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.
Develops a framework to estimate NBA player salary ROI.
During the development of AlphaGo, its many hyper-parameters were tuned with Bayesian optimization multiple times. This automatic tuning process resulted in substantial improvements in playing strength. For example, prior to the match with Lee Sedol, we tuned the latest AlphaGo agent and this improved its win-rate from…
We consider a stochastic game of contribution to the common good in which the players have continuous control over the degree of contribution, and we examine the gradualism arising from the free rider effect. This game belongs to the class of variable concession games which generalize wars of attrition. Previously know…
Paper proposes a game-theoretic approach to generate unlearnable examples.
AlphaZero assesses new chess variants for balance and dynamics.
The paper introduces Absolute Shapley Value to handle negative contributions in machine learning model training.
A game-theoretic approach selects features by testing their marginal contributions.
Educational game on crypto investment helps students grasp macroeconomics.
This paper examines three independent explanatory variables and their relation with cost overrun in order to decide whether this is different for Dutch infrastructure projects compared to worldwide findings. The three independent variables are project type (road, rail, and fixed link projects), project size (measured i…
New framework values football players based on in-game interactions.
The \$-Game was recently introduced as an extension of the Minority Game. In this paper we compare this model with the well know Minority Game and the Majority Game models. Due to the inter-temporal nature of the market payoff, we introduce a two step transaction with single and mixed group of interacting traders. When…
Potential games, originally introduced in the early 1990's by Lloyd Shapley, the 2012 Nobel Laureate in Economics, and his colleague Dov Monderer, are a very important class of models in game theory. They have special properties such as the existence of Nash equilibria in pure strategies. This note introduces graphical…
New algorithms for n-player games using a player-centered approach.
We study ranking quantilized mean-field games to select top-performing agents.
CGAs estimate team performance from data, simplifying SV computation.
In this paper we study continuous-time stochastic control problems with both monotone and classical controls motivated by the so-called public good contribution problem. That is the problem of n economic agents aiming to maximize their expected utility allocating initial wealth over a given time period between private …
Game-theoretic analysis of mining gaps in blockchain systems.
Partial monitoring is a generalization of the well-known multi-armed bandit framework where the loss is not directly observed by the learner. We complete the classification of finite adversarial partial monitoring to include all games, solving an open problem posed by Bartok et al. [2014]. Along the way we simplify and…
For feature selection and related problems, we introduce the notion of classification game, a cooperative game, with features as players and hinge loss based characteristic function and relate a feature's contribution to Shapley value based error apportioning (SVEA) of total training error. Our major contribution is ($…
Paper tackles learning win-win solutions in aggregation systems.
Adversarial training, a special case of multi-objective optimization, is an increasingly prevalent machine learning technique: some of its most notable applications include GAN-based generative modeling and self-play techniques in reinforcement learning which have been applied to complex games such as Go or Poker. In p…
New algorithms improve on bandit feedback in matrix games with unknown payoff matrices.
Quantum strategy optimizes wealth growth in a double-or-nothing game.
We formulate a general framework for competitive gradient-based learning that encompasses a wide breadth of multi-agent learning algorithms, and analyze the limiting behavior of competitive gradient-based learning algorithms using dynamical systems theory. For both general-sum and potential games, we characterize a non…
Paper proves Shapley value convergence in Bayesian learning games.
Facing a heavy task, any single person can only make a limited contribution and team cooperation is needed. As one enjoys the benefit of the public goods, the potential benefits of the project are not always maximized and may be partly wasted. By incorporating individual ability and project benefit into the original pu…
Study examines large banks' role in interbank markets using game theory.
Paper proposes incentive mechanism to encourage participation in federated learning.
Maximizing product use is a central goal of many businesses, which makes retention and monetization two central analytics metrics in games. Player retention may refer to various duration variables quantifying product use: total playtime or session playtime are popular research targets, and active playtime is well-suite…
Contributions: Prior studies on education have mostly followed the model of the cross sectional study, namely, examining the pretest and the posttest scores. This paper shows that students' knowledge throughout the intervention can be estimated by time series analysis using a hidden Markov model. Background: Analyzing …
Paper solves complex game theory problems with new equations.
Research adapts Multi-Armed Bandits for Minesweeper, improving player strategy.
Models analyze strategic risk-taking in continuous action games.
Model predicts S&P 500 IT sector index prices with high accuracy.
New method attributes feature uncertainty in ML models using cooperative game theory.
New approach tackles non-stationary multi-agent games with black-box methods.
Framework identifies comorbidities for frequent ED and inpatient visits.
Reinforcement Learning (RL) is a research area that has blossomed tremendously in recent years and has shown remarkable potential for artificial intelligence based opponents in computer games. This success is primarily due to vast capabilities of Convolutional Neural Networks (ConvNet), enabling algorithms to extract u…
Statistical physics method analyzes minority game dynamics in financial markets.
Paper studies optimal tracking portfolio in mean field game of large fund competition.
Repo dealers' market power affects bond prices by up to 2 percentage points.
The standard theory of coherent risk measures fails to consider individual institutions as part of a system which might itself experience instability and spread new sources of risk to the market participants. In compliance with an approach adopted by Shapley and Shubik (1969), this paper proposes a cooperative market g…
This paper goes beyond the optimal trading Mean Field Game model introduced by Pierre Cardaliaguet and Charles-Albert Lehalle in [Cardaliaguet, P. and Lehalle, C.-A., Mean field game of controls and an application to trade crowding, Mathematics and Financial Economics (2018)]. It starts by extending it to portfolios of…
We solve the dynamics of large spherical Minority Games (MG) in the presence of non-negligible time dependent external contributions to the overall market bid. The latter represent the actions of market regulators, or other major natural or political events that impact on the market. In contrast to non-spherical MGs, t…
This paper examines various definitions of adversarial risk and their implications.
Study optimal reinsurance strategies in a game between insurer and two reinsurers.
Quantitative analysis of soccer players' passing ability focuses on descriptive statistics without considering the players' real contribution to the passing and ball possession strategy of their team. Which player is able to help the build-up of an attack, or to maintain the possession of the ball? We introduce a novel…
The standard risk minimization paradigm of machine learning is brittle when operating in environments whose test distributions are different from the training distribution due to spurious correlations. Training on data from many environments and finding invariant predictors reduces the effect of spurious features by co…