We take a look the changes of different asset prices over variable periods, using both traditional and spectral methods, and discover universality phenomena which hold (in some cases) across asset classes.
On-device research index
arXiv research
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.
168,742 papers · 148 categories
Trend · papers per month
48 results for “universal phenomena”
The paper explains emergent phenomena in deep learning using entropic forces.
problem Understanding the cause of emergent phenomena in deep learning and large language models.
method Proposes a rigorous entropic-force theory for neural networks trained with SGD and variants.
result Shows that representation learning is governed by emergent entropic forces that break continuous symmetries and preserve discrete ones.
This is a short commentary piece that discusses how the methods used in the natural sciences can apply to economics in general and financial markets specifically.
We analyze the constituents stocks of the Dow Jones Industrial Average (DJIA30) and the Standard & Poor's 100 index (S&P100) of the NYSE stock exchange market. Surprisingly, we discover the data collapse of the histograms of the DJIA30 price fluctuations and of the S&P100 price fluctuations to the universal non-paramet…
Empirical study on trends reversion in financial markets.
problem Understanding when trends in financial markets revert.
method Polynomial regression and bootstrapping on 30 years of daily futures prices.
result Trends revert when they reach a critical level of statistical significance.
Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction dynamics between individual components is mediated by a global variable making the …
New framework for knots on Seifert surfaces, no universal host.
problem Understanding how knots appear on minimal genus Seifert surfaces.
method Directed relation and friendship defined on knot types.
result No single knot is a universal host, but families can be.
We investigated the critical dynamics on the daily Taiwan stock exchange index (TSE) from 1971 to 2005, and the 5-min intraday data from 1996 to 2005. A global persistence exponent was defined for non-equilibrium critical phenomena \cite{Janssen,Majumdar}, and describing dynamic behavior in an economic index \c…
In this paper we prove that all initially-smooth solutions of the Euler-Weil-Petersson equation, which describes geodesics on the universal Teichmüller space under the Weil-Petersson metric, will remain smooth for all time. This extends the work of Escher-Kolev for strong Riemannian metrics to the borderline case of $H…
Market Crashes as Critical Phenomena? Explanation, Idealization, and Universality in Econophysicsphysics.hist-ph
We study the Johansen-Ledoit-Sornette (JLS) model of financial market crashes (Johansen, Ledoit, and Sornette [2000] "Crashes as Critical Points." Int. J. Theor. Appl. Finan. 3(2) 219-255). On our view, the JLS model is a curious case from the perspective of the recent philosophy of science literature, as it is natural…
New findings on universal learning in contextual bandits with adversarial rewards.
problem Learning in contextual bandits with time-varying, adversarial rewards.
method Characterization of learnable processes and necessary/sufficient conditions for universal learning.
result Optimistic universal learning for contextual bandits with adversarial rewards is impossible in general.
Ozsvath-Szabo contact invariants are a powerful way to prove tightness of contact structures but they are known to vanish in the presence of Giroux torsion. In this paper we construct, on infinitely many manifolds, infinitely many isotopy classes of universally tight torsion free contact structures whose Ozsvath-Szabo …
Deep learning's anomalous generalization explained by standard frameworks.
problem Anomalous generalization in deep neural networks.
method Intuitive understanding and rigorous characterization using PAC-Bayes and countable hypothesis bounds.
result Deep learning's anomalous generalization can be explained by soft inductive biases.
A plethora of natural, artificial and social systems exist which do not belong to the Boltzmann-Gibbs (BG) statistical-mechanical world, based on the standard additive entropy and its associated exponential BG factor. Frequent behaviors in such complex systems have been shown to be closely related to -stati…
We compute the analytic expression of the probability distributions F{AEX,+} and F{AEX,-} of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the αre-scaled AEX daily index positive returns r(t)^αand negative returns (-r(t))^αthat we call, after normalization, the …
Minimal model reveals power laws in financial markets.
problem Understanding universal behaviors in financial markets.
method Analytical solution of a minimal model based on symmetry constraints.
result Various power-law behaviors are interconnected, similar to critical exponents.
