Study on time-zero efficiency of European power derivatives markets using statistical tests and trading rules.
problem Assessing time-zero efficiency in European power derivatives markets.
method Statistical tests based on the law of one price and trading rules based on price differentials and no-arbitrage violations applied to daily data of three European power markets.
result Definite conclusions on time-zero efficiency are not possible for French and Spanish markets due to liquidity and representativeness challenges.
An investor is estimating net present value of a firm project and performs risk analysis. Usually it is created portfolio hierarchies and make comparison of variants of project based on these hierarchies. Then one finds that portfolio which corresponds to the particular needs of individual groups within the firm. We ha…
This paper studies the problem of maximizing expected utility from terminal wealth combining a static position in derivative securities, which we assume can be traded only at time zero, with a traditional dynamic trading strategy in stocks. We work in the framework of a general semi-martingale model and consider a util…
On a 4-dimensional compact symplectic manifold, we consider a smooth family of compatible almost-complex structures such that at time zero the induced metric is Hermite-Einstein almost-Kähler metric with zero or negative Hermitian scalar curvature. We prove, under certain hypothesis, the existence of a smooth family of…
We introduce a bond portfolio management theory based on foundations similar to those of stock portfolio management. A general continuous-time zero-coupon market is considered. The problem of optimal portfolios of zero-coupon bonds is solved for general utility functions, under a condition of no-arbitrage in the zero-c…
We construct an expanding gradient Ricci soliton in dimension three over the topological manifold R x T^2 (the product of a line and a torus) that aproaches asymptotically a constant curvature cusp at one end, and a flat manifold on the other end. We prove that this is the only gradient soliton with this topology, prov…
Given a path of almost-Kähler metrics compatible with a fixed symplectic form on a compact 4-manifold such that at time zero the almost-Kähler metric is an extremal Kähler one, we prove, for a short time and under a certain hypothesis, the existence of a smooth family of extremal almost-Kähler metrics compatible with t…
Study on when smooth Ricci flow remains smooth at the start.
problem When does a smooth Ricci flow remain smooth down to the initial time?
method Curvature estimates and lower Ricci bounds in three dimensions.
result Positive results for flows with lower curvature bounds, negative for others.
We study the problem of inviscid slightly compressible fluids in a bounded domain. We find a unique solution to the initial-boundary value problem and show that it is near the analogous solution for an incompressible fluid provided the initial conditions for the two problems are close. In particular, the divergence of …
This paper studies the problem of maximizing expected utility from terminal wealth in a semi-static market composed of derivative securities, which we assume can be traded only at time zero, and of stocks, which can be traded continuously in time and are modeled as locally-bounded semi-martingales. Using a general util…
We consider smooth complete solutions to Ricci flow with bounded curvature on manifolds without boundary in dimension three. Assuming an open ball at time zero of radius one has curvature bounded from below by -1, then we prove estimates which show that compactly contained subregions of this ball will be smoothed out b…
The paper studies how certain currents can induce metric structures from Kähler-Ricci flows.
problem Understanding metric structures induced by currents from Kähler-Ricci flows.
method Analyzes sufficient conditions for a closed, positive (1,1)-current to induce a metric structure from Kähler-Ricci flows.
result Shows that certain currents can induce metric structures from Kähler-Ricci flows, including Alexandrov surfaces.
The electronic health record (EHR) provides an unprecedented opportunity to build actionable tools to support physicians at the point of care. In this paper, we investigate survival analysis in the context of EHR data. We introduce deep survival analysis, a hierarchical generative approach to survival analysis. It depa…
We study the relationship between the geometry and the Laplace spectrum of a Riemannian orbifold O via its heat kernel; as in the manifold case, the time-zero asymptotic expansion of the heat kernel furnishes geometric information about O. In the case of a good Riemannian orbifold (i.e., an orbifold arising as the orbi…
Pricing Chinese convertible bonds using Monte Carlo simulation and dynamic programming.
problem Pricing Chinese convertible bonds accurately.
method Monte Carlo simulation and dynamic programming with regression and backward induction.
result An underpriced strategy significantly outperforms benchmarks.
