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Journal articles on the topic 'Statistical arbitrage framework'

Author: Grafiati

Published: 4 June 2021

Last updated: 7 February 2022

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1

Göncü, Ahmet. "Statistical arbitrage in the Black–Scholes framework." Quantitative Finance 15, no. 9 (2014): 1489–99. http://dx.doi.org/10.1080/14697688.2014.961531.

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GÖNCÜ, AHMET, and ERDINC AKYILDIRIM. "STATISTICAL ARBITRAGE IN THE MULTI-ASSET BLACK–SCHOLES ECONOMY." Annals of Financial Economics 12, no. 01 (2017): 1750004. http://dx.doi.org/10.1142/s201049521750004x.

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In this study, we consider the statistical arbitrage definition given in Hogan, S, R Jarrow, M Teo and M Warachka (2004). Testing market efficiency using statistical arbitrage with applications to momentum and value strategies, Journal of Financial Economics, 73, 525–565 and derive the statistical arbitrage condition in the multi-asset Black–Scholes economy building upon the single asset case studied in Göncü, A (2015). Statistical arbitrage in the Black Scholes framework. Quantitative Finance, 15(9), 1489–1499. Statistical arbitrage profits can be generated if there exists at least one asset

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Bayram, Mehmet, Muzaffer Akat, and Serol Bulkan. "Algorithmic pairs trading with expert inputs, a fuzzy statistical arbitrage framework." Journal of Intelligent & Fuzzy Systems 38, no. 1 (2020): 697–707. http://dx.doi.org/10.3233/jifs-179442.

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CARTEA, ÁLVARO, SEBASTIAN JAIMUNGAL, and JASON RICCI. "TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE." International Journal of Theoretical and Applied Finance 21, no. 03 (2018): 1850025. http://dx.doi.org/10.1142/s0219024918500255.

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We develop a trading strategy that employs limit and market orders in a multiasset economy where the assets are not only correlated, but can also be structurally dependent. To model the structural dependence, the mid-price processes follow a multivariate reflected Brownian motion on the closure of a no-arbitrage region which is dictated by the bid–ask spreads of the assets. We provide a mathematical framework for such an economy and solve for the value function and optimal control for an investor who takes positions in these assets. The optimal strategy exhibits two dominant features which dep

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Stübinger, Johannes, and Lucas Schneider. "Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500." Journal of Risk and Financial Management 12, no. 2 (2019): 51. http://dx.doi.org/10.3390/jrfm12020051.

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This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump–diffusion model and applies it to high-frequency data of the S&P 500 constituents from January 1998–December 2015. In particular, the established stock selection and trading framework identifies overnight price gaps based on an advanced jump test procedure and exploits temporary market anomalies during the first minutes of a trading day. The existence of the assumed mean-reverting property is confirmed by a preliminary analysis of the S&P 500 index; this characteristic is particularly sign

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Marquez, Jaime, and Silvia Merler. "A Note on the Empirical Relation between Oil Prices and the Value of the Dollar." Journal of Risk and Financial Management 13, no. 8 (2020): 164. http://dx.doi.org/10.3390/jrfm13080164.

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This paper offers an empirical characterization of the relation between the international price of oil and exchange rates that is both useful and reliable. Our characterization is useful because it rests on information of asset prices that are determined in functioning asset markets. Our characterization is reliable because its maintained assumptions are not rejected by the data. Four features differentiate our work from previous analyses. First, our reliance on bilateral rates opens previously ignored financial arbitrage opportunities between oil prices and exchange rates. Second, our emphasi

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Waldow, Fabian, Matthias Schnaubelt, Christopher Krauss, and Thomas Günter Fischer. "Machine Learning in Futures Markets." Journal of Risk and Financial Management 14, no. 3 (2021): 119. http://dx.doi.org/10.3390/jrfm14030119.

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In this paper, we demonstrate how a well-established machine learning-based statistical arbitrage strategy can be successfully transferred from equity to futures markets. First, we preprocess futures time series comprised of front months to render them suitable for our returns-based trading framework and compile a data set comprised of 60 futures covering nearly 10 trading years. Next, we train several machine learning models to predict whether the h-day-ahead return of each future out- or underperforms the corresponding cross-sectional median return. Finally, we enter long/short positions for

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Keilbar, Georg, and Yanfen Zhang. "On cointegration and cryptocurrency dynamics." Digital Finance 3, no. 1 (2021): 1–23. http://dx.doi.org/10.1007/s42521-021-00027-5.

