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 links cognitive effort to thermodynamic principles, optimizing decision-making.
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 …
A new method detects hidden driving forces in systems with multiple observables.
We study velocity correlations induced by diffusion and dissipation in a simple dissipative dynamical system. We observe that diffusion, as a result of time reversible microscopic processes, leads to correlations with different spatial parity from those caused by dissipation, consisting of time irreversible microscopic…
Study measures irreversibility in crypto trends using Kullback-Leibler divergence.
In modern portfolio theory, the balancing of expected returns on investments against uncertainties in those returns is aided by the use of utility functions. The Kelly criterion offers another approach, rooted in information theory, that always implies logarithmic utility. The two approaches seem incompatible, too loos…
Novel geometry-informed irreversible perturbation accelerates Langevin dynamics convergence.
This study aimed to find temporal clusters for several commodity prices using the threshold non-linear autoregressive model. It is expected that the process of determining the commodity groups that are time-dependent will advance the current knowledge about the dynamics of co-moving and coherent prices, and can serve a…
We propose a novel method to forecast the future from the present using time-reversed data.