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.
Shorting IG ETFs can hedge bond portfolios during market drawdowns effectively.
QCML improves bond similarity learning in illiquid markets.
Paper proves a spinorial version of Aubin's estimate for the Yamabe problem.
RIG extends IG to Riemannian manifolds for explainable AI.
Incremental gradient (IG) methods, such as stochastic gradient descent and its variants are commonly used for large scale optimization in machine learning. Despite the sustained effort to make IG methods more data-efficient, it remains an open question how to select a training data subset that can theoretically and pra…
Adapts IG for better feature attributions and robustness.
PS-IG improves feature attribution by reducing noise and variance.
Codebook for Institutional Grammar 2.0 simplifies policy encoding.
In this paper, we propose an active perception method for recognizing object categories based on the multimodal hierarchical Dirichlet process (MHDP). The MHDP enables a robot to form object categories using multimodal information, e.g., visual, auditory, and haptic information, which can be observed by performing acti…
Music genre classification is an essential tool for music information retrieval systems and it has been finding critical applications in various media platforms. Two important problems of the automatic music genre classification are feature extraction and classifier design. This paper investigates inter-genre similarit…
IG-RL learns adaptive traffic signals for any network, outperforming existing methods.
New formulas for feature importance tests in regression models.
We introduce Generalized Integrated Gradients (GIG), a formal extension of the Integrated Gradients (IG) (Sundararajan et al., 2017) method for attributing credit to the input variables of a predictive model. GIG improves IG by explaining a broader variety of functions that arise from practical applications of ML in do…
A three dimensional supergravity theory which generalizes the super IG theory of Witten and resembles the model discussed recently by Mann and Papadopoulos is displayed. The partition function is computed, and is shown to be a three-manifold invariant generalizing the Casson invariant.
An emerging problem in trustworthy machine learning is to train models that produce robust interpretations for their predictions. We take a step towards solving this problem through the lens of axiomatic attribution of neural networks. Our theory is grounded in the recent work, Integrated Gradients (IG), in axiomatical…
We develop a theory of higher-order feature attribution for complex models.
Enhanced visual feature attribution via adaptive baseline weighting.
Study of bonded knots and braids with new algebraic models.
Developed algebraic theory of bonded braids, proving Markov theorem.
Study finds it hard to establish common factor pricing in corporate bonds.
Local explanation methods, also known as attribution methods, attribute a deep network's prediction to its input (cf. Baehrens et al. (2010)). We respond to the claim from Adebayo et al. (2018) that local explanation methods lack sensitivity, i.e., DNNs with randomly-initialized weights produce explanations that are bo…
In the present paper we show that the Binomial-tree approach for pricing, hedging, and risk assessment of Convertible bonds in the framework of the Tsiveriotis-Fernandes model has serious drawbacks. Key words: Convertible bonds, Binomial tree, Tsiveriotis-Fernandes model, Convertible bond pricing, Convertible bond Gree…
Model shows government incentives boost green bond investment.
Model proteins with bonds using Kauffman bracket skein module.
This article presents valuation of Treasury Bonds (T-Bonds) on Macedonian Stock Exchange (MSE) and empirical test of duration, modified duration and convexity of the T-bonds at MSE in order to determine sensitivity of bonds prices on interest rate changes. The main goal of this study is to determine how standard valuat…
This paper describes a new method of bond portfolio optimization based on stochastic string models of correlation structure in bond returns. The paper shows how to approximate correlation function of bond returns, compute the optimal portfolio allocation using Wiener-Hopf factorization, and check whether a collection o…
Study finds implicit government guarantee improves municipal investment bond ratings.
Classifies uncolored bonded knots with up to 7 singularity points.
Paper proposes a framework for precise daily default risk prediction of Chinese credit bonds.
We show that the martingale component in the long-term factorization of the stochastic discount factor due to Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) is highly volatile, produces a downward-sloping term structure of bond Sharpe ratios, and implies that the long bond is far from growth optimality. In…
Paper analyzes pricing model for bonds with early redemption.
We derive simple return models for several classes of bond portfolios. With only one or two risk factors our models are able to explain most of the return variations in portfolios of fixed rate government bonds, inflation linked government bonds and investment grade corporate bonds. The underlying risk factors have nat…
A machine learning model improves relative valuation of municipal bonds.
We propose an option approach for pricing bond illiquidity that is reminiscent of the celebrated work of Longstaff (1995) on the non-marketability of some non-dividend-paying shares in IPOs. This approach describes a quite common situation in the fixed income market: it is rather usual to find issuers that, besides liq…
Paper uses machine learning to uncover nonlinear dynamics in CAT bond pricing.
In this paper, we are concerned with the valuation of Catastrophic Mortality Bonds and, in particular, we examine the case of the Swiss Re Mortality Bond 2003 as a primary example of this class of assets. This bond was the first Catastrophic Mortality Bond to be launched in the market and encapsulates the behaviour of …
Deep learning speeds CAT bond valuation.
Paper proposes an analytical pricing model for puttable bonds with credit risk.
BondBERT improves sentiment analysis for bond markets.
Study predicts bond yields using machine learning and ultimate forward rates.
The paper uses option theory to estimate corporate bond liquidity spreads.
There is an observed basis between repo discounting, implied from market repo rates, and bond discounting, stripped from the market prices of the underlying bonds. Here, this basis is explained as a convexity effect arising from the decorrelation between the discount rates for derivatives and bonds. Using a Hull-White …
Investor optimizes consumption and investment in a bond market described by HJM model.
Study analyzes bond traders' views on equity market dynamics.
Deep learning models price convertible bonds with complex reset and call features.
In this three-part series of papers, we argue that the conventional spread measures are not well defined for credit-risky bonds and introduce a set of credit term structures which correct for the biases associated with the strippable cash flow valuation assumption. We demonstrate that the resulting estimates are signif…
Investors choose between bonds and savings accounts based on utility maximization.
To construct a no-arbitrage defaultable bond market, we work on the state price density framework. Using the heat kernel approach (HKA for short) with the killing of a Markov process, we construct a single defaultable bond market that enables an explicit expression of a defaultable bond and credit spread under quadrati…