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arXiv research

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.

169,051 papers · 148 categories

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0111 · Apr 201919922001200920172026
2 results for “H-SGDLM”
Efficient computation of mean reverting portfolios using cyclical coordinate descentq-fin.PM

Paper proposes a new method for finding sparse mean reverting portfolios efficiently.

problem Finding sparse mean reverting portfolios from a large number of assets.
method Leverages H-SGDLM data to formulate a quasi-convex minimization problem with a normalisation constraint, solving it with a cyclical coordinate descent algorithm.
result Efficiently computes exact sparse solutions for large asset universes, demonstrating flexibility, speed, and scalability.
mean reversionsparse portfolioscyclical coordinate descentH-SGDLMNP-hard problem
2019-05-14abs ↗pdf ↗
A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviourq-fin.CP

A new model decomposes market variability into interpretable components.

problem Understanding the factors driving market variability and predicting future movements.
method H-SGDLM framework with HAR-RV model for GPU-scalable multivariate volatility estimation.
result Superior performance in predicting large moves and longer-term market variability.
Bayesian modelingdynamic linear modelvolatility estimationmarket decompositionGPU scalability
2019-04-17abs ↗pdf ↗