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.
We use machine learning for designing a medium frequency trading strategy for a portfolio of 5 year and 10 year US Treasury note futures. We formulate this as a classification problem where we predict the weekly direction of movement of the portfolio using features extracted from a deep belief network trained on techni…
Study of the forecasting models using large scale microblog discussions and the search behavior data can provide a good insight for better understanding the market movements. In this work we collected a dataset of 2 million tweets and search volume index (SVI from Google) for a period of June 2010 to September 2011. We…
We introduce various quantitative and mathematical definitions for price momentum of financial instruments. The price momentum is quantified with velocity and mass concepts originated from the momentum in physics. By using the physical momentum of price as a selection criterion, the weekly contrarian strategies are imp…
Dynamics of the major USA market indices DJIA, S&P, Nasdaq, and NYSE is analyzed from the point of view of the random walking problem with two-step correlations of the market moves. The parameters characterizing the stochastic dynamics are determined empirically from the historical quotes for the daily, weekly, and mon…
This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk metrics. Using the A-share individual stocks in the Chinese market from January 1997 to December 2017, we first evaluate the performance of the weekly momentum based on raw returns and idiosyncratic r…
The study analyzes XRP transaction networks to understand market dynamics.
problem Understanding market dynamics of XRP through transaction data.
method Weekly weighted directed networks are embedded into a vector space using network embedding techniques. A correlation tensor is calculated and analyzed using singular value decomposition.
result The correlation tensor provides insights into the system's behavior and dependence on model parameters.
We empirically test predictability on asset price by using stock selection rules based on maximum drawdown and its consecutive recovery. In various equity markets, monthly momentum- and weekly contrarian-style portfolios constructed from these alternative selection criteria are superior not only in forecasting directio…
Infants' spontaneous and voluntary movements mirror developmental integrity of brain networks since they require coordinated activation of multiple sites in the central nervous system. Accordingly, early detection of infants with atypical motor development holds promise for recognizing those infants who are at risk for…
We recast the Calabi flow in DeGiorgi's language of minimizing movements. We establish the long time existence of minimizing movements for K-energy with arbitrary initial condition. Furthermore we establish some a priori regularity of these solutions, and that sufficiently regular minimizing movements are smooth soluti…
Taureau uses Twitter sentiment analysis to predict stock market movement.
problem Predicting stock market movement using public opinion on Twitter.
method Obtained historical tweets, filtered and labeled, generated word embeddings, assessed sentiment scores, correlated with stock price movement, designed and evaluated predictive model.
result Taureau can predict stock price movement from lagged sentiment scores.
Order book dynamics play an important role in both execution time and price formation of orders in an exchange market. In this study, we aim to model the limit order arrival rates in the vicinity of the best bid and the best ask price levels. We use limit order book data for Garanti Bank, which is one of the most trade…
We study involuntary micro-movements of the eye for biometric identification. While prior studies extract lower-frequency macro-movements from the output of video-based eye-tracking systems and engineer explicit features of these macro-movements, we develop a deep convolutional architecture that processes the raw eye-t…
Neuroscientific studies of drawing-like movements usually analyze neural representation of either geometric (eg. direction, shape) or temporal (eg. speed) features of trajectories rather than trajectory's representation as a whole. This work is about empirically supported mathematical ideas behind splitting and merging…
The rise of non-linear and interactive media such as video games has increased the need for automatic movement animation generation. In this survey, we review and analyze different aspects of building automatic movement generation systems using machine learning techniques and motion capture data. We cover topics such a…
Enhances stock movement prediction using Higher Order Transformers for multimodal time-series data.
problem Predicting stock movements in financial markets with complex dynamics.
method Introduced Higher Order Transformers, extending self-attention and transformer architecture to capture complex market dynamics. Employed low-rank tensor decomposition and kernel attention to manage computational complexity. Integrated technical and fundamental analysis from historical prices and tweets.
result Demonstrated effectiveness of the method on the Stocknet dataset, improving stock movement prediction.
In this study, we present a simple stochastic order-book model for investors' swarm behaviors seen in the continuous double auction mechanism, which is employed by major global exchanges. Our study shows a characteristic called "fat tail" is seen in the data obtained from our model that incorporates the investors' swar…