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.
Bayesian l0-regularized least squares is a variable selection technique for high dimensional predictors. The challenge is optimizing a non-convex objective function via search over model space consisting of all possible predictor combinations. Spike-and-slab (a.k.a. Bernoulli-Gaussian) priors are the gold standard f…
The study examines how model predictions hold up under model extensions.
problem Model predictions may not be robust under model extensions, limiting their applicability.
method The study uses causal ordering to assess robustness of qualitative model predictions and characterizes model extensions that preserve predictions.
result Conditions and techniques are provided to assess robustness of model predictions under model extensions.
We investigate the forecasting ability of the most commonly used benchmarks in financial economics. We approach the usual caveats of probabilistic forecasts studies -small samples, limited models and non-holistic validations- by performing a comprehensive comparison of 15 predictive schemes during a time period of over…
Decoding, ie prediction from brain images or signals, calls for empirical evaluation of its predictive power. Such evaluation is achieved via cross-validation, a method also used to tune decoders' hyper-parameters. This paper is a review on cross-validation procedures for decoding in neuroimaging. It includes a didacti…
Feature subset selection arises in many high-dimensional applications of statistics, such as compressed sensing and genomics. The ℓ0 penalty is ideal for this task, the caveat being it requires the NP-hard combinatorial evaluation of all models. A recent area of considerable interest is to develop efficient algor…
Despite being impactful on a variety of problems and applications, the generative adversarial nets (GANs) are remarkably difficult to train. This issue is formally analyzed by \cite{arjovsky2017towards}, who also propose an alternative direction to avoid the caveats in the minmax two-player training of GANs. The corres…
Recent empirical studies have demonstrated long-memory in the signs of orders to buy or sell in financial markets [2, 19]. We show how this can be caused by delays in market clearing. Under the common practice of order splitting, large orders are broken up into pieces and executed incrementally. If the size of such lar…
Molecular machine learning has been maturing rapidly over the last few years. Improved methods and the presence of larger datasets have enabled machine learning algorithms to make increasingly accurate predictions about molecular properties. However, algorithmic progress has been limited due to the lack of a standard b…
Ensuring sufficient liquidity is one of the key challenges for designers of prediction markets. Various market making algorithms have been proposed in the literature and deployed in practice, but there has been little effort to evaluate their benefits and disadvantages in a systematic manner. We introduce a novel exper…
The study compares time series forecasting performance estimation methods.
problem Estimating performance of time series forecasting models.
method Cross-validation and out-of-sample approaches compared.
result Cross-validation is suitable for stationary time series, while out-of-sample methods are better for real-world scenarios with non-stationary data.
Graph DNA uses Bloom filters to efficiently encode deep graph neighborhoods for better collaborative filtering.
problem Collaborative filtering struggles with exploiting deeper graph neighborhoods due to high time and space complexity.
method Graph DNA employs Bloom filters to compute approximate deep neighborhood information in linear time, enabling efficient encoding and utilization in collaborative filtering.
result Graph DNA significantly improves collaborative filtering performance with minimal computational and memory overhead.
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES is less straightforward…
It is needed to ensure the integrity of systems that process sensitive information and control many aspects of everyday life. We examine the use of machine learning algorithms to detect malware using the system calls generated by executables-alleviating attempts at obfuscation as the behavior is monitored rather than t…
We study the real Monge-Ampère equation in two and three dimensions, both from the point of view of the SYZ conjecture, where solutions give rise to semi-flat Calabi-Yau's and in affine differential geometry, where solutions yield parabolic affine sphere hypersurfaces. We find explicit examples, connect the holomorphic…