Study confirms Indian stock market is weak form inefficient.
problem Impact of stock market efficiency on investment returns.
method Runs test, Autocorrelation test, Autoregression test on daily stock indices.
result Indian stock market is weak form inefficient and can be outperformed.
The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric evidence. In contrast, machine learning algorithms implemented to predict stock price h…
Survey of weak form's role in equation learning, parameter estimation, and coarse graining.
problem Noise robustness, accuracy, and computational efficiency in weak form applications.
method Survey and recent developments in weak form versions of equation learning, parameter estimation, and coarse graining.
result Surprising noise robustness, accuracy, and computational efficiency in weak form applications.
We perform detrending moving average analysis (DMA) and detrended fluctuation analysis (DFA) of the WTI crude oil futures prices (1983-2012) to investigate its efficiency. We further put forward a strict statistical test in the spirit of bootstrapping to verify the weak-form market efficiency hypothesis by employing th…
Self-test loss functions improve data-driven modeling of weak-form operators and gradient flows.
problem Challenges in selecting test functions for data-driven modeling involving weak-form operators and gradient flows.
method Introducing self-test loss functions that depend on unknown parameters and are quadratic.
result Self-test loss functions conserve energy for gradient flows and coincide with log-likelihood ratios for stochastic differential equations.
Boosting combines weak classifiers to form highly accurate predictors. Although the case of binary classification is well understood, in the multiclass setting, the "correct" requirements on the weak classifier, or the notion of the most efficient boosting algorithms are missing. In this paper, we create a broad and ge…
Paper proposes an EKF for estimating time-varying market efficiency.
problem Estimating time-varying market efficiency under nonlinear dynamics.
method Extended Kalman Filter (EKF) for time-varying autoregressive models.
result U.S. market generally remained weak-form efficient since mid-1946.
Online algorithm identifies PDEs from noisy data snapshots.
problem Identifying PDEs from sequential solution snapshots.
method Combines weak-form discretization with online proximal gradient descent.
result Efficiently identifies and tracks systems with time-varying coefficients.
WENDy now estimates nonlinear ODEs with noisy data.
problem Estimating parameters of nonlinear ODEs with noisy data.
method WENDy-MLE algorithm for maximum likelihood estimation of nonlinear-in-parameters ODEs.
result WENDy-MLE outperforms other methods in accuracy, speed, and domain of convergence.
Survey on smooth function and form density in Riemannian Sobolev spaces.
problem Density of smooth functions and forms in Sobolev spaces on Riemannian manifolds.
method Careful examination of weak covariant derivatives and partial derivatives.
result Equivalence of weak covariant derivatives to weak partial derivatives.
This paper is devoted to give a complete unified study of several weak forms of $\ddb-$Lemma on compact complex manifolds.
The paper studies symplectic forms on projective limits of Banach bundles and their Darboux Theorem.
problem Conditions for weak symplectic forms on projective limits of Banach bundles.
method Analyzing projective sequences of Banach bundles and applying Darboux Theorem.
result Necessary and sufficient conditions for the Darboux Theorem on projective limits of Banach manifolds.
New Lie 2-algebra structure for multiplicative forms on quasi-Poisson groupoids.
problem Understanding Lie 2-algebra structures on geometric stacks.
method Construction of graded weak Lie 2-algebras from multiplicative forms and differential forms.
result Established a morphism between Lie 2-algebras and weak Lie 2-algebras of multiplicative forms.
Study on Kähler manifolds proves weak decompositions and relates harmonic forms.
problem Analyzing harmonic forms on Kähler manifolds.
method Proves weak W1,2 Bott-Chern and Dolbeault decompositions. result Strict relation between W1,2 Bott-Chern harmonic forms and the W1,2 Bott-Chern decomposition. We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated firm-by-firm default timing. We prove a weak convergence result for the fluctuation process and use it for developing a conditionally Gaussian approximation to the loss distribution. Nume…
In this paper, we study general (α,β)-metrics which α is a Riemannian metric and β is an one-form. We have proven that every weak Landsberg general (α,β)-metric is a Berwald metric, where β is a closed and conformal one-form. This show that there exist no generalized unicorn metric in this class of general $(…
We detail the construction of a weak Poisson bracket over a submanifold of a smooth manifold M with respect to a local foliation of this submanifold. Such a bracket satisfies a weak type Jacobi identity but may be viewed as a usual Poisson bracket on the space of leaves of the foliation. We then lift this weak Poisson …
The paper finds the Finsler structure of Apollonian weak metric on unit disc.
