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.

168,695 papers · 148 categories

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3 results for “v-transforms”

Time series copula models using d-vines and v-transformsstat.ME

New copula models capture volatility and directionality in financial time series.

problem Modeling financial return series with volatility and serial correlation.

method Stationary d-vine copula processes with v-transforms for stochastic volatility and directionality.

result Models can rival and sometimes outperform GARCH family models.

financial time series copula models volatility directionality d-vine

2020-06-19abs ↗pdf ↗

Modelling volatile time series with v-transforms and copulasq-fin.RM

A new method models volatile financial time series using v-transforms and copulas.

problem Modeling volatile financial time series with standard methods.

method v-transforms and copulas to describe and estimate time series with arbitrary marginal distributions and copula dynamics.

result The model replicates stylized facts of financial return series and facilitates risk quantification.

v-transforms copulas volatility modeling financial time series maximum likelihood estimation

2020-02-24abs ↗pdf ↗

LexNLP: Natural language processing and information extraction for legal and regulatory textscs.CL

LexNLP is an open source Python package focused on natural language processing and machine learning for legal and regulatory text. The package includes functionality to (i) segment documents, (ii) identify key text such as titles and section headings, (iii) extract over eighteen types of structured information like dis…

2018-06-10abs ↗pdf ↗