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AbstractThis paper aims to model the joint dynamics of cryptocurrencies in a nonstationary setting. In particular, we analyze the role of cointegration relationships within a large system of cryptocurrencies in a vector error correction model (VECM) framework. To enable analysis in a dynamic setting, we propose the COINtensity VECM, a nonlinear VECM specification accounting for a varying systemwide cointegration exposure. Our results show that cryptocurrencies are indeed cointegrated with a cointegration rank of four. We also find that all currencies are affected by these long term equilibrium

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Maltsev, Valerii, and Michael Pokojovy. "Applying Heath-Jarrow-Morton Model to Forecasting the US Treasury Daily Yield Curve Rates." Mathematics 9, no. 2 (2021): 114. http://dx.doi.org/10.3390/math9020114.

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The Heath-Jarrow-Morton (HJM) model is a powerful instrument for describing the stochastic evolution of interest rate curves under no-arbitrage assumption. An important feature of the HJM approach is the fact that the drifts can be expressed as functions of respective volatilities and the underlying correlation structure. Aimed at researchers and practitioners, the purpose of this article is to present a self-contained, but concise review of the abstract HJM framework founded upon the theory of interest and stochastic partial differential equations in infinite dimensions. To illustrate the pre

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dos Santos, Paulo L., and Ellis Scharfenaker. "Competition, self-organization, and social scaling—accounting for the observed distributions of Tobin’s q." Industrial and Corporate Change 28, no. 6 (2019): 1587–610. http://dx.doi.org/10.1093/icc/dtz027.

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AbstractWe develop a systemic, information-theoretic model of competitive capital-market functioning that can account for the observed statistical regularities in cross-sectional distributions of the logarithm of Tobin’s q for US non-financial corporations since 1962. The model considers capital markets as a self-organizing system driven by competitive interactions among investors and corporate managers. The persistent pattern of organization we observe in those distributions is primarily defined by the efforts of corporate managers to appropriate arbitrage capital gains defined by heterogenei

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11

Sornette, Didier. "Gauge Theory of Finance?" International Journal of Modern Physics C 09, no. 03 (1998): 505–8. http://dx.doi.org/10.1142/s0129183198000406.

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The recent stimulating proposal of a "Gauge Theory of Finance" by Ilinsky et al. is connected here with traditional approaches. First, the derivation of the log-normal distribution is shown to be equivalent both in information and mathematical content to the simpler and well-known derivation, dating back from Bachelier and Samuelson. Similarly, the re-derivation of Black–Scholes equation is shown equivalent to the standard one because the limit of no uncertainty is equivalent to the standard risk-free replication argument. Both re-derivations of the log-normality and Black–Scholes result do no

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Kharintsev, S. S., D. I. Kamalova, and M. Kh Salakhov. "Resolution Enhancement of Composite Spectra with Fractal Noise in Derivative Spectrometry." Applied Spectroscopy 54, no. 5 (2000): 721–30. http://dx.doi.org/10.1366/0003702001949988.

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The problem of improving the resolution of composite spectra with statistically self-similar (fractal) noise is considered within the framework of derivative spectrometry. An algorithm of the numerical differentiation of an arbitrary (including fractional) order of spectra is produced by the statistical regularization method taking into account a priori information on statistical properties of the fractal noise. Fractal noise is analyzed in terms of the statistical Hurst method. The efficiency and expedience of this algorithm are exemplified by treating simulated and experimental IR spectra.

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13

Endres, Sylvia. "Review of stochastic differential equations in statistical arbitrage pairs trading." Managerial Economics 20, no. 2 (2020): 71. http://dx.doi.org/10.7494/manage.2019.20.2.71.

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The use of stochastic differential equations offers great advantages for statistical arbitrage pairs trading. In particular, it allows the selection of pairs with desirable properties, e.g., strong mean-reversion, and it renders traditional rules of thumb for trading unnecessary. This study provides an exhaustive survey dedicated to this field by systematically classifying the large body of literature and revealing potential gaps in research. From a total of more than 80 relevant references, five main strands of stochastic spread models are identified, covering the ‘Ornstein–Uhlenbeck model’,

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Danquah, Benedikt, Stefan Riedmaier, Yasin Meral, and Markus Lienkamp. "Statistical Validation Framework for Automotive Vehicle Simulations Using Uncertainty Learning." Applied Sciences 11, no. 5 (2021): 1983. http://dx.doi.org/10.3390/app11051983.

