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.
Study shows Merton model limits to Poisson process with log-normal intensity, improving default portfolio prediction.
New method models intensity functions on spheres using normalizing flows.
Study resolves the Korean LVRP puzzle by showing HVRP exists but is masked by investor heterogeneity and improper intensity normalization.
Temporal point processes are the dominant paradigm for modeling sequences of events happening at irregular intervals. The standard way of learning in such models is by estimating the conditional intensity function. However, parameterizing the intensity function usually incurs several trade-offs. We show how to overcome…
Many statistical models are given in the form of non-normalized densities with an intractable normalization constant. Since maximum likelihood estimation is computationally intensive for these models, several estimation methods have been developed which do not require explicit computation of the normalization constant,…
We propose an efficient method for estimating covariate effects in doubly-stochastic spatial models.
Study develops smart contract framework for procurement under demand variability.
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential Lévy models based on prices of European options. To this end, we show joint asymptotic normality in the spectral calibration method for the estimators of the volatility, the drift, the jump intensity and the …
Study reduces emissions in portfolios with error-prone emissions data.
The study identifies and analyzes different market regimes in equity markets using advanced signal processing techniques.
Multiple sclerosis (MS) is an inflammatory demyelinating disease of the central nervous system (CNS) that results in focal injury to the grey and white matter. The presence of white matter lesions biases morphometric analyses such as registration, individual longitudinal measurements and tissue segmentation for brain v…
Adaptive importance sampling for estimating point process statistics.
A new method uses Transformers for efficient prediction of marked point processes.
Objective: Predict patient-specific vitals deemed medically acceptable for discharge from a pediatric intensive care unit (ICU). Design: The means of each patient's hr, sbp and dbp measurements between their medical and physical discharge from the ICU were computed as a proxy for their physiologically acceptable state …
Event sequences can be modeled by temporal point processes (TPPs) to capture their asynchronous and probabilistic nature. We propose an intensity-free framework that directly models the point process distribution by utilizing normalizing flows. This approach is capable of capturing highly complex temporal distributions…
New method calculates Ricci curvature from distances between weighted volumes.
Local semi-supervised method improves brain tissue classification in child MRI.
A common challenge in estimating parameters of probability density functions is the intractability of the normalizing constant. While in such cases maximum likelihood estimation may be implemented using numerical integration, the approach becomes computationally intensive. The score matching method of Hyvärinen [2005] …
A new flow-based Bayesian filter tackles high-dimensional nonlinear stochastic systems.
Neural Diffusion Intensity Models simplify Cox processes inference.
This paper proposes a method to use deep neural networks as end-to-end open-set classifiers. It is based on intra-class data splitting. In open-set recognition, only samples from a limited number of known classes are available for training. During inference, an open-set classifier must reject samples from unknown class…
A new method avoids noise amplification when subtracting or dividing stochastic signals.
Bayesian approach for inhomogeneous Poisson process intensity estimation.
The risk-neutral option pricing method under GARCH intensity model is examined. The GARCH intensity model incorporates the characteristics of financial return series such as volatility clustering, leverage effect and conditional asymmetry. The GARCH intensity option pricing model has flexibility in changing the volatil…
Method uses deep learning to estimate traffic intensity.
Local Hebbian learning is believed to be inferior in performance to end-to-end training using a backpropagation algorithm. We question this popular belief by designing a local algorithm that can learn convolutional filters at scale on large image datasets. These filters combined with patch normalization and very steep …
A new kernel method improves Poisson process intensity estimation.
In this work, we propose a novel technique to boost training efficiency of a neural network. Our work is based on an excellent idea that whitening the inputs of neural networks can achieve a fast convergence speed. Given the well-known fact that independent components must be whitened, we introduce a novel Independent-…
Deep learning is extremely computationally intensive, and hardware vendors have responded by building faster accelerators in large clusters. Training deep learning models at petaFLOPS scale requires overcoming both algorithmic and systems software challenges. In this paper, we discuss three systems-related optimization…
Develops efficient methods for approximating densities of financial models with jumps.
Study identifies two borrowing patterns in UK payday loan users.
Using a Levy process we generalize formulas in Bo et al.(2010) for the Esscher transform parameters for the log-normal distribution which ensure the martingale condition holds for the discounted foreign exchange rate. Using these values of the parameters we find a risk-neural measure and provide new formulas for the di…
Model predicts bid and ask price dynamics with spread-dependent intensities.
This paper discusses properties of a Doubly Stochastic Poisson Process (DSPP) where the intensity process belongs to a class of affine diffusions. For any intensity process from this class we derive an analytical expression for probability distribution functions of the corresponding DSPP. A specification of our results…
We provide analytical pricing formula of corporate defaultable bond with both expected and unexpected default in the case with stochastic default intensity. In the case with constant short rate and exogenous default recovery using PDE method, we gave some pricing formula of the defaultable bond under the conditions tha…
Quantum computing speeds up CDO pricing models.
We propose a novel method for automatic pain intensity estimation from facial images based on the framework of kernel Conditional Ordinal Random Fields (KCORF). We extend this framework to account for heteroscedasticity on the output labels(i.e., pain intensity scores) and introduce a novel dynamic features, dynamic ra…
The paper analyzes multivariate Hawkes processes and their induced population processes.
US firms improve ESG performance in response to China trade shock.
Paper proposes robust method to detect risk heterogeneity across ethnic groups.
Neural networks learn distance-based representations, not just intensity.
New findings allow infinite mean intensity Hawkes processes to be stable.
We introduce a Cox-type model for relative intensities of orders flows in a limit order book. The model assumes that all intensities share a common baseline intensity, which may for example represent the global market activity. Parameters can be estimated by quasi likelihood maximization, without any interference from …
The present paper introduces a jump-diffusion extension of the classical diffusion default intensity model by means of subordination in the sense of Bochner. We start from the bi-variate process of a diffusion state variable driving default intensity and a default indicator process and time change it wi…
Developing a semi-analytical approximation for general default intensity models
Complex phenomena in engineering and the sciences are often modeled with computationally intensive feed-forward simulations for which a tractable analytic likelihood does not exist. In these cases, it is sometimes necessary to estimate an approximate likelihood or fit a fast emulator model for efficient statistical inf…
New method models MTPP without predefined intensity functions.
We introduce a Markovian single point process model, with random intensity regulated through a buffer mechanism and a self-exciting effect controlling the arrival stream to the buffer. The model applies the principle of the Hawkes process in which point process jumps generate a shot-noise intensity field. Unlike the Ha…