Machine learning detects frog calls in audio recordings with high accuracy.
problem Estimating frog presence in audio recordings from tropical environments.
method Gaussian mixture model classification of frog calls with 20 cepstral features.
result The algorithm achieved an average weighted error rate of 0.9% for nine species classification.
New method estimates animal density using acoustic data, accounting for unknown call identities.
problem Estimating animal density or call density from acoustic data with unknown call identities.
method Monte Carlo Expectation-Maximization (MCEM) method to resolve unknown call identities.
result Estimates are within 15% of expert-constructed estimates and incorporate uncertainty about call identities.
Improved solver maintains positivity and accuracy across all time steps.
problem Linear second-order schemes for Fokker-Planck equation cannot preserve positivity.
method Flux-Corrected Diagonal Frog (FCDF) framework using nonlinear extension and iterative limiter.
result FCDF schemes are unconditionally positive across all time steps and maintain second-order accuracy.
Deep learning identifies frog species and detects new ones.
problem Identifying and detecting new species in morphologically similar groups.
method Machine learning, specifically deep neural networks, applied to frog hind limb skin texture.
result Deep neural networks can classify images into known species and new classes.
Diagonal Frog: High-order positivity-preserving FD schemes for anisotropic Fokker-Planck equations
problem Positivity-preserving discretizations for anisotropic Fokker-Planck equations
method Diagonal Frog discretization
result Second-order accuracy and mass conservation
Feature selection and attribute reduction are crucial problems, and widely used techniques in the field of machine learning, data mining and pattern recognition to overcome the well-known phenomenon of the Curse of Dimensionality, by either selecting a subset of features or removing unrelated ones. This paper presents …
Data poisoning is an attack on machine learning models wherein the attacker adds examples to the training set to manipulate the behavior of the model at test time. This paper explores poisoning attacks on neural nets. The proposed attacks use "clean-labels"; they don't require the attacker to have any control over the …
In this article, a compact finite difference method is proposed for pricing European and American options under jump-diffusion models. Partial integro-differential equation and linear complementary problem governing European and American options respectively are discretized using Crank-Nicolson Leap-Frog scheme. In pro…
Efficient active learning method defends against malicious mislabeling and data poisoning attacks.
problem Malicious mislabeling and data poisoning attacks on deep neural networks.
method Adversarial retraining and active learning with random sampling strategy.
result The proposed method achieves 89% accuracy with only one-third of the labeled data, significantly outperforming the baseline method.
This anniversary paper is an occasion to recall some of the events that shaped institutional econophysics. But in these thoughts about the evolution of econophysics in the last 15 years we also express some concerns. Our main worry concerns the relinquishment of the simplicity requirement. Ever since the groundbreaking…
New backdoor attacks in FL can fool models on rare inputs.
problem Federated Learning's vulnerability to adversarial backdoors.
method Introducing edge-case backdoor attacks and proving their effectiveness.
result Edge-case backdoors can fool FL models on rare inputs, posing a significant threat.
Paper studies autoencoder-based anomaly detectors' robustness to adversarial poisoning attacks.
problem Adversarial poisoning attacks on online-trained autoencoder-based anomaly detectors in ICSs.
method Proposes two algorithms for generating poison samples and evaluates them on synthetic and real-world ICS data.
result Autoencoder detectors are resilient to poisoning in the face of all relevant attacks in the SWaT dataset.
A new perspective on Call option pricing reveals identical prices for certain options.
problem Understanding and pricing exotic options like Call on Call.
method Analyzing the relative pricing function and deriving new formulas.
result Identical prices for certain exotic options under no arbitrage.
Predicts customer call intent for auto dealerships using CNN.
problem Understanding customer intent from phone calls for better service.
method Developed a CNN-based supervised learning model for multi-class classification.
result CNN model performs well on customer call intent classification.
Model earnings call transcripts for better stock price prediction.
problem Predicting future stock price movements using earnings call transcripts.
method Deep learning framework with an attention mechanism to encode text data into vectors for predicting stock price movements.
result The proposed model outperforms traditional machine learning methods in stock price prediction.
Extracts credit-relevant information from earnings calls.
problem Investors do not fully internalize credit-relevant information from earnings calls.
method Develops a novel technique to extract credit-relevant information from earnings call text.
result The extracted information forecasts future credit spread changes and firm profitability.
