arXiv research

Study analyzes Hotelling-type tensor deflation for spiked tensors, providing insights into signal and noise.

This paper analyzes how errors accumulate in PCA's deflation method.

The paper analyzes deflation for estimating a low-rank spike in large tensors with noise.

Study analyzes accuracy of tensor deflation in noisy conditions.

New algorithm speeds up fair clustering by 12x.

One of the first things to do while planning a trip is to book a good place to stay. Booking a hotel online can be an overwhelming task with thousands of hotels to choose from, for every destination. Motivated by the importance of these situations, we decided to work on the task of recommending hotels to users. We used…

Recognizing a hotel from an image of a hotel room is important for human trafficking investigations. Images directly link victims to places and can help verify where victims have been trafficked, and where their traffickers might move them or others in the future. Recognizing the hotel from images is challenging becaus…

We propose a neural network architecture for learning vector representations of hotels. Unlike previous works, which typically only use user click information for learning item embeddings, we propose a framework that combines several sources of data, including user clicks, hotel attributes (e.g., property type, star ra…

PriceAggregator optimizes hotel price fetching to increase Agoda's bookings.

Paper investigates existence of deflators in financial markets.

In this paper, we present a real-world conversational AI system to search for and book hotels through text messaging. Our architecture consists of a frame-based dialogue management system, which calls machine learning models for intent classification, named entity recognition, and information retrieval subtasks. Our ch…

In this paper, we implement a stochastic deflator with five economic and financial risk factors: interest rates, market price of risk, stock prices, default intensities, and convenience yields. We examine the deflator with different financial assets, such as stocks, zero-coupon bonds, vanilla options, and corporate cou…

We solve optimal consumption in a market with bounded risk.

We analyse the structure of local martingale deflators projected on smaller filtrations. In a general continuous-path setting, we show that the local martingale part in the multiplicative Doob-Meyer decomposition of projected local martingale deflators are themselves local martingale deflators in the smaller informatio…

Study resolves duality gap in optimal consumption with random income termination.

Paper optimizes tensor deflation for non-orthogonal signals.

Let $\mathbb{F}\subset \mathbb{G}$ be two filtrations and $S$ be a $\mathbb{F}$ semimartingale possessing a $\mathbb{F}$ local martingale deflator. Consider $τ$ a $\mathbb{G}$ stopping time. We study the problem whether $S^{τ-}$ or $S^τ$ can have $\mathbb{G}$ local martingale deflators. A suitable theoretical framework…

The paper shows how gradient flow on over-parametrized tensor decomposition behaves like deflation.

We consider the problem of estimating multiple principal components using the recently-proposed Sparse and Functional Principal Components Analysis (SFPCA) estimator. We first propose an extension of SFPCA which estimates several principal components simultaneously using manifold optimization techniques to enforce orth…

The paper studies optimal maps between hyperbolic surfaces, focusing on their rigidity and obstructions.

DFSOS improves sparse discriminant analysis for high-dimensional data.

New methods explain NE embeddings by identifying key variables.

New analysis improves black-box $k$-PCA algorithms, reducing parameter loss.

We undertake a study of markets from the perspective of a financial agent with limited access to information. The set of wealth processes available to the agent is structured with reasonable economic properties, instead of the usual practice of taking it to consist of stochastic integrals against a semimartingale integ…

Proposes RTL model for sentiment classification and key word detection in online reviews.

Paper proposes a new deflation varimax method for vintage factor analysis.

No arbitrage in financial markets with special semimartingales.

Researchers solved a model of an exhaustible resource with stochastic discoveries.

In this paper we study arbitrage theory of financial markets in the absence of a numéraire both in discrete and continuous time. In our main results, we provide a generalization of the classical equivalence between no unbounded profits with bounded risk (NUPBR) and the existence of a supermartingale deflator. To obtain…

New method deflates manifolds to visualize high-dimensional data.

H. Hotelling proved that in the n-dimensional Euclidean or spherical space, the volume of a tube of small radius about a curve depends only on the length of the curve and the radius. A. Gray and L. Vanhecke extended Hotelling's theorem to rank one symmetric spaces computing the volumes of the tubes explicitly in these …

Many-to-one RNN predicts user hotel clicks from browsing history.

The implementation of conventional sparse principal component analysis (SPCA) on high-dimensional data sets has become a time consuming work. In this paper, a series of subspace projections are constructed efficiently by using Household QR factorization. With the aid of these subspace projections, a fast deflation meth…

Unified framework models multiple financial and insurance term structures.

Bayesian method improves dictionary learning for complex problems.

The paper provides a new uniform tail bound for empirical processes.

Hotelling's $T^2$-test for the mean of a multivariate normal distribution is one of the triumphs of classical multivariate analysis. It is uniformly most powerful among invariant tests, and admissible, proper Bayes, and locally and asymptotically minimax among all tests. Nonetheless, investigators often prefer non-inva…

A new method inflates and deflates data manifolds to estimate densities without losing universality.

This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash account/numeraire. In addition to classical frictionless markets and markets with …

The growth of the modern knowledge-based economy is becoming less and less dependent on tangible assets and more on intangible ones. In this context, the role of human capital in the value creation process has become central. Despite the large amount of scientific work on human capital phenomena, little research has re…

Extends utility maximization theory for infinite horizons without strong no-arbitrage assumptions.

I sketch a program for a microeconomic theory of the main component of the business cycle as a recurring disequilibrium, driven by incompleteness of the financial market and by information asymmetries between borrowers and lenders. This proposal seeks to incorporate five distinct but connected processes that have been …

A constrained informationally efficient market is defined to be one whose price process arises as the outcome of some equilibrium where agents face restrictions on trade. This paper investigates the case of short sale constraints, a setting which despite its simplicity, generates new insights. In particular, it is show…

Develops a method to estimate the shadow riskless rate from empirical data.

KLD token adjusts supply based on macroeconomic debt index, creating deflationary effect.

Canonical correlation analysis was proposed by Hotelling [6] and it measures linear relationship between two multidimensional variables. In high dimensional setting, the classical canonical correlation analysis breaks down. We propose a sparse canonical correlation analysis by adding l1 constraints on the canonical vec…

We present an elementary treatment of the Optional Decomposition Theorem for continuous semimartingales and general filtrations. This treatment does not assume the existence of equivalent local martingale measure(s), only that of strictly positive local martingale deflator(s).

This paper considers an initial market model, specified by its underlying assets $S$ and its flow of information $\mathbb F$, and an arbitrary random time $τ$ which might not be an $\mathbb F$-stopping time. As the death time and the default time (that $τ$ might represent) can be seen when they occur only, the progress…