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In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock prices fluctuate with time, showing interesting evolutionary patterns, especial... |
The use of sequential Monte Carlo within simulation for path-dependent option pricing is proposed and evaluated. Recently, it was shown that explicit solutions and importance sampling are valuable for efficient simulation of spot price and volatility, especially for purposes of path-dependent option pricing. |
In this paper we explore the usage of deep reinforcement learning algorithms to automatically generate consistently profitable, robust, uncorrelated trading signals in any general financial market. In order to do this, we present a novel Markov decision process (MDP) model to capture the financial trading markets. |
The COS method is a very efficient way to compute European option prices under Lévy models or affine stochastic volatility models, based on a Fourier Cosine expansion of the density, involving the characteristic function. This note shows how to compute the COS method formula with a non-uniform fast Fourier transform, ... |
Volatility prediction for financial assets is one of the essential questions for understanding financial risks and quadratic price variation. However, although many novel deep learning models were recently proposed, they still have a "hard time" surpassing strong econometric volatility models. |
The pricing of American style and multiple exercise options is a very challenging problem in mathematical finance. One usually employs a Least-Square Monte Carlo approach (Longstaff-Schwartz method) for the evaluation of conditional expectations which arise in the Backward Dynamic Programming principle for such optima... |
With the increasing enrichment and development of the financial derivatives market, the frequency of transactions is also faster and faster. Due to human limitations, algorithms and automatic trading have recently become the focus of discussion. |
For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is a process with independent increments (PII) and an exponential of a PII process. This allows to provide an efficient algorithm for solving the mean variance hedging problem. |
The Black-Scholes model, defined under the assumption of a perfect financial market, theoretically creates a flawless hedging strategy allowing the trader to evade risks in a portfolio of options. However, the concept of a "perfect financial market," which requires zero transaction and continuous trading, is c... |
A pair trade is a portfolio consisting of a long position in one asset and a short position in another, and it is a widely applied investment strategy in the financial industry. Recently, Ekström, Lindberg and Tysk studied the problem of optimally closing a pair trading strategy when the difference of the two assets i... |
In this paper we propose an efficient method to compute the price of multi-asset American options, based on Machine Learning, Monte Carlo simulations and variance reduction technique. Specifically, the options we consider are written on a basket of assets, each of them following a Black-Scholes dynamics. |
In this paper, the cross-correlations of cryptocurrency returns are analysed. The paper examines one years worth of data for 146 cryptocurrencies from the period January 1 2019 to December 31 2019. |
The Constant Elasticity of Variance (CEV) model significantly outperforms the Black-Scholes (BS) model in forecasting both prices and options. Furthermore, the CEV model has a marked advantage in capturing basic empirical regularities such as: heteroscedasticity, the leverage effect, and the volatility smile. |
We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained firms. The value function is proved to be the unique viscosity solution of the associated Hamilton-Jacobi-Bellman equation. |
A new standpoint on financial time series, without the use of any mathematical model and of probabilistic tools, yields not only a rigorous approach of trends and volatility, but also efficient calculations which were already successfully applied in automatic control and in signal processing. It is based on a theorem ... |
In recent years, group equivariant non-expansive operators (GENEOs) have attracted attention in the fields of Topological Data Analysis and Machine Learning. In this paper we show how these operators can be of use also for the removal of impulsive noise and to increase the stability of TDA in the presence of noisy dat... |
We show that every planar graph can be represented by a monotone topological 2-page book embedding where at most 15n/16 (of potentially 3n-6) edges cross the spine exactly once. |
