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 Riemannian geometry for Compound Gaussian distributions applied to efficient change detection.
The paper develops generalization bounds for deep compound Gaussian neural networks.
Paper uses VAEs to detect radar targets in complex noise.
The paper develops a Gaussian process model for predicting chemical efficacy.
New MC-Tree method combines Monte Carlo and binomial tree for option pricing and CVA.
Researchers calculated EVaR for various distributions using Lambert function.
Virtual screening (VS) is widely used during computational drug discovery to reduce costs. Chemogenomics-based virtual screening (CGBVS) can be used to predict new compound-protein interactions (CPIs) from known CPI network data using several methods, including machine learning and data mining. Although CGBVS facilitat…
A defining feature of non-stationary systems is the time dependence of their statistical parameters. Measured time series may exhibit Gaussian statistics on short time horizons, due to the central limit theorem. The sample statistics for long time horizons, however, averages over the time-dependent parameters. To model…
A new method reduces compounding errors in model-based reinforcement learning.
Study estimates Medallion's compounded return before fees at 31.8%.
Characterizes measures preserving compound mixed renewal process properties.
This chapter is an attempt to present a mathematical theory of compound fractional Poisson processes. The chapter begins with the characterization of a well-known Lévy process: The compound Poisson process. The semi-Markov extension of the compound Poisson process naturally leads to the compound fractional Poisson proc…
A new method calculates accurate SABR model option prices and deltas.
Generates natural product-like compounds using GPT models.
High throughput screening of compounds (chemicals) is an essential part of drug discovery [7], involving thousands to millions of compounds, with the purpose of identifying candidate hits. Most statistical tools, including the industry standard B-score method, work on individual compound plates and do not exploit cross…
In this paper, we introduce a new model for the risk process based on general compound Hawkes process (GCHP) for the arrival of claims. We call it risk model based on general compound Hawkes process (RMGCHP). The Law of Large Numbers (LLN) and the Functional Central Limit Theorem (FCLT) are proved. We also study the ma…
Normalized compound random measures are flexible nonparametric priors for related distributions. We consider building general nonparametric regression models using normalized compound random measure mixture models. Posterior inference is made using a novel pseudo-marginal Metropolis-Hastings sampler for normalized comp…
Compound Finance optimizes risk metrics for V3 protocol using Chainrisk simulations.
STMT predicts compounds in unknown areas with trend reflection.
ChemGrapher uses deep learning to automatically convert chemical compound images into accurate graphs.
Recursive training of generative models can lead to model collapse, and the recursion converges to a unique limiting distribution.
This study deals with the problem of pricing compound options when the underlying asset follows a mixed fractional Brownian motion with jumps. An analytic formula for compound options is derived under the risk neutral measure. Then, these results are applied to value extendible options. Moreover, some special cases of …
The study improves compound selection in in silico screening by focusing on model's ability to predict desirable outcomes.
Supervised learning models, also known as quantitative structure-activity regression (QSAR) models, are increasingly used in assisting the process of preclinical, small molecule drug discovery. The models are trained on data consisting of a finite dimensional representation of molecular structures and their correspondi…
A new method solves complex financial problems using deep learning.
With the rapid development of high-throughput technologies, parallel acquisition of large-scale drug-informatics data provides huge opportunities to improve pharmaceutical research and development. One significant application is the purpose prediction of small molecule compounds, aiming to specify therapeutic propertie…
Ethereum's Pectra upgrade introduces 0x02 compounding validators, offering higher stake and potential APR uplifts.
New MGCPP model for order flow in financial markets.
Robust state-space radio interferometric imaging using Stochastic Approximation Expectation Maximization
The understanding of the type of inhibitory interaction plays an important role in drug design. Therefore, researchers are interested to know whether a drug has competitive or non-competitive interaction to particular protein targets. Method: to analyze the interaction types we propose factorization method Macau which …
The paper introduces ESG valuation in option pricing using binomial trees.
We propose an analytical approach to the computation of tail probabilities of compound distributions whose individual components have heavy tails. Our approach is based on the contour integration method, and gives rise to a representation of the tail probability of a compound distribution in the form of a rapidly conve…
Study shows convergence rates for BSDEs approximated by compound Poisson processes.
Bayesian learning improves reliability of molecular predictions for hit compound discovery.
The study addresses overlooked data-generating processes in time-series asset pricing.
With the advent of deep generative models in computational chemistry, in silico anticancer drug design has undergone an unprecedented transformation. While state-of-the-art deep learning approaches have shown potential in generating compounds with desired chemical properties, they disregard the genetic profile and prop…
Compound examines decentralized lending users and their short loan durations.
In this paper, we study various new Hawkes processes. Specifically, we construct general compound Hawkes processes and investigate their properties in limit order books. With regards to these general compound Hawkes processes, we prove a Law of Large Numbers (LLN) and a Functional Central Limit Theorems (FCLT) for seve…
In line with recent advances in neural drug design and sensitivity prediction, we propose a novel architecture for interpretable prediction of anticancer compound sensitivity using a multimodal attention-based convolutional encoder. Our model is based on the three key pillars of drug sensitivity: compounds' structure i…
DeepSIBA predicts biological effects of chemical structures using graph neural networks.
An efficient adaptive direct numerical integration (DNI) algorithm is developed for computing high quantiles and conditional Value at Risk (CVaR) of compound distributions using characteristic functions. A key innovation of the numerical scheme is an effective tail integration approximation that reduces the truncation …
Mack's estimator improves chain ladder prediction for large exposure insurance models.
ETFs with 2x and 3x leverage underperformed the S&P 500 index due to compounding and volatility.
Study symplectic cohomology of certain singularities using homological mirror symmetry.
In this paper we introduce two new Hawkes processes, namely, compound and regime-switching compound Hawkes processes, to model the price processes in limit order books. We prove Law of Large Numbers and Functional Central Limit Theorems (FCLT) for both processes. The two FCLTs are applied to limit order books where we …
A model for the phenomenological description of tick-by-tick share prices in a stock exchange is introduced. It is based on mixtures of compound Poisson processes. Preliminary results based on Monte Carlo simulation show that this model can reproduce various stylized facts.
In this paper, we study various new Hawkes processes, namely, so-called general compound and regime-switching general compound Hawkes processes to model the price processes in the limit order books. We prove Law of Large Numbers (LLN) and Functional Central Limit Theorems (FCLT) for these processes. The latter two FCLT…
SVDD and Deep SVDD improve radar target detection in clutter.