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.
A model-free framework extracts risk-neutral densities from short-dated options.
Following Hartigan, a cluster is defined as a connected component of the t-level set of the underlying density, i.e., the set of points for which the density is greater than t. A clustering algorithm which combines a density estimate with spectral clustering techniques is proposed. Our algorithm is composed of two step…
Generative model prices options and extracts risk-neutral densities.
Accurate approximations to density functionals have recently been obtained via machine learning (ML). By applying ML to a simple function of one variable without any random sampling, we extract the qualitative dependence of errors on hyperparameters. We find universal features of the behavior in extreme limits, includi…
The large-scale structure of the universe is comprised of virialized blob-like clusters, linear filaments, sheet-like walls and huge near empty three-dimensional voids. Characterizing the large scale universe is essential to our understanding of the formation and evolution of galaxies. The density range of clusters, wa…
Probability density estimation is a classical and well studied problem, but standard density estimation methods have historically lacked the power to model complex and high-dimensional image distributions. More recent generative models leverage the power of neural networks to implicitly learn and represent probability …
New method extracts stochastic laws from data, including Lévy noise.
This paper proposes a methodology for host-based anomaly detection using a semi-supervised algorithm namely one-class classifier combined with a PCA-based feature extraction technique called Eigentraces on system call trace data. The one-class classification is based on generating a set of artificial data using a refer…
Meta-learning improves relative density-ratio estimation from limited data.
Detects domain shifts in datasets using interpretable feature subspaces.
Anomalies (unusual patterns) in time-series data give essential, and often actionable information in critical situations. Examples can be found in such fields as healthcare, intrusion detection, finance, security and flight safety. In this paper we propose new conformalized density- and distance-based anomaly detection…
The paper tackles video prediction by estimating conditional densities implicitly.
New bounds on generalization error using information density moments.
Two new algorithms recover ridge lines from point clouds with convergence guarantees.
As one type of efficient unsupervised learning methods, clustering algorithms have been widely used in data mining and knowledge discovery with noticeable advantages. However, clustering algorithms based on density peak have limited clustering effect on data with varying density distribution (VDD), equilibrium distribu…
Feature learning forms the cornerstone for tackling challenging learning problems in domains such as speech, computer vision and natural language processing. In this paper, we consider a novel class of matrix and tensor-valued features, which can be pre-trained using unlabeled samples. We present efficient algorithms f…
FISHDBC is a flexible, incremental, scalable, and hierarchical density-based clustering algorithm. It is flexible because it empowers users to work on arbitrary data, skipping the feature extraction step that usually transforms raw data in numeric arrays letting users define an arbitrary distance function instead. It i…
JEPAs learn data density by predicting perturbed samples, enabling density estimation.
Feature learning forms the cornerstone for tackling challenging learning problems in domains such as speech, computer vision and natural language processing. In this paper, we consider a novel class of matrix and tensor-valued features, which can be pre-trained using unlabeled samples. We present efficient algorithms f…
In this paper, we present a novel way to summarize the structure of large graphs, based on non-parametric estimation of edge density in directed multigraphs. Following coclustering approach, we use a clustering of the vertices, with a piecewise constant estimation of the density of the edges across the clusters, and ad…
Paper proposes a bijective approach for signal/symbol translation using variational auto-encoders.
The paper defines and studies discrete p-density and compression-radius profiles of lattice knots.
Stable density-based clustering via multiparameter persistence.
Probabilistic models learned as density estimators can be exploited in representation learning beside being toolboxes used to answer inference queries only. However, how to extract useful representations highly depends on the particular model involved. We argue that tractable inference, i.e. inference that can be compu…
Scattering representations simplify SBI for images without extra compression.
Recently, deep clustering, which is able to perform feature learning that favors clustering tasks via deep neural networks, has achieved remarkable performance in image clustering applications. However, the existing deep clustering algorithms generally need the number of clusters in advance, which is usually unknown in…
A privacy-constrained information extraction problem is considered where for a pair of correlated discrete random variables governed by a given joint distribution, an agent observes and wants to convey to a potentially public user as much information about as possible without compromising the amount of …
We propose a Multi-Task Learning (MTL) paradigm based deep neural network architecture, called MTCNet (Multi-Task Crowd Network) for crowd density and count estimation. Crowd count estimation is challenging due to the non-uniform scale variations and the arbitrary perspective of an individual image. The proposed model …
iCOS method estimates risk-neutral densities and option prices without model assumptions.
In this paper, we exploit minimal sensing information gathered from biologically inspired sensor networks to perform exploration and mapping in an unknown environment. A probabilistic motion model of mobile sensing nodes, inspired by motion characteristics of cockroaches, is utilized to extract weak encounter informati…
New method uses machine learning to estimate sensitivity without binning.
We select n stocks traded in the New York Stock Exchange and we form a statistical ensemble of daily stock returns for each of the k trading days of our database from the stock price time series. We analyze each ensemble of stock returns by extracting its first four central moments. We observe that these moments are fl…
Standard agglomerative clustering suggests establishing a new reliable linkage at every step. However, in order to provide adaptive, density-consistent and flexible solutions, we study extracting all the reliable linkages at each step, instead of the smallest one. Such a strategy can be applied with all common criteria…
Purpose: Lung nodules have very diverse shapes and sizes, which makes classifying them as benign/malignant a challenging problem. In this paper, we propose a novel method to predict the malignancy of nodules that have the capability to analyze the shape and size of a nodule using a global feature extractor, as well as …
LAAT detects multiple low-density manifolds in noisy data.
New method uses transport maps for efficient Bayesian inference.
We examine Generative Adversarial Networks (GANs) through the lens of deep Energy Based Models (EBMs), with the goal of exploiting the density model that follows from this formulation. In contrast to a traditional view where the discriminator learns a constant function when reaching convergence, here we show that it ca…
Machine learning predicts electronic density of states for condensed matter.
Graph refinement, or the task of obtaining subgraphs of interest from over-complete graphs, can have many varied applications. In this work, we extract trees or collection of sub-trees from image data by, first deriving a graph-based representation of the volumetric data and then, posing the tree extraction as a graph …
Extracting the risk neutral density (RND) function from option prices is well defined in principle, but is very sensitive to errors in practice. For risk management, knowledge of the entire RND provides more information for Value-at-Risk (VaR) calculations than implied volatility alone [1]. Typically, RNDs are deduced …
This work studies the chord length distribution, in the case where both ends lie on a -dimensional hypersphere (). Actually, after connecting this distribution to the recently estimated surface of a hyperspherical cap \cite{SLi11}, closed-form expressions of both the probability density function and the cu…
Develops an MS-inspired algorithm for regression mode finding and space partitioning.
Develops robust persistence diagrams using kernel methods.
The thesis evaluates and compares extreme mixture models in finance and insurance.
By seeking the narrowest prediction intervals (PIs) that satisfy the specified coverage probability requirements, the recently proposed quality-based PI learning principle can extract high-quality PIs that better summarize the predictive certainty in regression tasks, and has been widely applied to solve many practical…
Proposes a scalable framework for extracting data manifold geometry.
A new method using normalizing flows speeds up Bayesian model comparison.
We propose to use deep neural networks for generating samples in Monte Carlo integration. Our work is based on non-linear independent components estimation (NICE), which we extend in numerous ways to improve performance and enable its application to integration problems. First, we introduce piecewise-polynomial couplin…