Can the Topological Shape of the Market Predict How Returns Evolve?

I am pleased to announce that my new paper is now available:

"Cross-Sectional Topological Anomaly Scores and Intraday Return Predictability: BallMapper Descriptors, Decoder-Conditional VAE, and Function-on-Function Regression on S&P 500 Intraday Data"

Three-stage research methodology diagram: dynamic topological description via BallMapper, decoder-conditional VAE anomaly scoring, and penalised Function-on-Function regression for intraday return predictability.
Figure 1. Conceptual diagram of the three-stage methodology: BallMapper topological description, decoder-conditional VAE anomaly scoring, and penalised Function-on-Function regression.
Dr Krzysztof Ozimek
Dr Krzysztof Ozimek
Quantitative Investment & Trading Research Educator

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