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.
Bounds on long-term returns of leveraged ETFs are given.
The study finds no evidence of stochastic arbitrage opportunities in S&P 500 index options.
Geometrically proves majorizing measure theorem on Hadamard manifolds.
New Bailey pairs derived for tetrahedron index, linking knot invariants.
We prove existence results for Dirac-harmonic maps using index theoretical tools. They are mainly interesting if the source manifold has dimension 1 or 2 modulo 8. Our solutions are uncoupled in the sense that the underlying map between the source and target manifolds is a harmonic map.
New stock market index captures market chaos and volatility.
Proves energy quantization for surfaces with bounded index.
We define the "localized index" of longitudinal elliptic operators on Lie groupoids associated to Lie algebroid cohomology classes. We derive a topological expression for these numbers using the algebraic index theorem for Poisson manifolds on the dual of the Lie algebroid. Underlying the definition and computation of …
This paper uses machine learning to improve VIX index calculation and detect market manipulation.
Proposes first method for continuously indexed domain adaptation.
A Poincaré-Hopf theorem in the spirit of Pugh is proven for compact orbifolds with boundary. The theorem relates the index sum of a smooth vector field in generic contact with the boundary orbifold to the Euler-Satake characteristic of the orbifold and a boundary term. The boundary term is expressed as a sum of Euler c…
Introduces BCVI, a Bayesian cluster validity index for better cluster selection.
The paper explores index theory for Dirac operators to understand scalar curvature properties.
The Lichnerowicz formula yields an index theoretic obstruction to positive scalar curvature metrics on closed spin manifolds. The most general form of this obstruction is due to Rosenberg and takes values in the -theory of the group -algebra of the fundamental group of the underlying manifold. We give an overvi…
Novel pricing method for equity-indexed annuities under uncertain volatility and stochastic interest rate.
A new model uses a Levy-driven process to value credit index swaptions.
In a previous paper, we showed nonvaninishing of the universal index elements in the K-theory of the maximal C*-algebras of the fundamental groups of enlargeable spin manifolds. The underlying notion of enlargeability was the one from the first relevant paper of Gromov and Lawson, involving contracting maps defined on …
A new tontine design aims to protect longevity risk with non-indexed investments.
The intermarket analysis, in particular the lead-lag relationship, plays an important role within financial markets. Therefore a mathematical approach to be able to find interrelations between the price development of two different financial underlyings is developed in this paper. Computing the differences of the relat…
PLS-Lasso integrates dimension reduction into regression for financial index tracking.
Global balance index measures systemic risk in financial networks.
New method shows stability of Willmore immersions' Morse index and nullity.
Improved linear upper bound for ribbonlength of knots.
Develops a new index theory for odd Z/kZ K-theory.
Measures of implied volatility roughness corrected for bias.
We utilize a recently developed genetic algorithm, in conjunction with discrete wavelets, for carrying out successful forecasts of the trend in financial time series, that includes the NASDAQ composite index. Discrete wavelets isolate the local, small scale variations in these non-stationary time series, after which th…
We calculate the Lefschetz number of a Galois automorphism in the cohomology of certain arithmetic congruence groups arising from orders in quaternion algebras over number fields. As an application we give a lower bound for the first Betti number of a class of arithmetically defined hyperbolic 3-manifolds and we deduce…
We extend existing models in the financial literature by introducing a cluster-derived canonical vine (CDCV) copula model for capturing high dimensional dependence between financial time series. This model utilises a simplified market-sector vine copula framework similar to those introduced by Heinen and Valdesogo (200…
We recently showed that the S&P500 stock market index is well described by Tsallis non-extensive statistics and nonlinear Fokker-Planck time evolution. We argued that these results should be applicable to a broad range of markets and exchanges where anomalous diffusion and `heavy' tails of the distribution are present.…
Study on scalar curvature in wedge spaces with existence and obstruction results.
Using the locally compact abelian group $\BT \times \BZ$, we assign a meromorphic function to each ideal triangulation of a 3-manifold with torus boundary components. The function is invariant under all 2--3 Pachner moves, and thus is a topological invariant of the underlying manifold. If the ideal triangulation has a …
We consider (eisenberg)-type groups whose law of left translation gives rise to a bracket generating distribution of step 2. In the contrast with sub-Riemannian studies we furnish the horizontal distribution with a nondegenerate indefinite metric of arbitrary index and investigate the problem concerning causal geode…
The paper introduces a US crime index to assess financial losses from property and cyber crimes.
A RL framework for hedging equity index options with realistic costs.
We study boundary value problems for linear elliptic differential operators of order one. The underlying manifold may be noncompact, but the boundary is assumed to be compact. We require a symmetry property of the principal symbol of the operator along the boundary. This is satisfied by Dirac type operators, for instan…
The analysis which assumes that tick by tick data is linear may lead to wrong conclusions if the underlying process is multiplicative. We compare data analysis done with the return and stock differences and we study the limits within the two approaches are equivalent. Some illustrative examples concerning these two app…
Extracting market expectations has always been an important issue when making national policies and investment decisions in financial markets. In option markets, the most popular way has been to extract implied volatilities to assess the future variability of the underlying with the use of the Black and Scholes formula…
DIF extends NF with stochastic discrete latent variables for better density estimation.
A number of papers claim that a Log Periodic Power Law (LPPL) fitted to financial market bubbles that precede large market falls or 'crashes', contain parameters that are confined within certain ranges. The mechanism that has been claimed as underlying the LPPL, is based on influence percolation and a martingale condit…
Paper answers Gromov's compactness question on noncompact manifolds.
We analyse a period spanning 35 years of activity in the Sao Paulo Stock Exchange Index (IBOVESPA) and show that the Heston model with stochastic volatility is capable of explaining price fluctuations for time scales ranging from 5 minutes to 100 days with a single set of parameters. We also show that the Heston model …
Classifies complex Dirac structures with invariants and local structure.
We propose a mathematical procedure for finding informed traders in ultra-high frequency trading. We wrote it as Vector ARMA and found condition of its stationarity. For the price exposure complied with ARMA(1,2) we proved that underlying asset price difference can be derived as ARMA(1,1) process. For validation of the…
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the ana…
The goal of lifetime clustering is to develop an inductive model that maps subjects into clusters according to their underlying (unobserved) lifetime distribution. We introduce a neural-network based lifetime clustering model that can find cluster assignments by directly maximizing the divergence between the empiri…
Machine learning reveals inventory effects on VSTOXX futures pricing.
CROC identifies the earliest-changing stream as the root cause in multi-stream data.
The paper solves the skewness problem in high-dimensional basket options.