problem Understanding the Finsler structure of Apollonian weak metric on the unit disc.
method Analyzing the deformation of hyperbolic Poincaré metric by a closed 1-form.
result The Apollonian weak-Finsler structure has bounded below S-curvature and flag curvature K satisfying −∞<K<−1. Weak dual pairs defined in Dirac-Jacobi geometry, proving equivalence and leaf correspondence theorems.
problem Defining and studying weak dual pairs in Dirac-Jacobi structures.
method Adopting omni-Lie algebroid approach, proving equivalence and leaf correspondence theorems.
result Existence of self-dual pairs and alternative proof of normal form theorem.
WSINDy for PDEs robustly identifies models from noisy data.
problem Identifying nonlinear dynamics from noisy partial differential equations data.
method Weak formulation of PDEs, Fourier-based model identification, sequential-thresholding least-squares.
result WSINDy enables robust identification of PDEs in noisy conditions.
Geometric analysis proves weak KAM solutions constant under specific conditions.
problem Conditions for weak KAM solutions to be constant.
method Geometric and differential analysis of Hamilton-Jacobi equations.
result Weak KAM solutions are constant if and only if the 1-form is harmonic.
Develops analysis of weak immersions with bounded second fundamental forms in critical Sobolev space.
problem Analyzing weak immersions with bounded second fundamental forms in a critical Sobolev space.
method Develops analysis of Lipschitz immersions with bounded second fundamental forms in W2n−1,2 space. result Proves existence of C1 differential structure from weak immersions with bounded second fundamental forms. Characterizes when differential forms have weak exterior derivatives based on limiting behavior of integration over simplices.
problem Characterizing differential forms with weak exterior derivatives.
method Uses integration over simplices to characterize the limiting behavior of differential forms.
result Proves a direct analogue of the Bourgain-Brezis-Mironescu characterization for differential forms.
I prove that if markets are weak-form efficient, meaning current prices fully reflect all information available in past prices, then P = NP, meaning every computational problem whose solution can be verified in polynomial time can also be solved in polynomial time. I also prove the converse by showing how we can "progr…
Equivalent bicategories constructed from action Lie groupoids.
problem Equivalence of bicategories constructed from action Lie groupoids.
method Localizing at equivariant weak equivalences, surjective submersive equivariant weak equivalences, and all weak equivalences.
result Weak equivalences between action Lie groupoids are isomorphic to compositions of nice forms of equivariant weak equivalences.
We show that the existence of a computationally efficient calibration algorithm, with a low weak calibration rate, would imply the existence of an efficient algorithm for computing approximate Nash equilibria - thus implying the unlikely conclusion that every problem in PPAD is solvable in polynomial time.
Weak form of the Efficiency Market Hypothesis (EMH) excludes predictions of future market movements from historical data and makes the technical analysis (TA) out of law. However the technical analysis is widely used by traders and speculators who steadely refuse to consider the market as a "fair game" and survive with…
The paper classifies special hypersurfaces in space forms.
problem Investigating gradient Yamabe solitons in space forms.
method Using the weak Omori-Yau principle for the drifted Laplacian.
result Gradient Yamabe solitons are fully classified under certain conditions.
The paper explores criteria for positivity of forms and proves their strong positivity in specific cases.
problem Understanding positivity of exterior forms on complex vector spaces.
method Dimensionality reduction and criteria based on Hermitian matrices.
result Strong positivity of certain forms proven by duality.
Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it "fully reflects" or "rapidly adjusts to" some information flow including the evolution of asset prices. By contrast, No Weak Arbitrage togeth…
Efficient simulation scheme for rough Heston model reduces computational cost.
problem Accurate and efficient simulation of the rough Heston model for option pricing.
method Weak simulation scheme based on Markovian approximations of the rough Heston process.
result The new scheme exhibits second order weak convergence with linear computational cost.
The study explores new metric structures on manifolds, linking them to Einstein metrics.
problem Characterizing and understanding weak K-contact manifolds and their properties.
method Analyzing weak K-contact manifolds and their properties, including the parallel Ricci tensor and generalized Ricci soliton structures.
result Sufficient conditions for weak K-contact manifolds with specific properties to be Einstein manifolds.