The crossing number is the smallest number of pairwise edge-crossings when drawing a graph into the plane. There are only very few graph classes for which the exact crossing number is known or for which there at least exist constant approximation ratios. |
Given two combinatorial triangulations, how many edge flips are necessary and sufficient to convert one into the other? This question has occupied researchers for over 75 years. |
We show that the max-min-angle polygon in a planar point set can be found in time $O(n\log n)$ and a max-min-solid-angle convex polyhedron in a three-dimensional point set can be found in time $O(n^2)$. We also study the maxmin-angle polygonal curve in 3d, which we show to be $\mathsf{NP}$-hard to find if repetitions ... |
We review the theory of, and develop algorithms for transforming a finite point set in ${\bf R}^d$ into a set in \emph{radial isotropic position} by a nonsingular linear transformation followed by rescaling each image point to the unit sphere. This problem arises in a wide spectrum of applications in computer science ... |
We study colored coverage and clustering problems. Here, we are given a colored point set where the points are covered by (unknown) $k$ clusters, which are monochromatic (i.e., all the points covered by the same cluster, have the same color). |
The Fréchet distance is a computational mainstay for comparing polygonal curves. The Fréchet distance under translation, which is a translation invariant version, considers the similarity of two curves independent of their location in space. |
We give a randomized O(n polylog n)-time approximation scheme for the Steiner forest problem in the Euclidean plane. For every fixed eps > 0 and given n terminals in the plane with connection requests between some pairs of terminals, our scheme finds a (1 + eps)-approximation to the minimum-length forest that conne... |
Let $S$ be a set of $n$ points in general position in the plane, $r$ of which are red and $b$ of which are blue. In this paper we prove that there exist: for every $\alpha \in \left [ 0,\frac{1}{2} \right ]$, a convex set containing exactly $\lceil \alpha r\rceil$ red points and exactly $\lceil \alpha b \rceil$ blue p... |
We study the problem of arranging a set of $n$ disks with prescribed radii on $n$ rays emanating from the origin such that two neighboring rays are separated by an angle of $2\pi/n$. The center of the disks have to lie on the rays, and no two disk centers are allowed to lie on the same ray. |
Compressed manifold modes are locally supported analogues of eigenfunctions of the Laplace-Beltrami operator of a manifold. In this paper we describe an algorithm for the calculation of modes for discrete manifolds that, in experiments, requires on average 47% fewer iterations and 44% less time than the previous algor... |
Simplets, constituting elementary units within simplicial complexes (SCs), serve as foundational elements for the structural analysis of SCs. Previous efforts have focused on the exact count or approximation of simplet count rather than their frequencies, with the latter being more practical in large-scale SCs. |
We consider the unlabeled motion-planning problem of $m$ unit-disc robots moving in a simple polygonal workspace of $n$ edges. The goal is to find a motion plan that moves the robots to a given set of $m$ target positions. |
In this article, we consider the $c$-dispersion problem in a metric space $(X,d)$. Let $P=\{p_{1}, p_{2}, \ldots, p_{n}\}$ be a set of $n$ points in a metric space $(X,d)$. |
Given a point set $P$ in a metric space and a real number $t \geq 1$, an \emph{oriented $t$-spanner} is an oriented graph $\overrightarrow{G}=(P,\overrightarrow{E})$, where for every pair of distinct points $p$ and $q$ in $P$, the shortest oriented closed walk in $\overrightarrow{G}$ that contains $p$ and $q$ is at mos... |
We resolve a conjecture posed by Covella, Frati and Patrignani by proving the straight-line orthogonal drawing of the complete ternary tree with $n$ nodes satisfying the subtree separation property with smallest area has area $\Omega(n^{1.031})$. We also improve the upper bound of this area to $O(n^{1.032})$. |
Persistence diagrams (PD)s play a central role in topological data analysis, and are used in an ever increasing variety of applications. The comparison of PD data requires computing comparison metrics among large sets of PDs, with metrics which are accurate, theoretically sound, and fast to compute. |