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The modelling and simulation process in the automotive domain is transforming. Increasing system complexity and variant diversity, especially in new electric powertrain systems, lead to complex, modular simulations that depend on virtual vehicle development, testing and approval. Consequently, the emerging key requirements for automotive validation involve a precise reliability quantification across a large application domain. Validation is unable to meet these requirements because its results provide little information, uncertainties are neglected, the model reliability cannot be easily extra

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Barillas, Francisco, and Kristoffer Nimark. "Speculation and the Bond Market: An Empirical No-Arbitrage Framework." Management Science 65, no. 9 (2019): 4179–203. http://dx.doi.org/10.1287/mnsc.2018.3027.

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An affine no-arbitrage asset pricing framework is developed that allows for agents to have rational but heterogeneous expectations. The framework can match both bond yields and the observed dispersion of yield expectations in survey data. Heterogeneous information introduces a speculative component in bond prices that is (i) statistically distinct from classical components such as risk premia and expectations about future short rates and (ii) quantitatively important, at times accounting for up to 125 basis points of U.S. yields. Allowing for heterogeneous expectations also changes the estimat

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16

Schneider, Walter. "Statistical Gate-Delay Modeling with Copulas." Journal of Integrated Circuits and Systems 15, no. 3 (2020): 1–10. http://dx.doi.org/10.29292/jics.v15i3.138.

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The growing impact of process variations on circuit performance has become a major concern for deep-submicron integrated circuit design, resulting in numerous SSTA-algorithms. The acceptance of such algorithms in industry however will be dependent on modeling the real silicon behavior in SSTA. This includes that the statistical gate-delay models must consider arbitrary process variations and dependencies. In this paper, we introduce the innovative concept of Copulas to handle this topic. A complete Matlab based framework starting from process parameter statistics up to the computation of the s

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17

Bukovec, Marko, Boštjan Likar, and Franjo Pernuš. "SEGMENTATION OF ANATOMICAL STRUCTURES BY CONNECTED STATISTICAL MODELS." Image Analysis & Stereology 30, no. 2 (2011): 77. http://dx.doi.org/10.5566/ias.v30.p77-88.

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This paper presents a framework for the segmentation of anatomical structures in medical imagery by connected statistical models. The framework is based on three types of models: first, generic models which operate directly on image intensities, second, connecting models that impose restrictions on the spatial relationship of generic models, and third, a supervising model that represents an arbitrary number of generic and connecting models. In this paper, the statistical model of appearance is used as the generic model, whiles the statistical model of topology, obtained by applying principal c

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18

Hanel, Rudolf, and Stefan Thurner. "Maximum Configuration Principle for Driven Systems with Arbitrary Driving." Entropy 20, no. 11 (2018): 838. http://dx.doi.org/10.3390/e20110838.

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Depending on context, the term entropy is used for a thermodynamic quantity, a measure of available choice, a quantity to measure information, or, in the context of statistical inference, a maximum configuration predictor. For systems in equilibrium or processes without memory, the mathematical expression for these different concepts of entropy appears to be the so-called Boltzmann–Gibbs–Shannon entropy, H. For processes with memory, such as driven- or self- reinforcing-processes, this is no longer true: the different entropy concepts lead to distinct functionals that generally differ from H.

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19

HIRO-OKA, HIDEAKI, and HISAKAZU MINAKATA. "LARGE-N COLLECTIVE FIELD THEORY APPLIED TO ANYONS IN MAGNETIC FIELDS." Modern Physics Letters A 08, no. 37 (1993): 3547–55. http://dx.doi.org/10.1142/s0217732393002282.

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We present a large-N collective field formalism for anyons in external magnetic fields interacting with an arbitrary two-body potential. We discuss how the Landau levels are reproduced in our framework. We apply it to the soluble model for anyons proposed by Girvin et al., and obtain the dispersion relation of the collective modes for arbitrary statistical parameters.

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20

Buhmann, Stefan Yoshi, Hassan Safari, Dirk-Gunnar Welsch, and Ho Trung Dung. "Microscopic Origin of Casimir-Polder Forces." Open Systems & Information Dynamics 13, no. 04 (2006): 427–36. http://dx.doi.org/10.1007/s11080-006-9024-0.

