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.
The paper examines the unexpected losses and risk ratios for co-monotonic alternatives in large portfolios.
New inequality for ternary variables improves on existing measures.
We propose sparsemax, a new activation function similar to the traditional softmax, but able to output sparse probabilities. After deriving its properties, we show how its Jacobian can be efficiently computed, enabling its use in a network trained with backpropagation. Then, we propose a new smooth and convex loss func…
A new algorithm removes unexpected correlations in biased data for better clustering.
A meta-learning method learns adaptive robust loss functions for noisy labels.
Haircutting non-cash collateral has become a key element of the post-crisis reform of the shadow banking system and OTC derivatives markets. This article develops a parametric haircut model by expanding haircut definitions beyond the traditional value-at-risk measure and employing a double-exponential jump-diffusion mo…
Study finds Hilbert square of real surfaces can be maximal even when the surface has disconnected real locus.
Develops a climate risk model for asset managers.
Continuous-time event sequences represent discrete events occurring in continuous time. Such sequences arise frequently in real-life. Usually we expect the sequences to follow some regular pattern over time. However, sometimes these patterns may be interrupted by unexpected absence or occurrences of events. Identificat…
Adaptive rerouting reshapes impacts of maritime chokepoint disruptions
Paper analyzes CycleGAN solutions and symmetries.
In this paper, we present own point of view how the unexpected fluctuations of the long-term real interest rate can be explained. We describe a macroeconomic environment by the modification of the fundamental macroeconomic equilibrium model called the IS-LM model. Last but not least, we suggest a possible cooperation b…
According to the Loss Distribution Approach, the operational risk of a bank is determined as 99.9% quantile of the respective loss distribution, covering unexpected severe events. The 99.9% quantile can be considered a tail event. As supported by the Pickands-Balkema-de Haan Theorem, tail events exceeding some high thr…
The level curves of an analytic function germ almost always have bumps at unexpected points near the singularity. This profound discovery of N. A'Campo is fully explored in this paper for $f(z,w)\in \C\{z,w\}$, using the Newton-Puiseux infinitesimals and the notion of gradient canyon. Equally unexpected is the Dirac ph…
In Classical Knot Theory and in the new Theory of Quantum Invariants substantial effort was directed toward the search for unknotting moves on links. We solve, in this note, several classical problems concerning unknotting moves. Our approach uses a new concept, Burnside groups of links, which establishes unexpected re…
Paper tackles novelty detection in text classification.
We study the impact of volatility on intraday serial correlation, at time scales of less than 20 minutes, exploiting a data set with all transaction on SPX500 futures from 1993 to 2001. We show that, while realized volatility and intraday serial correlation are linked, this relation is driven by unexpected volatility o…
Through a short sale, a person borrows a share of stock from a lender, sells the borrowed share to a third person at the current price, and purchases an identical share in the market at a future date and at a future price to replace the borrowed share of stock. This only makes sense if the short seller anticipates a do…
We provide analytical pricing formula of corporate defaultable bond with both expected and unexpected default in the case with stochastic default intensity. In the case with constant short rate and exogenous default recovery using PDE method, we gave some pricing formula of the defaultable bond under the conditions tha…
New insights into neural networks reveal unexpected phase transitions.
We study the relation between serial correlation of financial returns and volatility at intraday level for the S&P500 stock index. At daily and weekly level, serial correlation and volatility are known to be negatively correlated (LeBaron effect). While confirming that the LeBaron effect holds also at intraday level, w…
We give the first example of systolic freedom over torsion coefficients. The phenomenon is a bit unexpected (contrary to a conjecture of Gromov's) and more delicate than systolic freedom over the integers.
This is the first in a series of papers where we develop new structural elements on singular area minimizing hypersurfaces, the skin structures. They disclose previously unapproachable and largely unexpected geometric and analytic properties of such hypersurfaces.
The flag curvature of the Numata Finsler structures is shown to admit a nontrivial prolongation to the one-dimensional case, revealing an unexpected link with the Schwarzian derivative of the diffeomorphisms associated with these Finsler structures.
Proposes a new model to price options considering market forces beyond Black-Scholes.
