9 papers
A New Method for the Discovery of the Distant Exoplanets II: Question of Signal-to-Noise Ratio
Peter B. Lerner
Exoplanets with a long orbital period are difficult to discover by extant methods. Our first publication (Lerner, P., A. Mayer, T. E. Sullivan. 2023. A new method for the discovery…
Determination of language families using deep learning
Peter B. Lerner
We use a c-GAN (convolutional generative adversarial) neural network to analyze transliterated text fragments of extant, dead comprehensible, and one dead non-deciphered (Cypro-Min…
A Natural Copula
Peter B. Lerner
Copulas are widely used in financial economics as well as in other areas of applied mathematics. Yet, there is much arbitrariness in their choice. The author proposes "a natural co…
The market drives ETFs or ETFs the market: causality without Granger
Peter Lerner
This paper develops a deep learning-based econometric methodology to determine the causality of the financial time series. This method is applied to the imbalances in daily transac…
Transmission of market orders through communication line with relativistic delay
Peter B. Lerner
The notion of "relativistic finance" became ingrained in public imagination and has been asserted in many mass-media reports. Yet, despite an observed drive of the most reputable W…
Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010
P. B. Lerner
This paper proposes and motivates a dynamical model of the Chinese stock market based on a linear regression in a dual state space connected to the original state space of correlat…
The Fellowship of LIBOR: A Study of Spurious Interbank Correlations by the Method of Wigner-Ville Function
Peter B. Lerner
The manipulation of LIBOR by a group of banks became one of the major blows to the remaining confidence in financial industry. Yet, despite an enormous amount of popular literature…
Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That
Peter B. Lerner
The extremely useful method of Malliavin calculus has not yet gained adequate popularity because of the complicated analytic apparatus of this method. The author attempts here to p…
Patience vs. Impatience of Stock Traders
Peter Lerner
An ability to postpone one's execution without penalty provides an important strategic advantage in high-frequency trading. To elucidate competition between traders one has to form…