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We establish a general relation between dispersion forces. First, based on QED in causal media, leading-order perturbation theory is used to express both the single-atom Casimir-Polder and the two-atom van der Waals potentials in terms of the atomic polarizabilities and the Green tensor for the body-assisted electromagnetic field. Endowed with this geometry-independent framework, we then employ the Born expansion of the Green tensor together with the Clausius-Mosotti relation to prove that the macroscopic Casimir-Polder potential of an atom in the presence of dielectric bodies is due to an inf

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21

Obłój, Jan, and Johannes Wiesel. "A unified framework for robust modelling of financial markets in discrete time." Finance and Stochastics 25, no. 3 (2021): 427–68. http://dx.doi.org/10.1007/s00780-021-00454-7.

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AbstractWe unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in finite discrete time. In particular, we prove a fundamental theorem of asset pricing and a superhedging theorem which encompass the formulations of Bouchard and Nutz [12] and Burzoni et al. [13]. In bringing the two streams of literature together, we examine and compare their many different notions of arbitrage. We also clarify the relation between robust and classical ℙ-specific results. Furthermore, we prove when a superhedging property with respect to the

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22

Bulinski, Alexander, and Alexey Kozhevin. "Statistical estimation of conditional Shannon entropy." ESAIM: Probability and Statistics 23 (2019): 350–86. http://dx.doi.org/10.1051/ps/2018026.

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The new estimates of the conditional Shannon entropy are introduced in the framework of the model describing a discrete response variable depending on a vector of d factors having a density w.r.t. the Lebesgue measure in ℝd. Namely, the mixed-pair model (X, Y ) is considered where X and Y take values in ℝd and an arbitrary finite set, respectively. Such models include, for instance, the famous logistic regression. In contrast to the well-known Kozachenko–Leonenko estimates of unconditional entropy the proposed estimates are constructed by means of the certain spacial order statistics (or k-nea

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23

XIE, XILIN. "A FRAMEWORK OF EXPERIMENTAL STUDIES ON SPATIAL DYNAMICS OF OPEN FLOWS." Modern Physics Letters B 19, no. 28n29 (2005): 1599–602. http://dx.doi.org/10.1142/s0217984905010001.

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A novel framework of experimental studies on spatial dynamics of open flows has been put forward. The equivalence between global relations that bridge the relations in the momentum sense between two arbitrary points in a flow field and the NSE in the temporal Fourier series form has been proved mathematically. Furthermore, the global relations in the energy sense can be deduced.

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Łepek, Michal, Agata Fronczak, and Piotr Fronczak. "Coalescense with arbitrary-parameter kernels and monodisperse initial conditions: A study within combinatorial framework." Reports on Mathematical Physics 88, no. 1 (2021): 89–113. http://dx.doi.org/10.1016/s0034-4877(21)00058-6.

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25

Verotta, Davide, Janus Haagensen, Alfred M. Spormann, and Katherine Yang. "Mathematical Modeling of Biofilm Structures Using COMSTAT Data." Computational and Mathematical Methods in Medicine 2017 (2017): 1–11. http://dx.doi.org/10.1155/2017/7246286.

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Mathematical modeling holds great potential for quantitatively describing biofilm growth in presence or absence of chemical agents used to limit or promote biofilm growth. In this paper, we describe a general mathematical/statistical framework that allows for the characterization of complex data in terms of few parameters and the capability to (i) compare different experiments and exposures to different agents, (ii) test different hypotheses regarding biofilm growth and interaction with different agents, and (iii) simulate arbitrary administrations of agents. The mathematical framework is divi

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Kaniowski, Krzysztof, Katarzyna Lubnauer, and Andrzej Łuczak. "Quantum Blackwell–Sherman–Stein Theorem and Related Results." Open Systems & Information Dynamics 20, no. 04 (2013): 1350017. http://dx.doi.org/10.1142/s1230161213500170.

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We investigate the problem of comparing quantum statistical models in the general operator algebra framework in arbitrary dimension, thus generalizing results obtained so far in finite dimension, and for the full algebra of operators on a Hilbert space. In particular, the quantum Blackwell–Sherman–Stein theorem is obtained, and informational subordination of quantum information structures is characterized.

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Xu, Weikai, Yingchun Tang, Meng Zhang, Wuchao Qi, and Wei Wang. "Arbitrary shaped acoustic omnidirectional absorber based on transformation theory." International Journal of Modern Physics B 34, no. 11 (2020): 2050111. http://dx.doi.org/10.1142/s0217979220501118.