We classify groups generated by powers of 2 Dehn twists which are 1) free or 2) have no ``unexpected'' reducible elements. We give some sufficient conditions in the case of groups generated by powers of more than two twists.
In this paper, we analyzed how audio-visual speech enhancement can help to perform the ASR task in a cocktail party scenario. Therefore we considered two simple end-to-end LSTM-based models that perform single-channel audio-visual speech enhancement and phone recognition respectively. Then, we studied how the two model…
In this survey we review some results concerning negatively curved exotic strucutres (DIFF and PL) and its (unexpected) implications on the limitations of some analytic methods in geometry. This article is dedicated to the memory of Armand Borel.
Researchers prove no unexpected relations between complex manifold numbers.
This paper considers an optimal life insurance for a householder subject to mortality risk. The household receives a wage income continuously, which is terminated by unexpected (premature) loss of earning power or (planned and intended) retirement, whichever happens first. In order to hedge the risk of losing income st…
Study the geometry of torus link character varieties, finding unexpected relations.
We reparametrize ReLU NNs as splines to understand their learning dynamics.
Endowed with natural topologies, the fundamental group of the Hawaiian earring continuously injects into the inverse limit of free groups. This note shows the injection fails to have a continuous inverse. Such a phenomenon was unexpected and appears to contradict results of another author.
The only knots that are tunnel number one and genus one are those that are already known: 2-bridge knots obtained by plumbing together two unknotted annuli and the satellite examples classified by Eudave-Munoz and by Morimoto-Sakuma. This confirms a conjecture first made by Goda and Teragaito.
We present a clear-cut example of the importance of the functorial approach of gauge-natural bundles and the general theory of Lie derivatives for classical field theory, where the sole correct geometrical formulation of Einstein (-Cartan) gravity coupled with Dirac fields gives rise to an unexpected indeterminacy in t…
Bayesian EnKF improves sentence comprehension uncertainty modeling.
Paper shows fairness and domain adaptation can work together.
We study open book foliations on surfaces in 3-manifolds, and give applications to contact geometry of dimension 3. We prove a braid-theoretic formula of the self-linking number of transverse links, which reveals an unexpected link to the Johnson-Morita homomorphism in mapping class group theory. We also give an altern…
Improved training boosts certified robustness of L-infinity distance nets.
This paper provides sufficient conditions for the time of bankruptcy (of a company or a state) for being a totally inaccessible stopping time and provides the explicit computation of its compensator in a framework where the flow of market information on the default is modelled explicitly with a Brownian bridge between …
This paper generalize [7](math.GT/0601291): We construct new links invariants from g, a type I basic classical Lie superalgebra. The construction uses the existence of an unexpected replacement of the vanishing quantum dimension of typical module. Using this, we get a multivariable link invariant associated to any one …
The autoregressive (AR) model is a widely used model to understand time series data. Traditionally, the innovation noise of the AR is modeled as Gaussian. However, many time series applications, for example, financial time series data, are non-Gaussian, therefore, the AR model with more general heavy-tailed innovations…
We present a new blow-up method that allows for establishing the first general formula to compute the perimeter measure with respect to the spherical Hausdorff measure in noncommutative nilpotent groups. This result leads us to an unexpected relationship between the area formula with respect to a distance and the profi…
Poisson plane and sphere --- homogeneous spaces of Poisson groups E(2) and SU(2) (resp.) --- have phase spaces (corresponding symplectic groupoids), in which a free Hamiltonian is naturally defined. We solve the equations of motion and point out some unexpected features: free motion on the plane is bounded (periodic) a…
Ensembles improve classifier performance by reducing bias, not variance.
Recently, a number of statistical problems have found an unexpected solution by inspecting them through a "modal point of view". These include classical tasks such as clustering or regression. This has led to a renewed interest in estimation and inference for the mode. This paper offers an extensive survey of the tradi…
We explore a somewhat unexpected connection between knot Floer homology and shellable posets, via grid diagrams. Given a grid presentation of a knot K inside S^3, we define a poset which has an associated chain complex whose homology is the knot Floer homology of K. We then prove that the closed intervals of this poset…
A simple model explains deep learning phenomena like grokking and gradient boosting.