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.
The study assesses external validity by evaluating worst-case treatment effects across subpopulations.
problem Underrepresentation of marginalized groups and limited study populations.
method Develops a semiparametrically efficient estimator for worst-case treatment effects (WTE) and uses cross-fitting to guard against brittle findings.
result The proposed framework guards against invalid findings due to unanticipated population shifts.
Method estimates model performance on external samples from limited statistical characteristics.
problem Limited access to multiple datasets due to privacy and commercial restrictions.
method Search for weights that match external statistics and are closest to uniform, using model performance on weighted internal sample as an estimation.
result Estimated external performance is closer to actual performance than internal performance.
We exploit a continuous time random walk description of stock prices to obtain a fast and accurate evaluation of their volatility from intraday data. We show that financial markets are usefully described as open physical systems. Indeed we find that the process determining market volatility is not stationary while the …
The constant growth of the e-commerce industry has rendered the problem of product retrieval particularly important. As more enterprises move their activities on the Web, the volume and the diversity of the product-related information increase quickly. These factors make it difficult for the users to identify and compa…
Acquiring ground truth labels for unlabelled data can be a costly procedure, since it often requires manual labour that is error-prone. Consequently, the available amount of labelled data is increasingly reduced due to the limitations of manual data labelling. It is possible to increase the amount of labelled data samp…
Causal ML methods failed to validate their personalized treatment effects in two large trials.
problem Validating causal machine learning methods for personalized treatment effects in precision medicine.
method Assessed 17 mainstream causal heterogeneity ML methods using two large randomized controlled trials.
result None of the ML methods reliably validated their performance, internal or external, showing significant discrepancies between training and test data.
The Basel II Accords have sparked increased interest in the development of approaches based on internal ratings systems and have initiated the elaboration of models for remote ratings forecasts based on external ones as part of Risk Management and Early Warning Systems. This article evaluates the peculiarities of curre…
The misclassification error distance and the adjusted Rand index are two of the most commonly used criteria to evaluate the performance of clustering algorithms. This paper provides an in-depth comparison of the two criteria, aimed to better understand exactly what they measure, their properties and their differences. …
By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused by model uncertainty is regarded as a result of the interaction between financi…
A new reinforcement learning method uses mutual information to encourage agents to control their environment.
problem Learning from internal drives instead of external rewards.
method Formulate an intrinsic objective as mutual information between goal states and controllable states, derive a surrogate objective for efficient optimization.
result Demonstrated the efficacy of the approach in robotic tasks.
A stochastic model helps maintain insufficiently funded pension funds.
problem Maintaining pension funds that are underfunded and require external financing.
method A time-homogeneous diffusion process with a barrier is used to model the unrestricted reserves value, and a renewal-reward process models the financing effort.
result Expected values and cost evaluations of maintenance are derived, and the approach is applied to a generalized Brownian motion process.
Study examines remittances in Nepal, linking external demand and domestic monetary conditions.
problem Understanding the dynamics of remittances in Nepal's economy.
method Constructed composite indices via PCA for external demand and domestic monetary conditions. Used ARDL, cointegration, DOLS, ECM, and machine learning for analysis.
result Strong positive long-run effect of external demand on remittances, significant negative impact of tighter domestic monetary conditions.
In this paper we propose a measure of clustering quality or accuracy that is appropriate in situations where it is desirable to evaluate a clustering algorithm by somehow comparing the clusters it produces with ``ground truth' consisting of classes assigned to the patterns by manual means or some other means in whose v…
Framework for estimating treatment effects using external control data.
problem Improving efficiency in estimating average treatment effects (ATE) in hybrid trials.
method Developed a formal causal inference framework based on exchangeability assumptions and graphical criteria. Proposed estimators and efficient doubly-robust methods.
result Established finite-sample performance and demonstrated application to spinal muscular atrophy trial.
In this article, the logic rule ensembles approach to supervised learning is applied to the unsupervised or semi-supervised clustering. Logic rules which were obtained by combining simple conjunctive rules are used to partition the input space and an ensemble of these rules is used to define a similarity matrix. Simila…
The importance of nodes in a network constantly fluctuates based on changes in the network structure as well as changes in external interest. We propose an evolving teleportation adaptation of the PageRank method to capture how changes in external interest influence the importance of a node. This framework seamlessly g…
In this paper, we discuss structure learning of causal networks from multiple data sets obtained by external intervention experiments where we do not know what variables are manipulated. For example, the conditions in these experiments are changed by changing temperature or using drugs, but we do not know what target v…
Recurrent neural networks are a widely used class of neural architectures. They have, however, two shortcomings. First, it is difficult to understand what exactly they learn. Second, they tend to work poorly on sequences requiring long-term memorization, despite having this capacity in principle. We aim to address both…