Deep Convolutional Networks (DCNs) have been shown to be sensitive to Universal Adversarial Perturbations (UAPs): input-agnostic perturbations that fool a model on large portions of a dataset. These UAPs exhibit interesting visual patterns, but this phenomena is, as yet, poorly understood. Our work shows that visually …
We compute the analytic expression of the probability distributions F{FTSE100,+} and F{FTSE100,-} of the normalized positive and negative FTSE100 (UK) index daily returns r(t). Furthermore, we define the alpha re-scaled FTSE100 daily index positive returns r(t)^alpha and negative returns (-r(t))^alpha that we call, aft…
In terms of the stock exchange returns, we compute the analytic expression of the probability distributions F{DAX,+} and F{DAX,-} of the normalized positive and negative DAX (Germany) index daily returns r(t). Furthermore, we define the alpha re-scaled DAX daily index positive returns r(t)^alpha and negative returns (-…
We explore the complex associated to a link in the geometric formalism of Khovanov's (n=2) link homology theory, determine its exact underlying algebraic structure and find its precise universality properties for link homology functors. We present new methods of extracting all known link homology theories directly from…
Few years ago we developed jointly with I.Dynnikov new discretization of complex analysis (DCA) based on the two-dimensional manifolds with colored black/white triangulation. Especially deep results were obtained for the Euclidean plane with equilateral triangle lattice. In the present work we develop a DCA theory for …
The paper finds exact solutions to a complex Einstein-Dirac-Maxwell system on 4D Sasakian spacetimes.
problem Finding exact solutions to an Einstein-Dirac-Maxwell system with Sasakian quasi-Killing spinors.
method Constructing a family of exact solutions on four-dimensional static Sasakian spacetimes using the Sasakian frame.
result Closed and open universe models are found with specific energy conditions.
Starting from ideas of Furuta, we develop a general formalism for the construction of cohomotopy invariants associated with a certain class of -equivariant non-linear maps between Hilbert bundles. Applied to the Seiberg-Witten map, this formalism yields a new class of cohomotopy Seiberg-Witten invariants which hav…
Embeds flag manifolds into classical ones, proving rigidity in Kähler geometry.
problem Rigidity phenomena in homogeneous Kähler manifolds.
method Holomorphic isometric embeddings and rigidity analysis.
result No weak-relative relationship among flag manifolds, flat spaces, and homogeneous bounded domains.
Tools of the theory of critical phenomena, namely the scaling analysis and universality, are argued to be applicable to large complex web-like network structures. Using a detailed analysis of the real data of the International Trade Network we argue that the scaled link weight distribution has an approximate log-normal…
We develop a strong diagnostic for bubbles and crashes in bitcoin, by analyzing the coincidence (and its absence) of fundamental and technical indicators. Using a generalized Metcalfe's law based on network properties, a fundamental value is quantified and shown to be heavily exceeded, on at least four occasions, by bu…
The problem of estimation error in portfolio optimization is discussed, in the limit where the portfolio size N and the sample size T go to infinity such that their ratio is fixed. The estimation error strongly depends on the ratio N/T and diverges for a critical value of this parameter. This divergence is the manifest…
A new neural network model identifies hysteresis universally.
problem Inability of existing models to simulate hysteresis universally.
method Inspired by the Preisach model, an Extended Preisach Neural Network (EPNN) is introduced with two hidden layers and a hybrid training algorithm.
result EPNN successfully identifies various hysteresis phenomena from different fields.
Article studies symmetry in smooth vector bundles using advanced operations.
problem Symmetry phenomena in smooth vector bundles after two iterations of the normal functor.
method Developed theory of pullback and quotient for double vector bundles and morphisms, focusing on naturality of the normal functor.
result Expected symmetry is obtained through universal behavior and compatibility of operations.
We produce the first examples of closed, tight contact 3-manifolds which become overtwisted after performing admissible transverse surgeries. Along the way, we clarify the relationship between admissible transverse surgery and Legendrian surgery. We use this clarification to study a new invariant of transverse knots - …
The paper argues against the inefficiency of explaining deep learning phenomena.
problem Explaining deep learning phenomena often leads to ad hoc hypotheses.
method Analyzing recent literature to assess the relevance of these phenomena.
result Many phenomena do not appear in real-world applications and may be inefficient.
Generative diffusion models exhibit phase transitions in statistical mechanics, impacting their performance.
problem Understanding the performance and capabilities of generative diffusion models.
method Reformulating generative diffusion models using statistical mechanics, focusing on phase transitions and symmetry breaking.
result Generative diffusion models undergo second-order phase transitions with mean-field universality, critical instability, and mean-field critical exponents.
