Information‐Theoretic Approach to Financial Market Modeling
Mathematical Finance, EarlyView.ABSTRACT The paper treats the financial market as a communication system, using four information‐theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model maximizes the surprisal of the market and minimizes the Kullback–Leibler divergence between the benchmark‐neutral pricing
Eckhard Platen
wiley +1 more source
Nonnegative matrix factorization analysis and multiple machine learning methods identified IL17C and ACOXL as novel diagnostic biomarkers for atherosclerosis. [PDF]
BMC Bioinformatics, 2023 Rao L, Peng B, Li T.
europepmc +1 more source
libNMF - A Library for Nonnegative Matrix Factorization.
Comput. Informatics, 2011 We present libNMF -- a computationally efficient high performance library for computing nonnegative matrix factorizations (NMF) written in C. Various algorithms and algorithmic variants for computing NMF are supported. libNMF is based on external routines from BLAS (Basic Linear Algebra Subprograms), LAPack (Linear Algebra package) and ARPack, which ...
Janecek, Andreas +2 more
openaire +3 more sources
Mandate Models and the Inelastic Market Hypothesis
Mathematical Finance, EarlyView.ABSTRACT The aggregate equity market displays only small price elasticity; in particular, macroeconomic allocations in and out of the equity market lead to surprisingly large impacts on stock valuations. Gabaix and Koijen study this phenomenon and provide a theoretical framework to explain the observed price inelasticity. They consider financial agents
Johannes Ruf, Yueying Sun
wiley +1 more source
Semantic Non-Negative Matrix Factorization for Term Extraction
Big Data and Cognitive ComputingThis study introduces an unsupervised term extraction approach that combines non-negative matrix factorization (NMF) with word embeddings. Inspired by a pioneering semantic NMF method that employs regularization to jointly optimize document–word and word–
Aliya Nugumanova +4 more
doaj +1 more source
Two-Dimensional Semi-Nonnegative Matrix Factorization for Clustering. [PDF]
Inf Sci (N Y), 2022 Peng C +4 more
europepmc +1 more source
On Short‐Term Behavior of Implied Volatility for Index Options
Mathematical Finance, EarlyView.ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley +1 more source
Enhanced Extraction of Blood and Tissue Time-Activity Curves in Cardiac Mouse FDG PET Imaging by Means of Constrained Nonnegative Matrix Factorization. [PDF]
Int J Biomed Imaging, 2023 Sarrhini O +4 more
europepmc +1 more source
Is the World Getting Smaller? Network‐Driven Heterogeneity in Gravity‐Model Elasticities
The World Economy, EarlyView.ABSTRACT Gravity models constitute the workhorse of empirical international trade research, yet the temporal stability of their core parameters—distance and GDP elasticities—remains underexplored, particularly in relation to the evolving structure of trade networks.
Zsolt T. Kosztyán +2 more
wiley +1 more source
Measuring the Effect of Vision on the Synergy of Lower Extremity Muscles during Walking using Nonnegative Matrix Factorization (NNMF) Algorithm Method. [PDF]
Appl Bionics Biomech, 2023 Safari N +4 more
europepmc +1 more source