arXiv research

Study classifies super vector bundles and proves universality.

The Akbulut cork cannot transform all exotic 4-manifolds.

These notes were originally written for the Stochastic Analysis Seminar in the Department of Operations Research and Financial Engineering at Princeton University, in February of 2011. The seminar was attended and supported by members of the Research Training Group, with the author being partially supported by NSF gran…

GNP models predictive correlations and outperforms NPs.

We present an analysis of the price impact associated with trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the time-dependent market response to trades by ind…

New method for reducing dimensions of distributional data.

The study categorizes Korean Exchange member firms into three types and analyzes their trading behavior.

UK universities pension scheme valuation study shows high dependence on gilt yields.

We propose a model for the credit and liquidity risks faced by clearing members of Central Counterparty Clearing houses (CCPs). This model aims to capture the features of: gap risk; feedback between clearing member default, market volatility and margining requirements; the different risks faced by various types of mark…

The z-transform technique is used to investigate the model for distribution of high-tax payers, which is proposed by two of the authors (K. Y and S. M) and others. Our analysis shows an asymptotic power-law of this model with the exponent -5/2 when a total ``mass'' has a certain critical value. Below the critical value…

A clearing member of a Central Counterparty (CCP) is exposed to losses on their default fund and initial margin contributions. Such losses can be incurred whenever the CCP has insufficient funds to unwind the portfolio of a defaulting clearing member. This does not necessarily require the default of the CCP itself. In …

The accuracy and complexity of kernel learning algorithms is determined by the set of kernels over which it is able to optimize. An ideal set of kernels should: admit a linear parameterization (tractability); be dense in the set of all kernels (accuracy); and every member should be universal so that the hypothesis spac…

Belief networks are a new, potentially important, class of knowledge-based models. ARCO1, currently under development at the Atlantic Richfield Company (ARCO) and the University of Southern California (USC), is the most advanced reported implementation of these models in a financial forecasting setting. ARCO1's underly…

Various types of structures that enable a group of individuals to pool their mortality risk have been proposed in the literature. Collectively, the structures are called pooled annuity funds. Since the pooled annuity funds propose different methods of pooling mortality risk, we investigate the connections between them …

Study finds corporate boards with women appoint more women, leading to better profitability.

We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants which are non-members. We find that (i) the volume distribution of off-book tran…

Study optimizes pension scheme risk-sharing for longevity bonds.

Organic updates (from a member's network) and sponsored updates (or ads, from advertisers) together form the newsfeed on LinkedIn. The newsfeed, the default homepage for members, attracts them to engage, brings them value and helps LinkedIn grow. Engagement and Revenue on feed are two critical, yet often conflicting ob…

We introduce the $k$-stellated spheres and consider the class ${\cal W}_k(d)$ of triangulated $d$-manifolds all whose vertex links are $k$-stellated, and its subclass ${\cal W}^{\ast}_k(d)$ consisting of the $(k+1)$-neighbourly members of ${\cal W}_k(d)$. We introduce the mu-vector of any simplicial complex and show th…

This paper analyzes correlations in patterns of trading of different members of the London Stock Exchange. The collection of strategies associated with a member institution is defined by the sequence of signs of net volume traded by that institution in hour intervals. Using several methods we show that there are signif…

Study on pooled annuity funds and how initial savings affect income stability.

A risk of small defined-benefit pension schemes is that there are too few members to eliminate idiosyncratic mortality risk, that is there are too few members to effectively pool mortality risk. This means that when there are few members in the scheme, there is an increased risk of the liability value deviating signifi…

Constructs non-abelian G2-instantons on ALC members of B7 family.

A mathematical analysis of the distribution of voting power in the Council of the European Union operating according to the Treaty of Lisbon is presented. We study the effects of Brexit on the voting power of the remaining members, measured by the Penrose--Banzhaf Index. We note that the effects in question are non-mon…

The paper solves a geometric problem related to K3 surfaces and complex-hyperkähler metrics.

A new portfolio model DEWSP improves Sharpe ratio by 0.24% to 5.15%.

Study improves pension scheme efficiency in Kenya through governance and risk management.

We study a family of 3-dimensional Lorentz manifolds. Some members of the family are 0-curvature homogeneous, 1-affine curvature homogeneous, but not 1-curvature homogeneous. Some are 1-curvature homogeneous but not 2-curvature homogeneous. All are 0-modeled on indecomposible local symmetric spaces. Some of the members…

Bayesian system helps identify and thwart terrorist plans.

Discriminatory trade liberalization policies are becoming more popular among world economies. Countries are motivated to enter for regional trade agreements to capture faster economic growth for alleviating poverty. In developing economies like most of the member countries of the Association of South East Asian Nations…

Given two families of continuous functions $u$ and $v$ on a topological space $X$, we define a preorder $R=R(u,v)$ on $X$ by the condition that any member of $u$ is an $R$-increasing and any member of $v$ is an $R$-decreasing function. It turns out that if the topological space $X$ is quasi-compact and sequentially com…

This paper examines how to calibrate ensemble members for better prediction accuracy.

Study mutual insurance market dynamics using mean field games.

We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochastic interest rate, composed of a risk-free asset, a real zero coupon bond price, the inflation-linked bond and the risky asset. A plan member…

We study the effects of non-systematic and systematic mortality risks on the required initial capital in a pension plan, in the presence of financial risks. We discover that for a pension plan with few members the impact of pooling on the required capital per person is strong, but non-systematic risk diminishes rapidly…

New framework evaluates MIA without retraining, addressing biases.

In this note, we investigate pluri-half-anticanonical systems on the so called LeBrun twistor spaces. We determine its dimension, the base locus, structure of the associated rational map, and also structure of general members, in precise form. In particular, we show that if n>2 and m>1, the base locus of the system |mK…

Fleet control method improves sample efficiency in IoT environments.

Repulsive deep ensembles improve diversity and Bayesian inference.

CNN improves medium-range temperature forecasts with limited resources.

Human analysts that use anomaly detection systems in practice want to retain the use of simple and explainable global anomaly detectors. In this paper, we propose a novel human-in-the-loop learning algorithm called GLAD (GLocalized Anomaly Detection) that supports global anomaly detectors. GLAD automatically learns the…

This study examines cores within superclusters, highlighting their transitional nature and dynamical state.

The manipulation of LIBOR by a group of banks became one of the major blows to the remaining confidence in financial industry. Yet, despite an enormous amount of popular literature on the subject, rigorous time-series studies are few. In my paper, I discuss the following hypothesis. Namely, if we should assume for a st…

Unified model for network risks, including bilateral and central clearing, with practical applications.

Distributed learning across a coalition of organizations allows the members of the coalition to train and share a model without sharing the data used to optimize this model. In this paper, we propose new secure architectures that guarantee preservation of data privacy, trustworthy sequence of iterative learning and equ…

New digital currency aims for equal wealth distribution.

Analyzes how many people can receive stable income in a pooled annuity fund.

Develops a measure for checking cluster quality using multinomial distribution.