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In this study, an arbitrary shaped acoustic omnidirectional absorber (AOA) is achieved for absorbing incoming acoustic/elastic waves in the ambient environment. Using the transformation acoustics theory, we present a theoretical framework for two-dimensional acoustic path guidance around arbitrary shapes for which the material parameters in the transformed space can be obtained analytically. Results indicate that the transformed space is distorted rather than compressed; numerical simulations confirm that these absorbers exhibit a remarkably large absorption and that the proposed method can co

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ASCHBACHER, WALTER H. "FROM THE MICROSCOPIC TO THE VAN HOVE REGIME IN THE XY CHAIN OUT OF EQUILIBRIUM." Reviews in Mathematical Physics 25, no. 05 (2013): 1330008. http://dx.doi.org/10.1142/s0129055x13300082.

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Using the framework of rigorous algebraic quantum statistical mechanics, we construct the unique nonequilibrium steady state in the isotropic XY chain in which a sample of arbitrary finite size is coupled by a bond coupling perturbation of arbitrary strength to two infinitely extended thermal reservoirs, and we prove that this state is thermodynamically nontrivial. Moreover, extracting the leading second-order contribution to its microscopic entropy production and deriving its entropy production in the van Hove weak coupling regime, we prove that, in the mathematically and physically important

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Steinemann, Anne, Sam F. Iacobellis, and Daniel R. Cayan. "Developing and Evaluating Drought Indicators for Decision-Making." Journal of Hydrometeorology 16, no. 4 (2015): 1793–803. http://dx.doi.org/10.1175/jhm-d-14-0234.1.

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Abstract Drought indicators can help to detect, assess, and reduce impacts of drought. However, existing indicators often have deficiencies that limit their effectiveness, such as statistical inconsistency, noncomparability, arbitrary metrics, and lack of historic context. Further, indicators selected for drought plans may be only marginally useful, and relatively little prior work has investigated ways to design operationally practical indicators. This study devises a generalizable approach, based on feedback from users, to develop and evaluate indicators for decision-making. This approach em

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Chernichenko, Yu D., L. P. Kaptari, and O. P. Solovtsova. "On Threshold Resummation S-Factor for a System of Two Relativistic Spinor Particles with Arbitrary Masses." Nonlinear Phenomena in Complex Systems 23, no. 4 (2020): 449–60. http://dx.doi.org/10.33581/1561-4085-2020-23-4-449-460.

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We present a new threshold resummation S-factor obtained for a composite system of two relativistic spin 1/2 particles of arbitrary masses interacting via a Coulomb-like chromodynamical potential. The analysis is performed in the framework of a relativistic quasipotential approach in the Hamiltonian formulation of the quantum field theory in the relativistic configuration representation. The pseudoscalar, vector, and pseudovector systems are considered. The difference in the behavior of the S-factor for these cases is discussed. A connection between the new and the previously obtained S-factor

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31

Sato, T., and Y. Kameya. "Parameter Learning of Logic Programs for Symbolic-Statistical Modeling." Journal of Artificial Intelligence Research 15 (December 1, 2001): 391–454. http://dx.doi.org/10.1613/jair.912.

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We propose a logical/mathematical framework for statistical parameter learning of parameterized logic programs, i.e. definite clause programs containing probabilistic facts with a parameterized distribution. It extends the traditional least Herbrand model semantics in logic programming to distribution semantics, possible world semantics with a probability distribution which is unconditionally applicable to arbitrary logic programs including ones for HMMs, PCFGs and Bayesian networks. We also propose a new EM algorithm, the graphical EM algorithm, that runs for a class of parameterized logic pr

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Kim, Seong-Eun, Michael K. Behr, Demba Ba, and Emery N. Brown. "State-space multitaper time-frequency analysis." Proceedings of the National Academy of Sciences 115, no. 1 (2017): E5—E14. http://dx.doi.org/10.1073/pnas.1702877115.

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Time series are an important data class that includes recordings ranging from radio emissions, seismic activity, global positioning data, and stock prices to EEG measurements, vital signs, and voice recordings. Rapid growth in sensor and recording technologies is increasing the production of time series data and the importance of rapid, accurate analyses. Time series data are commonly analyzed using time-varying spectral methods to characterize their nonstationary and often oscillatory structure. Current methods provide local estimates of data features. However, they do not offer a statistical

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33

Katzenbeisser, W., and W. Panny. "Simple random walk statistics. Part I: Discrete time results." Journal of Applied Probability 33, no. 2 (1996): 311–30. http://dx.doi.org/10.2307/3215056.

