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.
Paper presents a dynamic tail risk protection strategy using ML and econometrics.
problem Tail risk protection in finance with solid mathematical and statistical tools.
method Dynamic tail risk protection strategy using weak classifiers (parametric and non-parametric) to estimate exceedance probability and derive trading signals.
result Ensemble classifier improves generalization and trading performance.
We introduce an up-down coloring of a virtual-link diagram. The colorabilities give a lower bound of the minimum number of Reidemeister moves of type II which are needed between two 2-component virtual-link diagrams. By using the notion of a quandle cocycle invariant, we determine the necessity of Reidemeister moves of…
Using powerful posterior distributions is a popular approach to achieving better variational inference. However, recent works showed that the aggregated posterior may fail to match unit Gaussian prior, thus learning the prior becomes an alternative way to improve the lower-bound. In this paper, for the first time in th…
In 2001, Oestlund conjectured that Reidemeister moves 1 and 3 are sufficient to describe a homotopy from any generic immersion from the circle into the plane to the standard embedding of the circle. We show that this conjecture is false.
The great success of deep learning poses urgent challenges for understanding its working mechanism and rationality. The depth, structure, and massive size of the data are recognized to be three key ingredients for deep learning. Most of the recent theoretical studies for deep learning focus on the necessity and advanta…
Using Jeff Holman's comments in Quantitative Finance to illustrate 4 critical errors students should learn to avoid: 1) Mistaking tails (4th moment) for volatility (2nd moment), 2) Missing Jensen's Inequality, 3) Analyzing the hedging wihout the underlying, 4) The necessity of a numeraire in finance.
We discuss general notions of metrics and of Finsler structures which we call weak metrics and weak Finsler structures. Any convex domain carries a canonical weak Finsler structure, which we call its tautological weak Finsler structure. We compute distances in the tautological weak Finsler structure of a domain and we …
Defines weak geodesics on specific subsets of manifolds.
problem Characterizing geodesics on prox-regular subsets of Riemannian manifolds.
method Defining weak geodesics as continuous curves with weak regularities, and characterizing them as viscosity critical points of the energy functional.
result Characterizes weak geodesics on prox-regular subsets of Riemannian manifolds.
We prove that every Kaehler solvmanifold has a finite covering whose holomorphic reduction is a principal bundle. An example is given that illustrates the necessity, in general, of passing to a proper covering. We also answer a stronger version of a question posed by Akhiezer for homogeneous spaces of nonsolvable algeb…
In this work we wish characterize the Einstein manifolds (M,g), however without the necessity of hypothesis of compactness over M and unitary volume of g, which are well known in many works. Our result says that if all eingenvalues λ of rg, with respect to g, satisfy λ≥n1sg, then $(M,g)…
We deal with a notion of weak binormal and weak principal normal for non-smooth curves of the Euclidean space with finite total curvature and total absolute torsion. By means of piecewise linear methods, we first introduce the analogous notation for polygonal curves, where the polarity property is exploited, and then m…
In this paper we discuss the possibility of using multilevel Monte Carlo (MLMC) methods for weak approximation schemes. It turns out that by means of a simple coupling between consecutive time discretisation levels, one can achieve the same complexity gain as under the presence of a strong convergence. We exemplify thi…
Paper establishes a general inequality for warped product CR-submanifolds in Kähler manifolds.
problem Finding a general inequality for warped product contact CR-submanifolds in Kähler manifolds.
method Using the Gauss equation, the paper establishes a general inequality for warped product contact CR-submanifolds in Sasakian and Kenmotsu manifolds.
result The paper proves an optimal general inequality for warped product contact CR-submanifolds in both Sasakian and Kenmotsu manifolds.