Searcharxiv⌕ Search

arXiv subjects

G. Papanicolaou

Publications and source records attributed to G. Papanicolaou.

2 recordsLinked to original sources

Statistical Arbitrage in Rank Space

Equity market dynamics are conventionally investigated in name space, where stocks are indexed by company names. However, this perspective often suffers from high volatility and a low signal-to-noise ratio, which poses challenges for effective learning by deep neural networks (DNNs). In contrast, by indexing stocks by their ranks in capitalization, we gain a distinct and more structured view of market behavior in rank space. In this work, we demonstrate that DNNs achieve superior performance in statistical arbitrage when operating in rank space compared to name space. This performance gain is driven by more robust market representations and enhanced mean-reverting properties of residual returns in rank space, which facilitate more efficient learning. Our findings highlight the critical role of domain-informed data transformation in improving deep learning performance in noisy financial environments.

q-fin.MF↗

Robust seismic velocity change estimation using ambient noise recordings

We consider the problem of seismic velocity change estimation using ambient noise recordings. Motivated by [23] we study how the velocity change estimation is affected by seasonal fluctuations in the noise sources. More precisely, we consider a numerical model and introduce spatio-temporal seasonal fluctuations in the noise sources. We show that indeed, as pointed out in [23], the stretching method is affected by these fluctuations and produces misleading apparent velocity variations which reduce dramatically the signal to noise ratio of the method. We also show that these apparent velocity variations can be eliminated by an adequate normalization of the cross-correlation functions. Theoretically we expect our approach to work as long as the seasonal fluctuations in the noise sources are uniform, an assumption which holds for closely located seismic stations. We illustrate with numerical simulations and real measurements that the proposed normalization significantly improves the accuracy of the velocity change estimation.

physics.geo-ph↗