An orthogonal polygon is called an ortho-unit polygon if its vertices have integer coordinates, and all of its edges have length one. In this paper we prove that any ortho-unit polygon with $n \geq 12$ vertices can be guarded with at most $\lfloor \frac{n-4}{8} \rfloor$ guards, which is a tight bound. |
We consider longstanding questions concerning configuration spaces of 1-dof tree-decomposable linkages in 2D. By employing the notion Cayley configuration space, i.e., a set of intervals of realizable distance-values for an independent non-edge, we answer the following. |
Exploiting geometric structure to improve the asymptotic complexity of discrete assignment problems is a well-studied subject. In contrast, the practical advantages of using geometry for such problems have not been explored. |
One of the open problems posed in [3] is: what is the minimal number k such that an open, flexible k-chain can interlock with a flexible 2-chain? In this paper, we establish the assumption behind this problem, that there is indeed some k that achieves interlocking. |
In this paper, we present an algorithm that computes the generalized Čech complex for a finite set of disks where each may have a different radius in 2D space. An extension of this algorithm is also proposed for a set of balls in 3D space with different radius. |
In this paper, we revisit the Minimum Enclosing Ball (MEB) problem and its robust version, MEB with outliers, in Euclidean space $\mathbb{R}^d$. Though the problem has been extensively studied before, most of the existing algorithms need at least linear time (in the number of input points $n$ and the dimensionality $d... |
A hinged dissection of a set of polygons S is a collection of polygonal pieces hinged together at vertices that can be folded into any member of S. We present a hinged dissection of all edge-to-edge gluings of n congruent copies of a polygon P that join corresponding edges of P. This construction uses kn pieces, where ... |
We consider a class of problems of Discrete Tomography which has been deeply investigated in the past: the reconstruction of convex lattice sets from their horizontal and/or vertical X-rays, i.e. from the number of points in a sequence of consecutive horizontal and vertical lines. The reconstruction of the HV-convex p... |
The Hausdorff distance, the Gromov-Hausdorff, the Fréchet and the natural pseudo-distances are instances of dissimilarity measures widely used in shape comparison. We show that they share the property of being defined as $\inf_\rho F(\rho)$ where $F$ is a suitable functional and $\rho$ varies in a set of correspondenc... |
Simple drawings are drawings of graphs in which the edges are Jordan arcs and each pair of edges share at most one point (a proper crossing or a common endpoint). We introduce a special kind of simple drawings that we call generalized twisted drawings. |
We show that in the hierarchical tile assembly model, if there is a producible assembly that overlaps a nontrivial translation of itself consistently (i.e., the pattern of tile types in the overlap region is identical in both translations), then arbitrarily large assemblies are producible. The significance of this res... |
We study a geometric representation problem, where we are given a set $\cal R$ of axis-aligned rectangles with fixed dimensions and a graph with vertex set $\cal R$. The task is to place the rectangles without overlap such that two rectangles touch if and only if the graph contains an edge between them. |
Random graphs are mathematical models that have applications in a wide range of domains. We study the following model where one adds Erdős--Rényi (ER) type perturbation to a random geometric graph. |
Given a curve $P$ with points in $\mathbb{R}^d$ in a streaming fashion, and parameters $\varepsilon>0$ and $k$, we construct a distance oracle that uses $O(\frac{1}{\varepsilon})^{kd}\log\varepsilon^{-1}$ space, and given a query curve $Q$ with $k$ points in $\mathbb{R}^d$, returns in $\tilde{O}(kd)$ time a $1+\vare... |
We describe a new algorithm for computing the Voronoi diagram of a set of $n$ points in constant-dimensional Euclidean space. <br>The running time of our algorithm is $O(f \log n \log \Delta)$ where $f$ is the output complexity of the Voronoi diagram and $\Delta$ is the spread of the input, the ratio of largest to sma... |
In this paper we study the most-demanding predicate for computing the Euclidean Voronoi diagram of axes-aligned line segments, namely the Incircle predicate. Our contribution is two-fold: firstly, we describe, in algorithmic terms, how to compute the Incircle predicate for axes-aligned line segments, and secondly we c... |
Writing an uncomplicated, robust, and scalable three-dimensional convex hull algorithm is challenging and problematic. This includes, coplanar and collinear issues, numerical accuracy, performance, and complexity trade-offs. |
