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.
Critical volatility triggers log-normal to power-law transitions in interconnected systems.
We study the relaxation dynamics of a financial market just after the occurrence of a crash by investigating the number of times the absolute value of an index return is exceeding a given threshold value. We show that the empirical observation of a power law evolution of the number of events exceeding the selected thre…
We investigate the waiting-time distribution of the absolute return in the Korean stock-market index KOSPI. We define the waiting time as a time interval during which the normalized absolute return remains continuously below a threshold . Through an exponential bin plot, we observe that the waiting-time distributi…
The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with previous relevant work, we have defined main financial shocks based on large volatilities rather than large crashes. We find th…
In this paper, we describe a newly discovered statistical property of time series data for daily price changes. We conducted quantitative investigation of the {\it calm-time intervals} of price changes for 800 companies listed in the Tokyo Stock Exchange, and for the Nikkei 225 index over a 27-year period from January …
A hierarchical model shows how scaling laws emerge from sequential feature recovery.
We introduce a deterministic dealer model which implements most of the empirical laws, such as fat tails in the price change distributions, long term memory of volatility and non-Poissonian intervals. We also clarify the causality between microscopic dealers' dynamics and macroscopic market's empirical laws.
Finite-time queue peaks in stochastic networks have logarithmic scaling after geometric thresholds.
We consider the effects of the global financial crisis through a local Korean financial market around the 2008 crisis. We analyze 185 individual stock prices belonging to the KOSPI (Korea Composite Stock Price Index), cosidering three time periods: the time before, during, and after the crisis. The complex networks gen…
The so-called Pareto-Levy or power-law distribution has been successfully used as a model to describe probabilities associated to extreme variations of worldwide stock markets indexes data and it has the form from empirical d…
Unified analysis of parameter norms in overparameterized linear models, revealing scaling laws and thresholds.
Study examines financial market structure changes during the COVID-19 crash using a novel MI approach.
We investigate the probability distributions of the recurrence intervals between consecutive 1-min returns above a positive threshold or below a negative threshold of two indices and 20 individual stocks in China's stock market. The distributions of recurrence intervals for positive and negative thresho…
One unexamined assumption in foreign ownership regulation is the notion that majority voting rights translate to 'effective control'. This assumption is so deeply entrenched in foreign investments law that possession of majority voting rights can determine the nationality of a corporation and its capacity to engage in …
The paper improves conformal prediction by analyzing the beta law of conditional coverage.
Trimming helps in conformal prediction when it separates anomaly scores.
We introduce a new statistical tool (the TP-statistic and TE-statistic) designed specifically to compare the behavior of the sample tail of distributions with power-law and exponential tails as a function of the lower threshold u. One important property of these statistics is that they converge to zero for power laws o…
Every production-recycling iteration accumulates an inevitable proportion of its matter-energy in the environment, lest the production process itself would be a system in perpetual motion, violating the second law of Thermodynamics. Such high-entropy matter depletes finite stocks of ecosystem services provided by the e…
We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a minimal self-organized model of cascade spreading based on a probabilistic response of the system elements to stress conditions. This model …
This paper presents a methodology for selecting the mini-batch size that minimizes Stochastic Gradient Descent (SGD) learning time for single and multiple learner problems. By decoupling algorithmic analysis issues from hardware and software implementation details, we reveal a robust empirical inverse law between mini-…
We discuss the statistical properties of index returns in a financial market just after a major market crash. The observed non-stationary behavior of index returns is characterized in terms of the exceedances over a given threshold. This characterization is analogous to the Omori law originally observed in geophysics. …
The z-transform technique is used to investigate the model for distribution of high-tax payers, which is proposed by two of the authors (K. Y and S. M) and others. Our analysis shows an asymptotic power-law of this model with the exponent -5/2 when a total ``mass'' has a certain critical value. Below the critical value…
This paper describes the black hole threshold in a moduli space of spherically symmetric spacetimes.
A class of heterogeneous agent models is investigated where investors switch trading position whenever their motivation to do so exceeds some critical threshold. These motivations can be psychological in nature or reflect behaviour suggested by the efficient market hypothesis (EMH). By introducing different propensitie…
The personal income distribution (PID) above the Pareto threshold is studied and modeled. A microeconomic model is proposed to simulate the PID and its evolution below and above the Pareto income threshold. The model balances processes of income production and dissipation for any person above 15 years of age. The model…
Model shows loss curve with two distinct exponents due to sparse activations.
The study reveals the spectral structure of attention layers and its implications for generalization.
High-dimensional models become unstable when sample size falls below a critical level, leading to a phase transition.
We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatility V(T_{c}) has a peak that exceeds a predetermined threshold. The cascade of high volatility "aftershocks" triggered by the "main shock" is …
Exact simulation of correlated binary outcomes using PMF constraints and linear programming.
Herein, we applied statistical physics to study incomes of three (low-, medium- and high-income) society classes instead of the two (low- and medium-income)classes studied so far. In the frame of the threshold nonlinear Langevin dynamics and its threshold Fokker-Planck counterpart, we derived a unified formula for desc…
Sharp large deviations and Gibbs conditioning for portfolio credit risk models.
We analyze the memory in volatility by studying volatility return intervals, defined as the time between two consecutive fluctuations larger than a given threshold, in time periods following stock market crashes. Such an aftercrash period is characterized by the Omori law, which describes the decay in the rate of after…
Muon spectral optimizer outperforms SGD in associative memory tasks.
Sandpile Economics explains how economies can be prone to large crises from small shocks.
Securely analyzes survival data across multiple institutions without revealing individual patient records.
QAOA matches classical tensor power iteration in spiked tensor model recovery.
A new algorithm of the analysis of correlation among economy time series is proposed. The algorithm is based on the power law classification scheme (PLCS) followed by the analysis of the network on the percolation threshold (NPT). The algorithm was applied to the analysis of correlations among GDP per capita time serie…
Random neural networks with ReLU activations are non-Gaussian processes.
The support recovery problem consists of determining a sparse subset of a set of variables that is relevant in generating a set of observations, and arises in a diverse range of settings such as compressive sensing, and subset selection in regression, and group testing. In this paper, we take a unified approach to supp…
New method resolves causal heterogeneity by defining a resolution profile.
It has always been a great challenge for clustering algorithms to automatically determine the cluster numbers according to the distribution of datasets. Several approaches have been proposed to address this issue, including the recent promising work which incorporate Bayesian Nonparametrics into the -means clusterin…
Linear models can be poisoned by shifting a fraction of one class's data, revealing scaling laws and weight alignment.
This paper analyzes quantiles of heavy-tailed distributions, separating projection direction and quantile threshold effects.
We propose a new algorithmic framework for sequential hypothesis testing with i.i.d. data, which includes A/B testing, nonparametric two-sample testing, and independence testing as special cases. It is novel in several ways: (a) it takes linear time and constant space to compute on the fly, (b) it has the same power gu…
Paper derives new option pricing formulas and approximations for a local volatility model with discontinuity.
This paper considers magnitude, asymptotics and duration of drawdowns for some Lévy processes. First, we revisit some existing results on the magnitude of drawdowns for spectrally negative Lévy processes using an approximation approach. For any spectrally negative Lévy process whose scale functions are well-behaved at …
A new method clusters intersecting lines using hypergraphs.