We introduce a new notion of conditional nonlinear expectation under probability distortion. Such a distorted nonlinear expectation is not sub-additive in general, so it is beyond the scope of Peng's framework of nonlinear expectations. A more fundamental problem when extending the distorted expectation to a dynamic se…
Many problems in image processing and computer vision (e.g. colorization, style transfer) can be posed as 'manipulating' an input image into a corresponding output image given a user-specified guiding signal. A holy-grail solution towards generic image manipulation should be able to efficiently alter an input image wit…
ARL makes market makers resilient to adversarial conditions.
problem Creating resilient market makers against adversarial attacks.
method Transformed single-agent RL into a zero-sum game between market maker and adversary.
result ARL leads to risk-averse behavior and significant performance improvements.
We present a simple dynamical model of stock index returns which is grounded on the ability of the Cyclically Adjusted Price Earning (CAPE) valuation ratio devised by Robert Shiller to predict long-horizon performances of the market. More precisely, we discuss a discrete time dynamics in which the return growth depends…
New discretization scheme for Wasserstein gradient flows using Schrödinger bridges.
problem Computing Wasserstein gradient flows efficiently and without score functions.
method Iterated Schrödinger bridge approximation with particle-based Sinkhorn algorithm.
result The scheme converges to Wasserstein gradient flows for certain flows, including heat flow.
Introduces b-Lie groups and studies their symplectic structures and reductions.
problem Developing a theoretical framework for space-time transformations.
method Introduces b-Lie groups and studies their canonical b-symplectic structures and reductions. result Poisson reduction under cotangent lifted action of H can be described using Lie algebra structures. Study dynamic equilibrium with insider and general uninformed agent preferences.
problem Analyzing asymmetric information and general utility functions in a continuous-time economy.
method Introducing a new method to prove existence of a partial communication equilibrium (PCE) for agents with general utility functions.
result Identify the equilibrium price in the small and large risk aversion limits for agents with power utility.
This paper studies the payoff amounts in simple interest loans without arbitrage.
problem Understanding the payoff amounts in simple interest loans without arbitrage.
method Developed a formula for the payoff amount for simple interest loans, studied within a model of a loan market.
result The sequence of payoff amounts is increasing before a certain critical time and then decreasing.
We design three continuous--time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk--neutral producer and a representative risk--neutral trader. Depending on the model, the producer can control the drift and/or the volatility of the price whereas the tr…
Optimal liquidation strategy reduces risk and improves performance.
problem Risk-averse trader liquidating assets in volatile markets.
method Conditional Value-at-Risk (CVaR) objective, dynamic trading strategies, closed-form solutions.
result Dynamic policies outperform static and VWAP policies by 15-25%.
Efficient triangulations help in understanding 3-manifold boundaries.
problem Understanding boundary slopes in 3-manifolds.
method Introducing and studying boundary-efficient triangulations and inflating ideal triangulations.
result There are only finitely many boundary slopes for incompressible and \(\partial\)-incompressible surfaces in compact 3-manifolds.
Woodbury transformations improve deep generative models with efficient invertibility and determinant calculation.
problem Efficiently invertible and determinant-calculable functions for deep generative models.
method Introducing Woodbury transformations that leverage matrix identities for efficient invertibility and determinant calculation.
result Woodbury transformations enable high-dimensional interactions, efficient sampling, and likelihood evaluation, outperforming other flow architectures.
Study shows stock market efficiency varies over time and can be networked.
problem Understanding the dynamic and collective aspects of stock market efficiency.
method Defined and calculated time-varying efficiency using permutation entropy of log-returns.
result Major world stock markets can be hierarchically classified into groups with similar efficiency profiles, but these rankings are unstable.
Optimal design portfolios improve energy efficiency and reduce risk in uncertain reservoirs.
problem Uncertain reservoir conditions lead to unstable gas recovery and low resource efficiency.
method Developed optimal portfolios of well designs based on reservoir conditions and probabilities.
result Remarkable reduction in variation and substantial increase in energy efficiency achieved.
We introduce a new measure for the capital market efficiency. The measure takes into consideration the correlation structure of the returns (long-term and short-term memory) and local herding behavior (fractal dimension). The efficiency measure is taken as a distance from an ideal efficient market situation. Methodolog…
Since the 1960s, the question whether markets are efficient or not is controversially discussed. One reason for the difficulty to overcome the controversy is the lack of a universal, but also precise, quantitative definition of efficiency that is able to graduate between different states of efficiency. The main purpose…
Paper proposes efficient optimizers for large language models with fast convergence and low memory usage.
problem Designing efficient optimizers for large language models with low-memory requirements and fast convergence.
method Structured Fisher information matrix approximation and low-rank extension framework.
result New optimizers (RACS and Alice) achieve better convergence and lower memory usage than existing methods.