A pseudo-polynomial time $(1 + \varepsilon)$-approximation algorithm is presented for computing the integral and average Fréchet distance between two given polygonal curves $T_1$ and $T_2$. In particular, the running time is upper-bounded by $\mathcal{O}( \zeta^{4}n^4/\varepsilon^{2})$ where $n$ is the complexity of $... |
The Voronoi Covariance Measure of a compact set K of R^d is a tensor-valued measure that encodes geometric information on K and which is known to be resilient to Hausdorff noise but sensitive to outliers. In this article, we generalize this notion to any distance-like function delta and define the delta-VCM. |
Merge trees are fundamental structures in topological data analysis. Interleaving distance is a widely accepted metric for comparing merge trees, with applications in visualization and scientific computing. |
We consider the embeddability problem of a graph G into a two-dimensional simplicial complex C: Given G and C, decide whether G admits a topological embedding into C. The problem is NP-hard, even in the restricted case where C is homeomorphic to a surface. We prove that the problem is fixed-parameter tractable in the ... |
We introduce a fast and memory efficient approach to compute the persistent homology (PH) of a sequence of simplicial complexes. The basic idea is to simplify the complexes of the input sequence by using strong collapses, as introduced by J. Barmak and E. Miniam [DCG (2012)], and to compute the PH of an induced sequen... |
This paper concerns the forward kinematics and tension distribution of sinking winches mechanism, which is a type of four-cable-driven partly constrained parallel robot. Conventional studies on forward kinematics of cable-driven parallel robot assumed that all cables are taut. |
Algorithmic self-assembly occurs when disorganized components autonomously combine to form structures and, by their design and the dynamics of the system, are forced to follow the execution of algorithms. Motivated by applications in DNA-nanotechnology, investigations in algorithmic tile-based self-assembly have bloss... |
The task of finding the optimal compression of a polyline with straight-line segments and arcs is performed in many applications, such as polyline compression, noise filtering, and feature recognition. Optimal compression algorithms find the best solution using the dynamic programming approach, which requires a signif... |
Greedy embedding (or drawing) is a simple and efficient strategy to route messages in wireless sensor networks. For each source-destination pair of nodes s, t in a greedy embedding there is always a neighbor u of s that is closer to t according to some distance metric. |
We present a novel GPU-accelerated implementation of the QuickHull algorihtm for calculating convex hulls of planar point sets. We also describe a practical solution to demonstrate how to efficiently implement a typical Divide-and-Conquer algorithm on the GPU. |
Cartograms are maps that rescale geographic regions (e.g., countries, districts) such that their areas are proportional to quantitative demographic data (e.g., population size, gross domestic product). Unlike conventional bar or pie charts, cartograms can represent correctly which regions share common borders, resulti... |
Convex polyhedra are the basis for several abstractions used in static analysis and computer-aided verification of complex and sometimes mission critical systems. For such applications, the identification of an appropriate complexity-precision trade-off is a particularly acute problem, so that the availability of a wi... |
We investigate the problem of drawing graphs in 2D and 3D such that their edges (or only their vertices) can be covered by few lines or planes. We insist on straight-line edges and crossing-free drawings. |
Projective geometry provides the preferred framework for most implementations of Euclidean space in graphics applications. Translations and rotations are both linear transformations in projective geometry, which helps when it comes to programming complicated geometrical operations. |
Recently proposed as a stable means of evaluating geometric compactness, the isoperimetric profile of a planar domain measures the minimum perimeter needed to inscribe a shape with prescribed area varying from 0 to the area of the domain. While this profile has proven valuable for evaluating properties of geographic p... |
We show that for large enough $n$, the number of non-isomorphic pseudoline arrangements of order $n$ is greater than $2^{c\cdot n^2}$ for some constant $c > 0.2604$, improving the previous best bound of $c>0.2083$ by Dumitrescu and Mandal (2020). Arrangements of pseudolines (and in particular arrangements of lin... |