Derives a dual equation for various option types, leading to new pricing and hedging insights.
problem Pricing and hedging of various option types.
method Derives a dual equation with the same form as the Black-Scholes-Merton equation, applicable to homogeneous degree one payoffs.
result Provides simple analytic formulas for delta and gamma, and reveals put-call equality for various options.
Proposes a model for clearing prices in financial markets due to margin calls.
problem Determining prices in financial markets following margin calls and short squeezes.
method Developed an explicit formulation for clearing prices after margin calls and short squeezes.
result Identified a threshold short interest ratio leading to discontinuity in clearing prices.
The paper adjusts stock and strike prices for dividends after maturity in stock call pricing.
problem Inconsistent pricing of European calls with dividends after maturity.
method Extension of the Black-Scholes formula to include dividends after maturity.
result Model-consistent pricing of calls over all maturities with dividends after maturity.
Big data from phone calls improves credit scoring models and profits.
problem Improving credit scoring models to enhance financial inclusion.
method Combining call-detail records and traditional data to build scorecards using social network analytics.
result Combining call-detail records with traditional data significantly increases model performance and profit.
The increasing popularity of cell phones has made them the most personal and ubiquitous communication devices nowadays. Typically, the ringing notifications of mobile phones are used to inform the users about the incoming calls. However, the notifications of inappropriate incoming calls sometimes cause interruptions no…
We examine the small expiry behaviour of European call options in stock price models of exponential Lévy type. In most cases of interest, we are able to identify the exact small expiry asymptotics. In "complete generality" we are able to show that the time value of the call option has O(τ) decay as τ(time to expiry) go…
This paper detects anomalies in cellular network traffic using hybrid methods.
problem Detecting anomalies in network traffic for security and analysis.
method Hybrid method combining GARCH, K-means, and Neural Network.
result Anomaly detection in cellular network traffic successfully achieved.
This paper is devoted to the application of an l1 -minimisation technique to construct an arbitrage-free call-option surface. We propose a nononparametric approach to obtaining model-free call option surfaces that are perfectly consistent with market quotes and free of static arbitrage. The approach is inspired from…
Improved method reduces projection calls for nonsmooth convex optimization.
problem Optimizing nonsmooth convex functions with convex constraints.
method MOPES and MOLES methods combining Moreau-Yosida smoothing and accelerated first-order schemes.
result Achieves ε-suboptimality with significantly fewer projection calls. Mitigates DeFi liquidations with reversible call options.
problem Systemic failures in DeFi due to liquidations.
method Introduces reversible call options to prevent liquidations.
result Reduces liquidated collateral by 89.82% in simulations.
We investigate the position of the Buchen-Kelly density in a family of entropy maximising densities which all match European call option prices for a given maturity observed in the market. Using the Legendre transform which links the entropy function and the cumulant generating function, we show that it is both the uni…
In this paper, we investigate the generalization of the Call-Put duality equality obtained in [1] for perpetual American options when the Call-Put payoff (y−x)+ is replaced by φ(x,y). It turns out that the duality still holds under monotonicity and concavity assumptions on φ. The specific analytical form of the …
ClovaCall introduces a new Korean call speech corpus for contact centers.
problem Lack of large-scale call-based speech corpora for Korean dialog scenarios.
method Development of a new large-scale Korean call-based speech corpus (ClovaCall) in a restaurant reservation domain.
result Validation of the dataset with ASR models shows its effectiveness.
Study earnings calls to predict stock price movements, finding them more predictive than traditional data.
problem Improving investment decisions by analyzing earnings calls for stock price predictions.
method Graph Neural Network based approach to process and analyze earnings call transcripts.
result Earnings call transcripts are more predictive of stock price movements than traditional hard data.
Paper solves stock loan pricing with finite maturity using integral equations.
problem Valuation of margin-call stock loans with finite maturities.
method Fourier Sine transform and Volterra integral equation approach.
result Integral representation of margin-call stock loan value.
