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 model captures time and mark inter-dependence in TPPs.
This paper presents a new methodology for clustering multivariate time series leveraging optimal transport between copulas. Copulas are used to encode both (i) intra-dependence of a multivariate time series, and (ii) inter-dependence between two time series. Then, optimal copula transport allows us to define two distan…
Dual-track model generates classical piano music better than other methods.
This paper analyzes the dynamic incentives for technology adoption under a transferable permits system, which allows for strategic trading on the permit market. Initially, firms can invest both in low-emitting production technologies and trade permits. In the model, technology adoption and allowance price are generated…
This chapter provides an accessible introduction for point processes, and especially Hawkes processes, for modeling discrete, inter-dependent events over continuous time. We start by reviewing the definitions and the key concepts in point processes. We then introduce the Hawkes process, its event intensity function, as…
Discovering temporal lagged and inter-dependencies in multivariate time series data is an important task. However, in many real-world applications, such as commercial cloud management, manufacturing predictive maintenance, and portfolios performance analysis, such dependencies can be non-linear and time-variant, which …
Predicting the patient's clinical outcome from the historical electronic medical records (EMR) is a fundamental research problem in medical informatics. Most deep learning-based solutions for EMR analysis concentrate on learning the clinical visit embedding and exploring the relations between visits. Although those wor…
Graph neural networks improve equipment health monitoring from multisensor data.
There is intense interest in understanding the stochastic and dynamical properties of the global Foreign Exchange (FX) market, whose daily transactions exceed one trillion US dollars. This is a formidable task since the FX market is characterized by a web of fluctuating exchange rates, with subtle inter-dependencies wh…
In a system containing a large number of interacting stochastic processes, there will typically be many non-zero correlation coefficients. This makes it difficult to either visualize the system's inter-dependencies, or identify its dominant elements. Such a situation arises in Foreign Exchange (FX) which is the world's…
In this work, we move beyond the traditional complex-valued representations, introducing more expressive hypercomplex representations to model entities and relations for knowledge graph embeddings. More specifically, quaternion embeddings, hypercomplex-valued embeddings with three imaginary components, are utilized to …
Graphical models improve actuarial judgment in insurance claims analysis.
New framework relaxes independence assumption for graph-mixing dependencies.
StockBot uses LSTM to predict stock prices, outperforming market ETFs.
Granger causality has been used for the investigation of the inter-dependence structure of the underlying systems of multi-variate time series. In particular, the direct causal effects are commonly estimated by the conditional Granger causality index (CGCI). In the presence of many observed variables and relatively sho…
Estimates system parameters from a single observation using kernel-based score.
Recurrent neural networks (RNN) are at the core of modern automatic speech recognition (ASR) systems. In particular, long-short term memory (LSTM) recurrent neural networks have achieved state-of-the-art results in many speech recognition tasks, due to their efficient representation of long and short term dependencies …
A new approach to learning in brain-like networks using adversarial algorithms.
Deep neural networks learn by averaging fast variables, revealing a Gaussian process.
Many real-world tasks such as classification of digital histopathology images and 3D object detection involve learning from a set of instances. In these cases, only a group of instances or a set, collectively, contains meaningful information and therefore only the sets have labels, and not individual data instances. In…
A novel graph spectral method for mixed categorical and numerical data.
AGCRN forecasts traffic using adaptive graph and recurrent learning.
We develop a novel "decouple-recouple" dynamic predictive strategy and contribute to the literature on forecasting and economic decision making in a data-rich environment. Under this framework, clusters of predictors generate different latent states in the form of predictive densities that are later synthesized within …
Previous work has shown that popular trending events are important external factors which pose significant influence on user search behavior and also provided a way to computationally model this influence. However, their problem formulation was based on the strong assumption that each event poses its influence independ…
Quantum dynamics reveals hidden geometric structure in data.
Congestion prediction represents a major priority for traffic management centres around the world to ensure timely incident response handling. The increasing amounts of generated traffic data have been used to train machine learning predictors for traffic, however this is a challenging task due to inter-dependencies of…
Method analyzes hyperparameters using HSIC for better neural network performance.
DSPO optimizes portfolio construction from raw stock data efficiently.
Network-based strategy for optimal cryptocurrency portfolios identified.
Whatever information a deep neural network has gleaned from training data is encoded in its weights. How this information affects the response of the network to future data remains largely an open question. Indeed, even defining and measuring information entails some subtleties, since a trained network is a determinist…
Complex systems may contain heterogeneous types of variables that interact in a multi-level and multi-scale manner. In this context, high-level layers may considered as groups of variables interacting in lower-level layers. This is particularly true in biology, where, for example, genes are grouped in pathways and two …
Current methods to interpret deep learning models by generating saliency maps generally rely on two key assumptions. First, they use first-order approximations of the loss function neglecting higher-order terms such as the loss curvatures. Second, they evaluate each feature's importance in isolation, ignoring their int…
While mobile social apps have become increasingly important in people's daily life, we have limited understanding on what motivates users to engage with these apps. In this paper, we answer the question whether users' in-app activity patterns help inform their future app engagement (e.g., active days in a future time w…
DSARF models complex spatio-temporal data with deep switching auto-regressive factors.
DArtNet predicts time series data using graph structure and dynamic attributes.
PS8-Net improves eight-state protein secondary structure prediction accuracy.
Pareto Testing optimizes model performance under multiple constraints.
Paper tackles AI risks by customizing metrics and models.
Over the past few years many research efforts have been devoted to the field of affect analysis. Various approaches have been proposed for: i) discrete emotion recognition in terms of the primary facial expressions; ii) emotion analysis in terms of facial Action Units (AUs), assuming a fixed expression intensity; iii) …
WaveQ uses sinusoidal regularization to optimize deep quantization for neural networks, improving both efficiency and accuracy.
Generates samples conditioned on labels using optimal transport.
The paper classifies Finsler surfaces satisfying the T-condition or σT-condition.
The paper develops a new approach to conditional risk measures using modular convex analysis.
Paper constructs solutions to Bogomolny equations with specific boundary and asymptotic conditions.
We extend probabilistic programming to handle conditioning on marginal distributions.
New tests for conditional copulas based on decision trees.
Paper finds necessary condition for logarithmic Minkowski problem in higher dimensions.
This paper introduces a neural operator for probabilistic conditioning.