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In a famous paper, Dwass (1967) proposed a method to deal with rank order statistics, which constitutes a unifying framework to derive various distributional results. In the present paper an alternative method is presented, which allows us to extend Dwass's results in several ways, namely arbitrary endpoints, horizontal steps and arbitrary probabilities for the three step types. Regarding these extensions the pertaining rank order statistics are extended as well to simple random walk statistics. This method has proved appropriate to generalize all results given by Dwass. Moreover, these discre

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Norberg, Ragnar, and Mogens Steffensen. "What is the time value of a stream of investments?" Journal of Applied Probability 42, no. 3 (2005): 861–66. http://dx.doi.org/10.1239/jap/1127322033.

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The titular question is investigated for fairly general semimartingale investment and asset price processes. A discrete-time consideration suggests a stochastic differential equation and an integral expression for the time value in the continuous-time framework. It is shown that the two are equivalent if the jump part of the price process converges. The integral expression, which is the answer to the titular question, is the sum of all investments accumulated with returns on the asset (a stochastic integral) plus a term that accounts for the possible covariation between the two processes. The

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Miller, David J., and Lian Yan. "Approximate Maximum Entropy Joint Feature Inference Consistent with Arbitrary Lower-Order Probability Constraints: Application to Statistical Classification." Neural Computation 12, no. 9 (2000): 2175–207. http://dx.doi.org/10.1162/089976600300015105.

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We propose a new learning method for discrete space statistical classifiers. Similar to Chow and Liu (1968) and Cheeseman (1983), we cast classification/inference within the more general framework of estimating the joint probability mass function (p.m.f.) for the (feature vector, class label) pair. Cheeseman's proposal to build the maximum entropy (ME) joint p.m.f. consistent with general lower-order probability constraints is in principle powerful, allowing general dependencies between features. However, enormous learning complexity has severely limited the use of this approach. Alternative m

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Isar, Aurelian. "Entanglement Generation and Evolution in Open Quantum Systems." Open Systems & Information Dynamics 16, no. 02n03 (2009): 205–19. http://dx.doi.org/10.1142/s1230161209000153.

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In the framework of the theory of open systems based on completely positive quantum dynamical semigroups, we study the continuous variable entanglement for a system consisting of two independent harmonic oscillators interacting with a general environment. We solve the Kossakowski-Lindblad master equation for the time evolution of the considered system and describe the entanglement in terms of the covariance matrix for an arbitrary Gaussian input state. Using Peres–Simon necessary and sufficient criterion for separability of two-mode Gaussian states, we show that for certain values of diffusion

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Posner, Eric, and E. Glen Weyl. "Benefit-Cost Analysis for Financial Regulation." American Economic Review 103, no. 3 (2013): 393–97. http://dx.doi.org/10.1257/aer.103.3.393.

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Calls for benefit-cost analysis in rule-making, based on the Dodd-Frank Wall Street Reform Act, have revealed a paucity of work on allocative efficiency in financial markets. We propose three principles to help fill this gap. First, we highlight the need for quantifying the statistical cost of a crisis to trade off the risk of a crisis against loss of growth during good times. Second, we propose a framework quantifying the social value of price discovery, and highlighting which arbitrages are over- and under-supplied from a social perspective. Finally, we distinguish between insurance benefits

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Ketterer, Andreas, Nikolai Wyderka, and Otfried Gühne. "Entanglement characterization using quantum designs." Quantum 4 (September 16, 2020): 325. http://dx.doi.org/10.22331/q-2020-09-16-325.

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We present in detail a statistical approach for the reference-frame-independent detection and characterization of multipartite entanglement based on moments of randomly measured correlation functions. We start by discussing how the corresponding moments can be evaluated with designs, linking methods from group and entanglement theory. Then, we illustrate the strengths of the presented framework with a focus on the multipartite scenario. We discuss a condition for characterizing genuine multipartite entanglement for three qubits, and we prove criteria that allow for a discrimination of W-type e

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Tsukada, Hiroshi. "Tanaka formula for strictly stable processes." Probability and Mathematical Statistics 39, no. 1 (2019): 39–60. http://dx.doi.org/10.19195/0208-4147.39.1.3.

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For symmetric Levy processes, if the local times exist, the Tanaka formula has already been constructed via the techniques in the potential theory by Salminen and Yor 2007. In this paper, we study the Tanaka formula for arbitrary strictly stable processes with index α ∈ 1, 2, including spectrally positive and negative cases in a framework of Ito’s stochastic calculus. Our approach to the existence of local times for such processes is different from that of Bertoin 1996.

