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.
We build a model using Gaussian processes to infer a spatio-temporal vector field from observed agent trajectories. Significant landmarks or influence points in agent surroundings are jointly derived through vector calculus operations that indicate presence of sources and sinks. We evaluate these influence points by us…
Most classifiers operate by selecting the maximum of an estimate of the conditional distribution p(y∣x) where x stands for the features of the instance to be classified and y denotes its label. This often results in a {\em hubristic bias}: overconfidence in the assignment of a definite label. Usually, the observa…
We have carried out simulations of a financial model of the firm to analyse the validity of the concept of Trade on Equity in dynamics. The results exhibit the ability of the borrowing policy connected to a cautious dividend distribution to inject chaos into the profit motion. The 3D system built with the van der Pol's…
We consider two functions on Sp(g,R) with values in the cyclic group of order four {1,-1,i,-i}. One was defined by Lion and Vergne. The other is -i raised to the power given by an integer valued function defined by Masbaum and the author (initially on the mapping class group of a surface). We identify these functions w…
In this paper, we consider the generalized lambda constant and the existence of ground states of the generalized Perelman's W-functional from a variational formulation. One result is concerned with the estimation of the generalized λ constant. The other results are about the existence of ground states of generalized …
We show how Lasry-Lions's result on regularization of functions defined on Rn or on Hilbert spaces by sup-inf convolutions with squares of distances can be extended to (finite or infinite dimensional) Riemannian manifolds M of bounded sectional curvature. More specifically, among other things we show that…
Calls to arms to build interpretable models express a well-founded discomfort with machine learning. Should a software agent that does not even know what a loan is decide who qualifies for one? Indeed, we ought to be cautious about injecting machine learning (or anything else, for that matter) into applications where t…
Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert (2009) and Mijatović and Urusov (2012c) give necessary and sufficient conditions in the case of perfect correlation (ρ=1).…
Reinforcement Learning (RL) has demonstrated state-of-the-art results in a number of autonomous system applications, however many of the underlying algorithms rely on black-box predictions. This results in poor explainability of the behaviour of these systems, raising concerns as to their use in safety-critical applica…
Mean field game theory studies the behavior of a large number of interacting individuals in a game theoretic setting and has received a lot of attention in the past decade (Lasry and Lions, Japanese journal of mathematics, 2007). In this work, we derive mean field game partial differential equation systems from determi…
We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intra-day contributions. We find, as perhaps expected, that the overnight and intra-day returns behave completely differently. For example, while past intra-day returns affect equally the future intra-day and overnight volatilitie…
Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at the time of stopping, conditioned on another event. For instance, an agent may care only about states where she is still alive at the time …
We prove some old and new isoperimetric inequalities with the best constant using the ABP method applied to an appropriate linear Neumann problem. More precisely, we obtain a new family of sharp isoperimetric inequalities with weights (also called densities) in open convex cones of Rn. Our result applies to…
In the first part of the paper we investigate some geometric features of Moser-Trudinger inequalities on complete non-compact Riemannian manifolds. By exploring rearrangement arguments, isoperimetric estimates, and gluing local uniform estimates via Gromov's covering lemma, we provide a Coulhon, Saloff-Coste and Varopo…
Deep learning has become increasingly popular in both supervised and unsupervised machine learning thanks to its outstanding empirical performance. However, because of their intrinsic complexity, most deep learning methods are largely treated as black box tools with little interpretability. Even though recent attempts …
The appeal of metric evaluation of research impact has attracted considerable interest in recent times. Although the public at large and administrative bodies are much interested in the idea, scientists and other researchers are much more cautious, insisting that metrics are but an auxiliary instrument to the qualitati…