In computer-aided design (CAD), the ability to "reverse engineer" the modeling steps used to create 3D shapes is a long-sought-after goal. This process can be decomposed into two sub-problems: converting an input mesh or point cloud into a boundary representation (or B-rep), and then inferring modeling operati... |
This paper considers a movement minimization problem for mobile sensors. Given a set of $n$ point targets, the $k$-Sink Minimum Movement Target Coverage Problem is to schedule mobile sensors, initially located at $k$ base stations, to cover all targets minimizing the total moving distance of the sensors. |
Consider an arrangement of $k$ lines intersecting the unit square. There is some minimum scaling factor so that any placement of a rectangle with aspect ratio $1 \times p$ with $p\geq 1$ must non-transversely intersect some portion of the arrangement or unit square. |
We present online deterministic algorithms for minimum coloring and minimum dominating set problems in the context of geometric intersection graphs. We consider a graph parameter: the independent kissing number $\zeta$, which is a number equal to `the size of the largest induced star in the graph $-1$'. |
We provide a lower bound construction showing that the union of unit balls in three-dimensional space has quadratic complexity, even if they all contain the origin. This settles a conjecture of Sharir. |
We address the problem of computing the minimum number of triangles to separate a set of blue points from a set of red points in $\mathbb{R}^2$. A set of triangles is a \emph{separator} of one color from the other if every point of that color is contained in some triangle and no triangle contains points of both colors... |
We study the problem of computing the free space F of a simple legged robot called the spider robot. The body of this robot is a single point and the legs are attached to the body. |
We consider a variant of the art gallery problem where all guards are limited to seeing to the right inside a monotone polygon. We call such guards: half-guards. |
We address the following problem: Given a simple polygon $P$ with $n$ vertices and two points $s$ and $t$ inside it, find a minimum link path between them such that a given target point $q$ is visible from at least one point on the path. The method is based on partitioning a portion of $P$ into a number of faces of eq... |
Based on the concepts of isovists and medial axes, we developed a set of algorithms that can automatically generate axial lines for representing individual linearly stretched parts of open space of an urban environment. Open space is the space between buildings, where people can freely move around. |
Given an unlabeled road map, we consider, from an algorithmic perspective, the cartographic problem to place non-overlapping road labels embedded in their roads. We first decompose the road network into logically coherent road sections, e.g., parts of roads between two junctions. |
This paper examines the approach taken by team gitastrophe in the CG:SHOP 2021 challenge. The challenge was to find a sequence of simultaneous moves of square robots between two given configurations that minimized either total distance travelled or makespan (total time). |
This paper studies empty squares in arbitrary orientation among a set $P$ of $n$ points in the plane. We prove that the number of empty squares with four contact pairs is between $\Omega(n)$ and $O(n^2)$, and that these bounds are tight, provided $P$ is in a certain general position. |
We study the problem of computing the Fréchet distance between two polygonal curves under transformations. First, we consider translations in the Euclidean plane. |
Motivated by a path planning problem we consider the following procedure. Assume that we have two points $s$ and $t$ in the plane and take $\mathcal{K}=\emptyset$. |
To date, location privacy protection is a critical issue in Location-Based Services (LBS). In this work, we propose a novel geometric framework based on the classical discrete geometric structure, the Voronoi-Delaunay duality (VDD). |
Deciding whether a family of disjoint line segments in the plane can be linked into a simple polygon (or a simple polygonal chain) by adding segments between their endpoints is NP-hard. |
We show that in the Klein projective ball model of hyperbolic space, the hyperbolic Voronoi diagram is affine and amounts to clip a corresponding power diagram, requiring however algebraic arithmetic. By considering the lesser-known Beltrami hemisphere model of hyperbolic geometry, we overcome the arithmetic limitatio... |