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Carlen, Eric A., and Jan Maas. "Non-commutative Calculus, Optimal Transport and Functional Inequalities in Dissipative Quantum Systems." Journal of Statistical Physics 178, no. 2 (2019): 319–78. http://dx.doi.org/10.1007/s10955-019-02434-w.

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AbstractWe study dynamical optimal transport metrics between density matrices associated to symmetric Dirichlet forms on finite-dimensional $$C^*$$ C ∗ -algebras. Our setting covers arbitrary skew-derivations and it provides a unified framework that simultaneously generalizes recently constructed transport metrics for Markov chains, Lindblad equations, and the Fermi Ornstein–Uhlenbeck semigroup. We develop a non-nommutative differential calculus that allows us to obtain non-commutative Ricci curvature bounds, logarithmic Sobolev inequalities, transport-entropy inequalities, and spectral gap es

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Chen, Bo-Hung, and Dah-Wei Chiou. "An elementary proof and detailed investigation of the bulk-boundary correspondence in the generic two-band model of Chern insulators." International Journal of Modern Physics B 35, no. 04 (2021): 2150050. http://dx.doi.org/10.1142/s0217979221500508.

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With the inclusion of arbitrary long-range hopping and (pseudo)spin–orbit coupling amplitudes, we formulate a generic model that can describe any two-dimensional two-band bulk insulators, thus providing a simple framework to investigate arbitrary adiabatic deformations upon the systems of any arbitrary Chern numbers. Without appealing to advanced techniques beyond the standard methods of solving linear difference equations and applying Cauchy’s integral formula, we obtain a mathematically elementary yet rigorous proof of the bulk-boundary correspondence on a strip, which is robust against any

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Alberici, Diego, Pierluigi Contucci, and Emanuele Mingione. "Deep Boltzmann Machines: Rigorous Results at Arbitrary Depth." Annales Henri Poincaré 22, no. 8 (2021): 2619–42. http://dx.doi.org/10.1007/s00023-021-01027-2.

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AbstractA class of deep Boltzmann machines is considered in the simplified framework of a quenched system with Gaussian noise and independent entries. The quenched pressure of a K-layers spin glass model is studied allowing interactions only among consecutive layers. A lower bound for the pressure is found in terms of a convex combination of K Sherrington–Kirkpatrick models and used to study the annealed and replica symmetric regimes of the system. A map with a one-dimensional monomer–dimer system is identified and used to rigorously control the annealed region at arbitrary depth K with the me

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Pataky, Todd C., Mark A. Robinson, and Jos Vanrenterghem. "Region-of-interest analyses of one-dimensional biomechanical trajectories: bridging 0D and 1D theory, augmenting statistical power." PeerJ 4 (November 2, 2016): e2652. http://dx.doi.org/10.7717/peerj.2652.

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One-dimensional (1D) kinematic, force, and EMG trajectories are often analyzed using zero-dimensional (0D) metrics like local extrema. Recently whole-trajectory 1D methods have emerged in the literature as alternatives. Since 0D and 1D methods can yield qualitatively different results, the two approaches may appear to be theoretically distinct. The purposes of this paper were (a) to clarify that 0D and 1D approaches are actually just special cases of a more general region-of-interest (ROI) analysis framework, and (b) to demonstrate how ROIs can augment statistical power. We first simulated mil

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MOROSI, CARLO, and LIVIO PIZZOCCHERO. "ON APPROXIMATE SOLUTIONS OF SEMILINEAR EVOLUTION EQUATIONS II: GENERALIZATIONS, AND APPLICATIONS TO NAVIER–STOKES EQUATIONS." Reviews in Mathematical Physics 20, no. 06 (2008): 625–706. http://dx.doi.org/10.1142/s0129055x08003407.

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In our previous paper [12], a general framework was outlined to treat the approximate solutions of semilinear evolution equations; more precisely, a scheme was presented to infer from an approximate solution the existence (local or global in time) of an exact solution, and to estimate their distance. In the first half of the present work, the abstract framework of [12] is extended, so as to be applicable to evolutionary PDEs whose nonlinearities contain derivatives in the space variables. In the second half of the paper, this extended framework is applied to the incompressible Navier–Stokes eq

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Hanin, L. G., S. T. Rachev, and A. Yu Yakovlev. "On the optimal control of cancer radiotherapy for non-homogeneous cell populations." Advances in Applied Probability 25, no. 1 (1993): 1–23. http://dx.doi.org/10.2307/1427493.