In this paper we investigate a nonlinear generalization of the Black-Scholes equation for pricing American style call options in which the volatility term may depend on the underlying asset price and the Gamma of the option. We propose a numerical method for pricing American style call options by means of transformatio…
Improved approximations for call option prices in stochastic volatility models.
problem Improving accuracy of call option pricing in models with stochastic volatility.
method Transformed decomposition formula into Taylor series with stochastic terms, derived new approximations.
result New approximations with sharper error estimates, especially effective in high volatility scenarios.
Let Mn be an n-dimensional umbilic-free hypersurface in the (n+1)-dimensional Lorentzian space form M1n+1(c). Three basic invariants of Mn under the conformal transformation group of M1n+1(c) are a 1-form C, called conformal 1-form, a symmetric (0,2) tensor B, called conformal second fun…
It is well known that in models with time-homogeneous local volatility functions and constant interest and dividend rates, the European Put prices are transformed into European Call prices by the simultaneous exchanges of the interest and dividend rates and of the strike and spot price of the underlying. This paper inv…
Given a hyperbolic surface, the set of all closed geodesics whose length is minimal form a graph on the surface, in fact a so-called fat graph, which we call the systolic graph. We study which fat graphs are systolic graphs for some surface (we call these admissible). There is a natural necessary condition on such grap…
MNN improves American call option pricing accuracy.
problem Inaccurate valuation of American call options.
method Modular Neural Network (MNN) model.
result MNN model outperforms traditional models and FNN.
The study examines how including additional call option prices affects model-independent price bounds for exotic derivatives.
problem Improving model-independent price bounds for exotic derivatives using additional call option prices.
method Characterization of market settings that guarantee improved price bounds and exclusion of any improvement.
result The inclusion of additional call option prices can significantly impact model-independent price bounds.
Paper analyzes U.S. broker call rate laws of motion and their implications.
problem Understanding the dynamics and pricing of margin loans in the U.S. market.
method Analysis of monthly observations, derivation of stochastic differential equations, application of arbitrage theory.
result Margin loan interest rate follows mean-reverting behavior, with total call loan volume constituting over 70% of leveraged portfolios.
New invariants show stronger virtual knot sets.
problem Classifying virtual knots using invariants.
method Defining F-order invariants using forbidden moves. result Set of F-order invariants is strictly stronger. Asymptotic expansions for call prices and implied volatilities in exponential Lévy models.
problem Developing precise call-price and implied volatility approximations for asset-price models.
method Analyzing the asymptotic behavior of at-the-money call prices and implied volatilities for Lévy-driven asset-price models.
result First-order asymptotic expansions for at-the-money call prices and implied volatilities in exponential Lévy models.
ACI converts call center conversations into actionable data.
problem Real-time spoken language understanding for call center conversations.
method Combines speech recognition, entity and intent recognition, and a business rules engine.
result ACI converts live audio into structured events for real-time supervision and assistance.
The space of call price functions has a natural noncommutative semigroup structure with an involution. A basic example is the Black--Scholes call price surface, from which an interesting inequality for Black--Scholes implied volatility is derived. The binary operation is compatible with the convex order, and therefore …
A statistical decision problem is hidden in the core of option pricing. A simple form for the price C of a European call option is obtained via the minimum Bayes risk, R_B, of a 2-parameter estimation problem, thus justifying calling C Bayes (B-)price. The result provides new insight in option pricing, among others obt…
Study shows physical drift affects put-call parity enforcement, not just option payoffs.
problem Inconsistency between quoted put-call parity and actual market behavior.
method Examined SPX and RUT index options, used drift-preserving GBM term to improve fit.
result Physical drift enters the enforcement of risk-neutral parity, not just option payoffs.
We discuss general notions of metrics and of Finsler structures which we call weak metrics and weak Finsler structures. Any convex domain carries a canonical weak Finsler structure, which we call its tautological weak Finsler structure. We compute distances in the tautological weak Finsler structure of a domain and we …
Algorithm estimates COVID-19 cases from phone calls.
problem Delay in confirming COVID-19 cases.
method Modeling calls as background plus signal, fitting data with high R2. result Algorithm estimates cases days before lab results.
Call Detail Records (CDRs) are data recorded by telecommunications companies, consisting of basic informations related to several dimensions of the calls made through the network: the source, destination, date and time of calls. CDRs data analysis has received much attention in the recent years since it might reveal va…