Neural network approximates weakly efficient frontier of convex vector optimization problems.
problem Approximating the weakly efficient frontier of convex vector optimization problems.
method Designing a neural network architecture to approximate the weakly efficient frontier of convex vector optimization problems (CVOP) satisfying Slater's condition.
result The proposed algorithm effectively approximates the true weakly efficient frontier of CVOPs, even for large problems.
AI methods are energy-intensive, but efficiency alone isn't enough for sustainability.
problem AI methods are energy-intensive and contribute to climate change.
method Critically examines the limitations of efficiency in improving environmental sustainability of AI.
result Efficiency alone is insufficient to address the environmental impacts of AI.
The efficient market hypothesis has far-reaching implications for financial trading and market stability. Whether or not cryptocurrencies are informationally efficient has therefore been the subject of intense recent investigation. Here, we use permutation entropy and statistical complexity over sliding time-windows of…
Efficient inference for adaptive data with directional stability condition.
problem Efficient inference on scalar targets after adaptive data collection.
method Introduces directional stability, a weaker condition than i.i.d. data, and shows asymptotic normality and efficiency of estimators.
result Estimators remain asymptotically normal and semiparametrically efficient under directional stability.
Study efficient learning of robust halfspaces with noise.
problem Learning robust halfspaces in the presence of adversarial perturbations and random label noise.
method Provides conditions for robust learnability and a simple algorithm for any ℓ_p perturbation.
result Simple computationally efficient algorithm for robust learning with random label noise.
Study tests financial market efficiency using random number generator tests.
problem Check for informational efficiencies in financial markets.
method Analysed binary daily returns as random number generators, split analysis by annual and company levels, investigated longer-term efficiency over Nasdaq-listed companies.
result Information efficiency varies across years and reflects large-scale market impacts.
Study shows how market efficiency changes during the pandemic.
problem Understanding market efficiency during the pandemic.
method Applied time-varying vector autoregression model.
result Market efficiency changes over time and can be improved by enhanced linkages.
Super efficient geodesics have a unique vertex in the complex of curves.
problem Finding the unique vertex in the complex of curves for efficient geodesics.
method Intersection growth inequality and analysis of dot graph.
result Super efficient geodesics have a unique vertex in the complex of curves, independent of distance.
We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvrda (2013), Physica A 392]. This way, we are able to comment on stock market efficiency after controlling for different types of inefficiencies. Applying the methodology on 38 stock marke…
Muon optimizes training efficiency by improving data retention at large batch sizes.
problem Improving training efficiency and data retention at large batch sizes.
method Introducing Muon, a second-order optimizer, and combining it with muP for efficient hyperparameter transfer.
result Muon outperforms AdamW in retaining data efficiency at large batch sizes, enabling more economical training.
Three new efficient algorithms project vectors onto weighted l1 ball.
problem Sparse system identification and feature selection.
method Projected gradient descent algorithms with linear or highly competitive quadratic worst case complexities.
result Efficient tools for machine learning methods like compress sensing and feature selection.
Paper establishes lower bounds and optimal algorithms for deployment-efficient RL.
problem Deployment efficiency in reinforcement learning.
method Optimization with constraints, lower bounds, algorithms.
result Established optimal algorithms for deployment-efficient RL.
Large language models can't efficiently reason conditionally in a distribution-free setting.
problem Impossibility of conditional PAC-efficient reasoning in large language models.
method Proof of impossibility in a distribution-free setting for non-atomic input spaces.
result Any algorithm achieving conditional PAC efficiency must defer to the expert model with high probability.
The paper extends cost-efficiency analysis to incomplete markets.
problem Cost-efficiency in incomplete financial markets.
method Extends results from complete markets to incomplete markets, introduces new preferences.
result Optimal portfolios in non-decreasing preferences are perfectly cost-efficient.
We study the relationship between the notions of differentially private learning and online learning in games. Several recent works have shown that differentially private learning implies online learning, but an open problem of Neel, Roth, and Wu \cite{NeelAaronRoth2018} asks whether this implication is {\it efficient}…
Study improves pension scheme efficiency in Kenya through governance and risk management.
problem Limited research on efficiency of Kenyan pension schemes under governance structures.
method Quantitative panel regression analysis on 128 Kenyan pension schemes over 7 years.
result Employee board members have a significant positive effect on pension scheme efficiency.