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Optimization problems in cancer radiation therapy are considered, with the efficiency functional defined as the difference between expected survival probabilities for normal and neoplastic tissues. Precise upper bounds of the efficiency functional over natural classes of cellular response functions are found. The ‘Lipschitz' upper bound gives rise to a new family of probability metrics. In the framework of the ‘m hit-one target' model of irradiated cell survival the problem of optimal fractionation of the given total dose into n fractions is treated. For m = 1, n arbitrary, and n = 1, 2, m arb

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Xu, Jiajun, and Shuzhen Yao. "Software Reliability Growth Model with Partial Differential Equation for Various Debugging Processes." Mathematical Problems in Engineering 2016 (2016): 1–13. http://dx.doi.org/10.1155/2016/2476584.

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Most Software Reliability Growth Models (SRGMs) based on the Nonhomogeneous Poisson Process (NHPP) generally assume perfect or imperfect debugging. However, environmental factors introduce great uncertainty for SRGMs in the development and testing phase. We propose a novel NHPP model based on partial differential equation (PDE), to quantify the uncertainties associated with perfect or imperfect debugging process. We represent the environmental uncertainties collectively as a noise of arbitrary correlation. Under the new stochastic framework, one could compute the full statistical information o

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Pavlov, Evgen, Makoto Taiji, Arturs Scukins, Anton Markesteijn, Sergey Karabasov, and Dmitry Nerukh. "Visualising and controlling the flow in biomolecular systems at and between multiple scales: from atoms to hydrodynamics at different locations in time and space." Faraday Discuss. 169 (2014): 285–302. http://dx.doi.org/10.1039/c3fd00159h.

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A novel framework for modelling biomolecular systems at multiple scales in space and time simultaneously is described. The atomistic molecular dynamics representation is smoothly connected with a statistical continuum hydrodynamics description. The system behaves correctly at the limits of pure molecular dynamics (hydrodynamics) and at the intermediate regimes when the atoms move partly as atomistic particles, and at the same time follow the hydrodynamic flows. The corresponding contributions are controlled by a parameter, which is defined as an arbitrary function of space and time, thus, allo

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Liu, Yang, Qun Liu, and Shouxun Lin. "Discriminative Word Alignment by Linear Modeling." Computational Linguistics 36, no. 3 (2010): 303–39. http://dx.doi.org/10.1162/coli_a_00001.

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Word alignment plays an important role in many NLP tasks as it indicates the correspondence between words in a parallel text. Although widely used to align large bilingual corpora, generative models are hard to extend to incorporate arbitrary useful linguistic information. This article presents a discriminative framework for word alignment based on a linear model. Within this framework, all knowledge sources are treated as feature functions, which depend on a source language sentence, a target language sentence, and the alignment between them. We describe a number of features that could produc

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Engsner, Hampus, Kristoffer Lindensjö, and Filip Lindskog. "The value of a liability cash flow in discrete time subject to capital requirements." Finance and Stochastics 24, no. 1 (2019): 125–67. http://dx.doi.org/10.1007/s00780-019-00408-0.

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Abstract The aim of this paper is to define the market-consistent multi-period value of an insurance liability cash flow in discrete time subject to repeated capital requirements, and explore its properties. In line with current regulatory frameworks, the presented approach is based on a hypothetical transfer of the original liability and a replicating portfolio to an empty corporate entity, whose owner must comply with repeated one-period capital requirements but has the option to terminate the ownership at any time. The value of the liability is defined as the no-arbitrage price of the cash

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Ruan, Yong-Hong, Qing-Hu Chen, and Zheng-Kuan Jiao. "Variational Path-Integral Study on a Bipolaron in a Parabolic Quantum Wire or Well." International Journal of Modern Physics B 17, no. 22n24 (2003): 4332–37. http://dx.doi.org/10.1142/s0217979203022404.

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The expression of the ground-state energy of a bipolaron in a parabolic quantum wire or well is derived within the framework of Feynman variational path-integral theory. We obtain a general result with arbitrary electron-phonon coupling constant, confining potential strength, and ratio of dielectric constants, which could be used for further numerical calculation of bipolaron properties. Moreover, it is shown that all previous path-integral formula for a bipolaron in a parabolic quantum wire, quantum well or quantum dot can be recovered in the present formalism.

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