A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
New method optimizes hierarchical multi-label classification results.
New algorithms detect outliers in high-dimensional data with arbitrary shapes.
A drone catches another agile drone using competitive reinforcement learning.
Two new outlyingness scores improve outlier detection in high-dimensional data.
Some explanations to Kaldi's PLDA implementation to make formula derivation easier to catch.
This paper analyzes popular time-nonseparable utility functions that describe "habit formation" consumer preferences comparing current consumption with the time averaged past consumption of the same individual and "catching up with the Joneses" (CuJ) models comparing individual consumption with a cross-sectional averag…
New framework optimizes deep learning training by deferring large batch sizes to late stages.
We study the market selection hypothesis in complete financial markets, populated by heterogeneous agents. We allow for a rich structure of heterogeneity: individuals may differ in their beliefs concerning the economy, information and learning mechanism, risk aversion, impatience and 'catching up with Joneses' preferen…
A new graph-based clustering method for moderate-dimensional data.
The issue of giving an explicit description of the flow of information concerning the time of bankruptcy of a company (or a state) arriving on the market is tackled by defining a bridge process starting from zero and conditioned to be equal to zero when the default occurs. This enables to catch some empirical facts on …
Robot-assisted dressing offers an opportunity to benefit the lives of many people with disabilities, such as some older adults. However, robots currently lack common sense about the physical implications of their actions on people. The physical implications of dressing are complicated by non-rigid garments, which can r…
Parameter-free clustering method using cluster catch digraphs (CCDs).
We employ random geometric digraphs to construct semi-parametric classifiers. These data-random digraphs are from parametrized random digraph families called proximity catch digraphs (PCDs). A related geometric digraph family, class cover catch digraph (CCCD), has been used to solve the class cover problem by using its…
Bayesian model averaging, model selection and its approximations such as BIC are generally statistically consistent, but sometimes achieve slower rates og convergence than other methods such as AIC and leave-one-out cross-validation. On the other hand, these other methods can br inconsistent. We identify the "catch-up …
Efficient exploration is necessary to achieve good sample efficiency for reinforcement learning in general. From small, tabular settings such as gridworlds to large, continuous and sparse reward settings such as robotic object manipulation tasks, exploration through adding an uncertainty bonus to the reward function ha…
In dynamic environments, learned controllers are supposed to take motion into account when selecting the action to be taken. However, in existing reinforcement learning works motion is rarely treated explicitly; it is rather assumed that the controller learns the necessary motion representation from temporal stacks of …
We introduce new definitions of universal and superuniversal computable codes, which are based on a code's ability to approximate Kolmogorov complexity within the prescribed margin for all individual sequences from a given set. Such sets of sequences may be singled out almost surely with respect to certain probability …
GDP of China is about 11 trillion dollars and GDP of the United States is about 18 trillion dollars. Suppose that we know for the coming years, economy of the US will experience a real growth rate equal to \%3 and economy of China will experience a real growth as of \%6. Now, the question is how long does it take for e…
The aim of this paper is to introduce a risk measure that extends the Gini-type measures of risk and variability, the Extended Gini Shortfall, by taking risk aversion into consideration. Our risk measure is coherent and catches variability, an important concept for risk management. The analysis is made under the Choque…
Deep neural networks (DNN) are known to be vulnerable to adversarial attacks. Numerous efforts either try to patch weaknesses in trained models, or try to make it difficult or costly to compute adversarial examples that exploit them. In our work, we explore a new "honeypot" approach to protect DNN models. We intentiona…
Graph cuts find global optima for Potts models in slight perturbations.
In this paper a new dissimilarity measure to identify groups of assets dynamics is proposed. The underlying generating process is assumed to be a diffusion process solution of stochastic differential equations and observed at discrete time. The mesh of observations is not required to shrink to zero. As distance between…
A novel framework interprets driving patterns using Action phases clustering.
In this article, we prove that on any compact spin manifold of dimension m congruent 0,6,7 mod 8, there exists a metric, for which the associated Dirac operator has at least one eigenvalue of multiplicity at least two. We prove this by catching the desired metric in a subspace of Riemannian metrics with a loop that is …
Detect facial keypoints is a critical element in face recognition. However, there is difficulty to catch keypoints on the face due to complex influences from original images, and there is no guidance to suitable algorithms. In this paper, we study different algorithms that can be applied to locate keyponits. Specifical…
Characterization of the American put option price is still an open issue. From the beginning of the nineties there exists a non-closed formula for this price but nontrivial numerical computations are required to solve it. Strong efforts have been done to propose methods more and more computationally efficient but most …
Visual attention serves as a means of feature selection mechanism in the perceptual system. Motivated by Broadbent's leaky filter model of selective attention, we evaluate how such mechanism could be implemented and affect the learning process of deep reinforcement learning. We visualize and analyze the feature maps of…
In order to reduce signalling, traders may resort to limiting access to dark venues and imposing limits on minimum fill sizes they are willing to trade. However, doing this also restricts the liquidity available to the trader since an ever increasing quantity of orders are traded by algos in clips. An alternative is to…
Despite the fact that generative models are extremely successful in practice, the theory underlying this phenomenon is only starting to catch up with practice. In this work we address the question of the universality of generative models: is it true that neural networks can approximate any data manifold arbitrarily wel…
New algorithm catches moving subspaces in bandit problems.
Machine learning improves economic forecasting during the pandemic.
Network theory assesses systemic risk in the insurance sector.
As advances in signature recognition have reached a new plateau of performance at around 2% error rate, it is interesting to investigate alternative approaches. The approach detailed in this paper looks at using Variational Auto-Encoders (VAEs) to learn a latent space representation of genuine signatures. This is then …
We find the maximum mutual information for neural networks and its key determinants.
In the aftermath of the 2007 global financial crisis, banks started reflecting into derivative pricing the cost of capital and collateral funding through XVA metrics. Here XVA is a catch-all acronym whereby X is replaced by a letter such as C for credit, D for debt, F for funding, K for capital and so on, and VA stands…
Tuna-AI uses ML to predict tuna biomass from oceanography and echo-sounder data.
How can we measure whether a natural language generation system produces both high quality and diverse outputs? Human evaluation captures quality but not diversity, as it does not catch models that simply plagiarize from the training set. On the other hand, statistical evaluation (i.e., perplexity) captures diversity b…
AdaX improves Adam by exponentially accumulating past gradients, leading to better performance in machine learning tasks.
The paper tackles the problem of deriving a topological structure among stock prices from high frequency historical values. Similar studies using low frequency data have already provided valuable insights. However, in those cases data need to be collected for a longer period and then they have to be detrended. An effec…
In this paper, we develop a theory of market crashes resulting from a deleveraging shock. We consider two representative investors in a market holding different opinions about the public available information. The deleveraging shock forces the high confidence investors to liquidate their risky assets to pay back their …
The paper critiques UBI as ineffective for addressing technological unemployment.
The paper identifies clusters in the World Trade Network using communicability distances.
Study evaluates clustering methods for Google Trends data.
This research smooths out fluid equations to avoid sudden shocks.
Improves relevancy of black-box anomaly detectors with user feedback.
Many neural network architectures rely on the choice of the activation function for each hidden layer. Given the activation function, the neural network is trained over the bias and the weight parameters. The bias catches the center of the activation, and the weights capture the scale. Here we propose to train the netw…
We designed a grid world task to study human planning and re-planning behavior in an unknown stochastic environment. In our grid world, participants were asked to travel from a random starting point to a random goal position while maximizing their reward. Because they were not familiar with the environment, they needed…
Survey on recent deep learning models for stock market prediction.