved diagnostics and personalized care.
method Synthesizing findings from 69 studies on technical obstacles and recent methodological advances.
result Promising solutions like transfer learning, generative models, attention mechanisms, and neural architecture search.
Mathematically, a homothetic function is a function of the form , where is a homogeneous function of any degree and is a monotonically increasing function. In economics homothetic functions are production functions whose marginal technical rate of substitution is homogeneo…
This book is expository and is in Russian. It is shown how in the course of solution of interesting geometric problems (close to applications) naturally appear main notions of algebraic topology (homology groups, obstructions and invariants, characteristic classes). Thus main ideas of algebraic topology are presented w…
In this paper we introduce invariants of semi-free Hamiltonian actions of $S\sp 1$ on compact symplectic manifolds (which satisfy some technical conditions related to positivity) using the space of solutions to certain gauge theoretical equations. These equations generalize at the same time the vortex equations and the…
This research optimizes Andrews plots for better visual clarity in high-dimensional data.
problem Visualizing high-dimensional datasets with clarity and aesthetics.
method Developed a method to add spectral smoothing to Andrews plots to reduce visual clutter.
result Optimal spatial-spectral smoothing leads to more aesthetically pleasing and clutter-free visualizations.
Predicting stock jumps using liquidity and technical indicators.
problem Predicting intraday stock jumps in finance.
method Divide trading day into 5-minute intervals, use liquidity measures and technical indicators, apply machine learning algorithms.
result Initial evidence of predictability of jump arrivals and directions using level-2 stock data.
In this paper, a neural network-based stock price prediction and trading system using technical analysis indicators is presented. The model developed first converts the financial time series data into a series of buy-sell-hold trigger signals using the most commonly preferred technical analysis indicators. Then, a Mult…
In this dissertation, the main goal is visualisation of financial time series. We expect that visualisation of financial time series will be a useful auxiliary for technical analysis. Firstly, we review the technical analysis methods and test our trading rules, which are built by the essential concepts of technical ana…
This study improves stock price prediction for Apple Inc. using feature selection and regression models with technical indicators.
problem Improving stock price prediction accuracy for Apple Inc. using technical indicators.
method Evaluation of 123 technical indicators and 10 regression models on 13 years of Apple Inc. data.
result Combining feature selection with regression models significantly improves prediction accuracy.
In this paper, we investigate trading strategies based on exponential moving averages (ExpMAs) of an underlying risky asset. We study both logarithmic utility maximization and long-term growth rate maximization problems and find closed-form solutions when the drift of the underlying is modeled by either an Ornstein-Uhl…
Study finds traditional technical indicators underperform in high-frequency trading, suggesting risk management over prediction.
problem Inadequately explored effectiveness of technical indicators in high-frequency trading, particularly at minute-level frequency.
method Evaluation of random forest models with traditional technical indicators on minute-level SPY data.
result In-sample performance is superior to out-of-sample, with risk-adjusted metrics not outperforming a simple buy-and-hold strategy.
Adversarial training improves linear regression solutions, revealing sparsity and abrupt interpolation.
problem Adversarial attacks on linear regression models.
method Formulated as a convex problem, adversarial training is used to find robust solutions that are sparse and interpolate data.
result Adversarial training with small disturbances gives the solution with the minimum-norm that interpolates the training data, revealing abrupt transition into interpolation.
Classifies solutions to critical sixth order equations with a singularity.
problem Classifying entire positive singular solutions to critical sixth order equations.
method Integral sliding methods, qualitative analysis of ODEs, topological two-parameter shooting technique.
result Solutions are given by a singular radial factor times a periodic solution to a sixth order IVP with constant coefficients.