Study weak super Ricci flow through neckpinch in metric measure spaces.
problem Understanding Ricci flow behavior at singularities.
method Introduce weak super Ricci flow and show conditions for continuation.
result Weak super Ricci flow properties at singularities.
New offline RL method works with limited data and function approximators.
problem Sample efficiency with limited data and weak function approximators.
method Pessimistic algorithm based on version space formed by marginalized importance sampling (MIS), with gap assumption.
result Guarantees sample efficiency for simple algorithm under specific assumptions.
Boosting Nyström improves accuracy of matrix approximations.
problem Generating low-rank approximations of large matrices efficiently.
method Iteratively generate multiple weak Nyström approximations, combine them to form a strong approximation.
result Boosting Nyström yields more efficient and accurate low-rank approximations.
The aim of this paper is to introduce new forms of the weak and Omori-Yau maximum principles for linear operators, notably for trace type operators, and show their usefulness, for instance, in the context of PDE's and in the theory of hypersurfaces. In the final part of the paper we consider a large class of non-linear…
Study on Nijenhuis tensor forms and vanishing properties.
problem Understanding the properties of Nijenhuis tensor.
method Provided strong and weak forms of the square of Nijenhuis tensor, and identified vanishing results.
result Identified new vanishing results for the square of Nijenhuis tensor.
Examines WENDy-IRLS algorithm's noise robustness and efficiency in various differential equations.
problem Noise robustness and efficiency of WENDy-IRLS algorithm.
method Studied coverage and bias properties of WENDy-IRLS algorithm's estimators in various differential equations and noise distributions.
result WENDy-IRLS algorithm shows notable noise robustness and computational efficiency.
Efficiently plans large MDPs with weak function approximations.
problem Planning in large MDPs with limited function approximation capabilities.
method Uses linear value function approximation with weak requirements and a generative oracle.
result Produces almost-optimal actions for any state with polynomial computation time.
For a finite dimensional symplectic manifold (M,ω) with a symplectic form ω, corresponding loop space (LM=C∞(S1,M)) admits a weak symplectic form Ωω. We prove that the loop space over $\mbr^n$ admits Darboux chart for the weak symplectic structure Ωω. Further, we show that inclusion map from the symp…
The scarcity of data annotated at the desired level of granularity is a recurring issue in many applications. Significant amounts of effort have been devoted to developing weakly supervised methods tailored to each individual setting, which are often carefully designed to take advantage of the particular properties of …
In finance, the weak form of the Efficient Market Hypothesis asserts that historic stock price and volume data cannot inform predictions of future prices. In this paper we show that, to the contrary, future intra-day stock prices could be predicted effectively until 2009. We demonstrate this using two different profita…
We empirically investigated the relationships between the degree of efficiency and the predictability in financial time-series data. The Hurst exponent was used as the measurement of the degree of efficiency, and the hit rate calculated from the nearest-neighbor prediction method was used for the prediction of the dire…
Atiyah classes of DG manifolds of positive amplitude are invariant under weak equivalences.
problem Defining and studying Hochschild cohomology of DG manifolds of positive amplitude.
method Using poly-differential operators and derived intersection, proving invariance under weak equivalences.
result Hochschild cohomology of DG manifolds of positive amplitude is invariant under weak equivalences.
Paper develops equivariant basic cohomology for Lie groupoids.
problem Equivariant cohomology for Lie groupoids with weak actions.
method Using Kan fibrations and fiber structures, constructing models and comparing with existing theories.
result Equivariant basic cohomology theory for orbifolds and Lie groupoids.
Method identifies IPS governing equations from particle data efficiently.
problem Identify governing equations of interacting particle systems efficiently.
method Combines mean-field theory and WSINDy for large N and M. result Converges with rate O(N−1/2) for N≥100. Proves harmonic coordinates for weak immersions in even dimensions.
problem Existence of harmonic coordinates for weak immersions in Sobolev spaces.
method Analyzes weak immersions in critical Sobolev spaces and uses smallness conditions on the second fundamental form.
result Global harmonic coordinates exist for weak immersions in even dimensions under certain conditions.
Inspector Gadget uses crowdsourcing and data programming to label industrial images efficiently.
problem Securing enough labeled data for machine learning in industrial settings.
method Combines crowdsourcing, data augmentation, and data programming.
result Obtains better performance than other weak-labeling techniques.