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.
Proposes a simple solution to Gini importance bias in random forests.
The aim of this paper is to introduce a risk measure that extends the Gini-type measures of risk and variability, the Extended Gini Shortfall, by taking risk aversion into consideration. Our risk measure is coherent and catches variability, an important concept for risk management. The analysis is made under the Choque…
The article compares predictor importance in classification problems with categorical outcomes.
We study the problems related to the estimation of the Gini index in presence of a fat-tailed data generating process, i.e. one in the stable distribution class with finite mean but infinite variance (i.e. with tail index ). We show that, in such a case, the Gini coefficient cannot be reliably estimated usin…
Gini index needs auto-calibration for consistent decision-making.
The paper analyzes ESS metrics and their connections to entropy families.
New Gini indices capture more nuanced income inequality.
This paper fills in local bounds for Spearman's footrule and Gini's gamma measures of association.
Identifying statistical dependence between the features and the label is a fundamental problem in supervised learning. This paper presents a framework for estimating dependence between numerical features and a categorical label using generalized Gini distance, an energy distance in reproducing kernel Hilbert spaces (RK…
Paper discusses extending Gini score for tied rankings and case weights.
Novel method for multiclass ROC curves using multidimensional Gini index.
The paper examines the stability of binary choice models using Gini index and scoring indicators.
We propose an approach to explain fluctuations in time intervals of financial markets data from the view point of the Gini index. We show the explicit form of the Gini index for a Weibull distribution which is a good candidate to describe the first passage time of foreign exchange rate. The analytical expression of the…
Paper proves convergence of Gini index to equilibrium in Wasserstein distance.
The evolution of Gini coefficient for personal incomes in the USA between 1947 and 2005 is analyzed and modeled. There are several versions of personal income distribution (PID) provided by the US Census Bureau (US CB) for this period with various levels of resolution. Effectively, these PIDs result in different Gini c…
The CAP slope is Bayes' theorem in cumulative coordinates, unlocking the weight of evidence, Somers' D, and Gini coefficient.
Analytical results bound the approach to oligarchy in a modified asset exchange model.
Unified view of improving tree model interpretability and debiasing feature importance.
In this paper, we establish the stochastic ordering of the Gini indexes for multivariate elliptical risks which generalized the corresponding results for multivariate normal risks. It is shown that several conditions on dispersion matrices and the components of dispersion matrices of multivariate normal risks for the m…
Rapidly growing product lines and services require a finer-granularity forecast that considers geographic locales. However the open question remains, how to assess the quality of a spatio-temporal forecast? In this manuscript we introduce a metric to evaluate spatio-temporal forecasts. This metric is based on an Opti- …
The paper analyzes worst-case distortion risk metrics and weighted entropy under partial information.
Paper introduces a new measure combining entropy and Gini index.
Direct measurements of Gini coefficients by conventional arithmetic calculations are a poor estimator, even if paradoxically, they include the entire population, as because of super-additivity they cannot lend themselves to comparisons between units of different size, and intertemporal analyses are vitiated by the popu…
Hollow-tree Super resolves feature importance in large datasets.
Two regularization techniques improve GCNN explainability and preference from chemists.
The standard deviation and Gini mean difference order based on tail behavior.
Punctuated Equilibrium (PE) states that after long periods of evolutionary quiescence, species evolution can take place in short time intervals, where sudden differentiation makes new species emerge and some species extinct. In this paper, we introduce and study the effect of punctuated equilibrium on two different ass…
The argument that the alarming level of Gini coefficient is 0.4 is very popular, especially in the media industry, all around the world for a long time. Although the 0.4 standard is widely accepted, the derivation of the value lacks rigid theoretical foundations. In fact, to the best of our knowledge, it is not based o…
The paper covers the new model of wage distribution in typical group of people. The model provides the opportunity to reparameterize applicable income distribution model: Pareto, logarithmically normal, logarithmically logistic, Dagum etc. The model ensures the graduation of Gini index values by polynomial degree of wa…
Wealth redistribution through Fokker-Planck equation controls preserves Gini coefficient.
Socio-economic inequality is characterized from data using various indices. The Gini () index, giving the overall inequality is the most common one, while the recently introduced Kolkata () index gives a measure of fraction of population who possess top fraction of wealth in the society. Here, we show t…
An investigation is presented of how a comprehensive choice of five most important measures of concordance (namely Spearman's rho, Kendall's tau, Gini's gamma, Blomqvist's beta, and their weaker counterpart Spearman's footrule) relate to non-exchangeability, i.e., asymmetry on copulas. Besides these results, the method…
The paper calculates bounds for risk metrics and entropies under partial information constraints.
Using tax and census data, we demonstrate that the distribution of individual income in the USA is exponential. Our calculated Lorenz curve without fitting parameters and Gini coefficient 1/2 agree well with the data. From the individual income distribution, we derive the distribution function of income for families wi…
Framework monitors insurance pricing models for drift and recalibration.
One of the most important challenges in the analysis of high-throughput genetic data is the development of efficient computational methods to identify statistically significant Single Nucleotide Polymorphisms (SNPs). Genome-wide association studies (GWAS) use single-locus analysis where each SNP is independently tested…
Sparse molecular representations improve interpretability in graph neural networks.
An investigation is presented of how a comprehensive choice of four most important measures of concordance (namely Spearman's rho, Kendall's tau, Spearman's footrule, and Gini's gamma) relate to the fifth one, i.e., the Blomqvist's beta. In order to work out these results we present a novel method of estimating the val…
New models reduce regional inequality by adjusting exchange range and asset distribution bias.
This paper aims to present a general idea of method comparison of Credit Scoring techniques. Any scorecard can be made in various methods based on variable transformations in the logistic regression model. To make a comparison and come up with the proof that one technique is better than another is a big challenge due t…
We study the effect of the social stratification on the wealth distribution on a system of interacting economic agents that are constrained to interact only within their own economic class. The economical mobility of the agents is related to its success in exchange transactions. Different wealth distributions are obtai…
We collect well known and less known facts about the bivariate normal distribution and translate them into copula language. In addition, we prove a very general formula for the bivariate normal copula, we compute Gini's gamma, and we provide improved bounds and approximations on the diagonal.
Study uses Perelman and Ricci flow methods to analyze economic inequality.
The paper is aware of the importance of certain figures that are essential to an understanding of Credit Scoring models in credit acceptance process optimization, namely if the power of discrimination measured by Gini value is increased by 5% then the profit of the process can be increased monthly by about 1 500 kPLN (…
We study the effect of altruism in two simple asset exchange models: the yard sale model (winner gets a random fraction of the poorer player's wealth) and the theft and fraud model (winner gets a random fraction of the loser's wealth). We also introduce in these models the concept of bargaining efficiency, which makes …
Study uses random forest to detect unlawful insider trading in financial data.
Group Shapley evaluates feature groups in business data, improving explainability in AI.
The construction of efficient and effective decision trees remains a key topic in machine learning because of their simplicity and flexibility. A lot of heuristic algorithms have been proposed to construct near-optimal decision trees. ID3, C4.5 and CART are classical decision tree algorithms and the split criteria they…