Econophysics: A new disciplineq-fin.GN
This paper debates the contribution of Econophysics to the economic or financial domains. Since the traditional approach performed by Economics or Finance has revealed to be insufficient in fully characterizing and explaining the correspondingly phenomena, we discuss whether Econophysics can provide a new insight onto …
Concentration of -Lipschitz functions on manifolds with boundary with Dirichlet boundary conditionmath.MG
In this paper, we consider a concentration of measure problem on Riemannian manifolds with boundary. We study concentration phenomena of non-negative -Lipschitz functions with Dirichlet boundary condition around zero, which is called boundary concentration phenomena. We first examine relation between boundary concen…
TSFMs show redundant components in layers, affecting their performance.
problem Redundant components in TSFMs layers impact their predictive accuracy.
method Mechanistic interpretability tools, ablations, logit attribution, theoretical framework.
result TSFMs are robust to ablations of entire layers and specific heads.
Booms and Crashes in Self-Similar Marketscond-mat.stat-mech
Sharp changes in time series representing market dynamics are studied by means of the self--similar analysis suggested earlier by the authors. These sharp changes are market booms and crashes. Such crises phenomena in markets are analogous to critical phenomena in physics. A simple classification of the market crisis p…
Study on Lane-Emden equation on curved spaces, revealing new existence and non-existence phenomena.
problem Existence and non-existence of positive solutions for the Lane-Emden equation on Riemannian models.
method Analysis of the subcritical Lane-Emden equation on various Riemannian manifolds with polynomial volume growth.
result Subcritical regime divides into three ranges with distinct existence and non-existence phenomena.
Deep neural networks can generalize well even with perfect fits to noisy data.
problem Understanding the conditions under which deep neural networks generalize well in the presence of noise.
method Comprehensive study of linear maximum margin classifiers, focusing on noisy and noiseless cases.
result Discovery of a phase transition in test error bounds for the noisy model.
The two phase behavior in financial markets actually means the bifurcation phenomenon, which represents the change of the conditional probability from an unimodal to a bimodal distribution. In this paper, the bifurcation phenomenon in Hang-Seng index is carefully investigated. It is observed that the bifurcation phenom…
The paper explores higher property T in lattices and its connections to geometric phenomena.
problem Understanding higher property T in lattices and related geometric phenomena.
method Operator-algebraic characterizations of higher property T and connections to lattice geometry.
result Unified framework for understanding higher property T and related geometric phenomena.
For a compact manifold with boundary we introduce the -fold scattering stretched product which is a compact manifold with corners for each coinciding with the previously known cases for It is constructed by iterated blow up of boundary faces and boundary faces of multi-diagonals i…
Paper connects Stokes phenomena to quantum groups and Poisson-Lie groups.
problem Analyse Stokes phenomena in Poisson-Lie groups and quantum groups.
method Use Ug-valued Stokes phenomena to construct quantum group U_hg and relate it to Poisson-Lie group G*.
result Show that Ug-valued Stokes phenomena can be obtained as a semiclassical limit of the KZ associator.
In this paper we observe that 2-dimensional 0-surgery occurs in natural processes, such as tornado formation and other phenomena reminiscent of hole drilling. Inspired by such phenomena, we introduce new theoretical concepts which enhance the formal definition of 2-dimensional 0-surgery with the observed dynamics. To d…
Unified algebraic framework for virtual braid structures with strong structural consequences.
problem Unified algebraic framework for virtual braid structures with various types of crossings.
method Introducing the universal virtual braid group and proving its properties.
result Strong structural consequences including residual finiteness, linearity, and solvability of conjugacy problems.
We give a survey of some known results and of the many open questions in the study of generic phenomena in geometrically interesting groups.
Rigidity phenomena on lower -weighted Ricci curvature bounds with -range for non-symmetric Laplacianmath.DG
Paper investigates rigidity phenomena for weighted Ricci curvature bounds with Laplacian comparison theorem.
problem Investigating rigidity phenomena for weighted Ricci curvature bounds.
method Derived comparison geometric estimates and generalized for non-symmetric Laplacian.
result Obtained rigidity results for Laplacian comparison theorem, diameter comparisons, and volume comparisons.
DisCoPyro combines category theory with machine learning for program learning.
problem Applying category theory to machine learning tasks.
method Introducing DisCoPyro, a framework combining categorical structures with amortized variational inference.
result DisCoPyro can be applied in program learning for variational autoencoders and potentially contributes to AGI.
Analyzes magnetic Laplacian on hyperbolic surfaces, highlighting key quantum phenomena.
problem Understanding quantum phenomena on hyperbolic surfaces with magnetic fields.
method Semiclassical analysis and mathematical modeling of the magnetic Laplacian.
result Discovers new insights into quantum behavior on hyperbolic surfaces with magnetic fields.