In this paper we consider finding a geometric minimum-sum dipolar spanning tree in R^3, and present an algorithm that takes O(n^2 log^2 n) time using O(n^2) space, thus almost matching the best known results for the planar case. Our solution uses an interesting result related to the complexity of the common intersecti... |
Recently, $p$-presentation distances for $p\in [1,\infty]$ were introduced for merge trees and multiparameter persistence modules as more sensitive variations of the respective interleaving distances ($p=\infty)$. It is well-known that computing the interleaving distance is NP-hard in both cases. |
This paper studies the geodesic diameter of polygonal domains having h holes and n corners. For simple polygons (i.e., h = 0), the geodesic diameter is determined by a pair of corners of a given polygon and can be computed in linear time, as known by Hershberger and Suri. |
Some new results about multidimensional Topological Persistence are presented, proving that the discontinuity points of a k-dimensional size function are necessarily related to the pseudocritical or special values of the associated measuring function. |
In this work, we develop a framework for shape analysis using inconsistent surface mapping. Traditional landmark-based geometric morphometrics methods suffer from the limited degrees of freedom, while most of the more advanced non-rigid surface mapping methods rely on a strong assumption of the global consistency of t... |
The displacement pattern arising from the decay of a two-dimensional Lamb-Oseen vortex in a Newtonian fluid can be closely modeled by the closed-form expression presented here. This formula enables Lamb-Oseen vortex simulation orders of magnitude faster than can be accomplished using finite-element methods, and withou... |
Large scale decentralized communication systems have introduced the new trend towards online routing where routing decisions are performed based on a limited and localized knowledge of the network. Geometrical greedy routing has been among the simplest and most common online routing schemes. |
We consider drawings of graphs in the plane in which edges are represented by polygonal paths with at most one bend and the number of different slopes used by all segments of these paths is small. We prove that $\lceil\frac{\Delta}{2}\rceil$ edge slopes suffice for outerplanar drawings of outerplanar graphs with maxim... |
We describe a new methodology for studying persistence of topological features across a family of spaces or point-cloud data sets, called zigzag persistence. Building on classical results about quiver representations, zigzag persistence generalises the highly successful theory of persistent homology and addresses seve... |
Fan-planar graphs were recently introduced as a generalization of 1-planar graphs. A graph is fan-planar if it can be embedded in the plane, such that each edge that is crossed more than once, is crossed by a bundle of two or more edges incident to a common vertex. |
Topological simplification of scalar and vector fields is well-established as an effective method for analysing and visualising complex data sets. For multi-field data, topological analysis requires simultaneous advances both mathematically and computationally. |
We propose an Euler transformation that transforms a given $d$-dimensional cell complex $K$ for $d=2,3$ into a new $d$-complex $\hat{K}$ in which every vertex is part of a uniform even number of edges. Hence every vertex in the graph $\hat{G}$ that is the $1$-skeleton of $\hat{K}$ has an even degree, which makes $\hat... |
Let $\Gamma$ be a straight-line drawing of a graph and let $u$ and $v$ be two vertices of $\Gamma$. The Gabriel disk of $u,v$ is the disk having $u$ and $v$ as antipodal points. |
A witness drawing of a graph is a visualization that clearly shows a given property of a graph. We study and implement various drawing paradigms for witness drawings to clearly show that graphs have bounded pathwidth or treewidth. |
Given a plane geometric graph $G$ on $n$ vertices, we want to augment it so that given parity constraints of the vertex degrees are met. In other words, given a subset $R$ of the vertices, we are interested in a plane geometric supergraph $G'$ such that exactly the vertices of $R$ have odd degree in $G'\setmin... |
We present an empirical analysis of data structures for approximate nearest neighbor searching. We compare the well-known optimized kd-tree splitting method against two alternative splitting methods. |
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