arXiv research

Enhances financial time series forecasting with a multi-period learning framework.

Paper introduces dynamic strategies for multi-period investment models.

Periodicity detection is a crucial step in time series tasks, including monitoring and forecasting of metrics in many areas, such as IoT applications and self-driving database management system. In many of these applications, multiple periodic components exist and are often interlaced with each other. Such dynamic and …

In the era of big data, practical applications in various domains continually generate large-scale time-series data. Among them, some data show significant or potential periodicity characteristics, such as meteorological and financial data. It is critical to efficiently identify the potential periodic patterns from mas…

DEPTS learns to forecast periodic time series with improved accuracy.

Proposes a method to prove closing of periodic orbits in dynamical systems.

Analyzed Bitcoin market index volatility changes over two distinct periods using anomalous diffusion and multifractal analysis.

We construct 1-parameter families of non-periodic embedded minimal surfaces of infinite genus in $T \times \mathbb{R}$, where $T$ denotes a flat 2-tori. Each of our families converges to a foliation of $T \times \mathbb{R}$ by $T$. These surfaces then lift to minimal surfaces in $\mathbb{R}^3$ that are periodic in hori…

We calculate eigenvector overlaps between intersecting time periods of covariance matrices.

The relation between time series irreversibility and entropy production has been recently investigated in thermodynamic systems operating away from equilibrium. In this work we explore this concept in the context of financial time series. We make use of visibility algorithms to quantify in graph-theoretical terms time …

Model for multi-period carbon market pricing with allowances.

No time-periodic Majorana fermions found in Kerr-Newman spacetimes with nontrivial charge.

Study dynamic Pareto-optimal allocations in multi-period economies with time-consistent risk measures.

Study optimal periodic dividend strategies for risky businesses with transaction costs.

Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability periods and multi-affinity of the time series. It is shown that this technically simple method is capable of reveling more details about time-seri…

The paper tackles non-stationary MAB with periodic rewards.

Study on investment strategy for agents with periodic preferences and discounting.

We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by using 49 industry index time series computed by K. French and E. Fama during the tim…

In this letter, we propose a method for period estimation in light curves from periodic variable stars using correntropy. Light curves are astronomical time series of stellar brightness over time, and are characterized as being noisy and unevenly sampled. We propose to use slotted time lags in order to estimate corrent…

Generative model captures repetitive industrial processes with varying durations and dynamics.

Continuous curves inscribe isosceles trapezoids in complex plane.

Pharmaceutical targeting is one of key inputs for making sales and marketing strategy planning. Targeting list is built on predicting physician's sales potential of certain type of patient. In this paper, we present a time-sensitive targeting framework leveraging time series model to predict patient's disease and treat…

An $n$-dimensional manifold $M$ is said to be rationally $4$-periodic if there is an element $e\in H^4(M;\mathbb{Q})$ with the property that cupping with $e$, $\cdot \cup e:H^\ast(M;\mathbb{Q})\rightarrow H^{\ast + 4}(M;\mathbb{Q})$ is injective for $0< \ast \leq \dim M-4$ and surjective when $0\leq \ast < \dim M-4$. W…

In retail, there are predictable yet dramatic time-dependent patterns in customer behavior, such as periodic changes in the number of visitors, or increases in customers just before major holidays. The current paradigm of multi-armed bandit analysis does not take these known patterns into account. This means that for a…

We consider the optimal trade execution strategies for a large portfolio of single stocks proposed by Almgren (2003). This framework accounts for a nonlinear impact of trades on average market prices. The results of Almgren (2003) are based on the assumption that no shares of assets per unit of time are trade at the be…

This thesis examines the accuracy of scaling VaR estimates for longer holding periods.

Let M be a weakly monotone symplectic manifold, and H be a time-dependent Hamiltonian; we assume that the periodic orbits of the corresponding time-dependent Hamiltonian vector field are non-degenerate. We construct a refined version of the Floer chain complex associated to these data and any regular covering of M, and…

Recent theoretical results establish that time-consistent valuations (i.e. pricing operators) can be created by backward iteration of one-period valuations. In this paper we investigate the continuous-time limits of well-known actuarial premium principles when such backward iteration procedures are applied. We show tha…

We construct periodic monopoles (with singularities), i.e. monopoles on $\mathbb{R}^{2} \times \mathbb{S}^{1}$ possibly singular at a finite collection of points, by gluing methods.

The paper uses persistent homology to estimate recurrence times in multi-variate time series.

In this article we consider the motion of relativistic strings in the Minkowski space $\textbf{R}^{1+n}$. Those surfaces are known as a timelike minimal surface, and described by a system with $n$ nonlinear wave equations of Born-Infeld type. By constructing a suitable Nash-Moser iteration scheme, we prove that the $n$…

In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under weak conditions on the asset returns. No assumption on the correlation structure between different time points is needed a…

Recently, there have been several progresses for the conjugacy search problem (CSP) in Garside groups, especially in braid groups. All known algorithms for solving this problem use a sort of exhaustive search in a particular finite set such as the super summit set and the ultra summit set. Their complexities are propor…

The paper tackles auction market design flaws by randomizing closing times and optimizing transaction fees.

Optimizes multi-period portfolios with tail-risk constraints using neural networks.

The aim of this paper is to compare statistical properties of a bubble period with those of the anti-bubble period in stock markets. We investigate the statistical properties of daily data for the Nikkei 225 index in the 28-year period from January 1975 to April 2003, corresponded to the periods of bubbles and anti-bub…

MPPN network improves long-term time series forecasting accuracy.

The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the Nikkei 225 index (Nikkei 225) from January 4, 1975 to August 18, 2004, of (ii…

We give a combinatorial characterization of generic minimal rigidity for planar periodic frameworks. The characterization is a true analogue of the Maxwell-Laman Theorem from rigidity theory: it is stated in terms of a finite combinatorial object and the conditions are checkable by polynomial time combinatorial algorit…

New model optimizes portfolios over multiple periods using predictive control.

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…

We introduce a new class of forward performance processes that are endogenous and predictable with regards to an underlying market information set and, furthermore, are updated at discrete times. We analyze in detail a binomial model whose parameters are random and updated dynamically as the market evolves. We show tha…

We study the multi-scale temporal correlations and causality connections between the New York Stock Exchange (NYSE) and Bombay Stock Exchange (BSE) monthly average closing price indexes for a period of 300 months, encompassing the time period of the liberalisation of the Indian economy and its gradual global exposure. …

In this paper, we revisit the optimal periodic dividend problem, in which dividend payments can only be made at the jump times of an independent Poisson process. In the dual (spectrally positive Lévy) model, recent results have shown the optimality of a periodic barrier strategy, which pays dividends at Poissonian divi…

We use algebraic Backlund transformations (BTs) to construct explicit solutions of the modified 2+1 chiral model from $T^2\times R$ to SU(n), where $T^2$ is a 2-torus. Algebraic BTs are parameterized by $z\in C$ (poles) and holomorphic maps $π$ from $T^2$ to Gr$(k,C^n)$. We apply Bäcklund transformations with carefully…

Extends tracking guarantees for time-varying variational inequalities.

Using data from world stock exchange indices prior to and during periods of global financial crises, clusters and networks of indices are built for different thresholds and diverse periods of time, so that it is then possible to analyze how clusters are formed according to correlations among indices and how they evolve…

Paper introduces Floer theory for field theories, proving periodic solutions for particle-field systems.