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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.

168,742 papers · 148 categories

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146292438584 · Jun 202019922001200920172026
48 results for Intensive Margin Effects

New insights show Medicaid impacts on ED use vary widely, with some groups seeing significant increases.

problem Understanding the varied impacts of Medicaid on emergency department use.
method Causal machine learning methods to identify heterogeneous impacts.
result Meaningful heterogeneity in the effect of Medicaid on ED use, with a small group driving the overall effect.

Machine learning predicts CO2 emissions in power grids, reducing uncertainty.

problem Forecasting CO2 emission intensities in power grids.
method Developed a machine learning algorithm using LASSO, feature selection, and Softmax weighted average.
result Marginal emissions are independent of DK2 zone conditions, suggesting external generators.

Study finds cherry-picking load shaping strategies outperforms others in reducing grid CO2 emissions.

problem Lack of detailed counterfactual data makes it hard to assess load shaping strategies' effectiveness.
method Calibrated granular ERCOT simulations for counterfactual analysis of load shaping strategies.
result LMP-based load shaping outperforms other strategies in reducing grid CO2 emissions.

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…

2019-08-15abs ↗pdf ↗

Fossil power firms have recently profited more than renewables, but this may be a temporary phenomenon.

problem The profitability gap between renewable and fossil power firms in Europe.
method Machine-learning clustering and Bayesian model averaging.
result Renewable power firms are becoming more profitable, while fossil power firms are becoming less so.

The paper proposes effective margin regularization to improve adversarial robustness in deep neural networks.

problem Adversarial vulnerability of deep neural networks (DNNs).
method Regularization of effective weight norm during training to maximize effective margins.
result Effective margin regularization (EMR) boosts adversarial robustness in both standard and adversarial training.

This paper measures the intensity of implicit government guarantees using PMC index model.

problem Excessive local government debt due to implicit government guarantees.
method Text mining of policy documents related to municipal investment bonds, PMC index model.
result Recent policies have reduced the intensity of implicit government guarantees.

Optimizes AIS hyperparameters for efficient marginal likelihood estimation.

problem Limited computation budget affects AIS performance.
method Flexible intermediary distributions defined by residual density, parameter sharing, and fix linear schedule.
result Optimized-Path AIS reduces sampling iterations and improves performance.

This paper solves the inversion problem for jump processes using Markovian projections.

problem Calibrating jump-diffusion models with both local and stochastic features.
method Inverting Markovian projections for pure jump processes.
result Constructs calibrated local stochastic intensity (LSI) models for credit risk applications.

mGRN improves multivariate time series prediction by managing marginal and joint memories.

problem Extracting dependencies in multivariate sequential data with strong serial and cross-sectional dependencies.
method Developed a novel recurrent network architecture, Memory-Gated Recurrent Networks (mGRN), with gates for marginal and joint memories.
result mGRN consistently outperforms state-of-the-art architectures on various public datasets.

This paper identifies and bounds ICE central moments using PO marginal central moments.

problem Identifying and characterizing treatment effect heterogeneity.
method Using only marginal central moments of potential outcomes, the paper identifies and bounds central moments of individual causal effects.
result Identification and bounding of central moments of ICE using marginal moments of POs.

The paper tackles fVaR prediction methods in finance.

problem Predicting future values at risk (fVaR) in finance.
method Various methods including Nested MC-empirical quantile, percentiles from distributions, quantile regressions, and limited inner simulations.
result Improved methods for predicting fVaRs, including those that are computationally efficient.

The paper optimizes asset selection for index trackers and enhanced trackers with varying cardinality constraints.

problem Optimizing asset selection for index trackers and enhanced trackers with cardinality constraints.
method Divided into two steps: asset pre-selection and asset weight estimation. Used eight pre-selection procedures with different combinations of selection methods and regression types.
result Out-of-sample tracking errors are roughly proportional to 1/sqrt(cardinality). OLS is more effective than LAD, BE marginally more effective than FS, and (n) marginally more effective than (c).

New model estimates higher-order interactions in stochastic processes using lower-dimensional projections.

problem Estimating higher-order interaction effects in stochastic processes with limited data.
method Additive Poisson Process (APP) combines information geometry and generalized additive models to model intensity functions in lower dimensions.
result The model can estimate higher-order intensity functions with sparse data.

We develop an HMC algorithm to easily marginalize random effects in LMMs.

problem Bayesian inference in LMMs is challenging, especially marginalizing random effects.
method Developed an HMC algorithm to marginalize random effects in LMMs efficiently.
result Marginalization is always beneficial when applicable and improves various models, especially cognitive science models.

New method detects TC imagery patterns for rapid intensity change.

problem Detecting upcoming rapid intensity changes in TC satellite imagery.
method Nonparametric test of association between images and event labels using neural networks and bootstrap.
result Identifies archetypes of infrared imagery associated with elevated rapid intensification risk.

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…

2017-10-10abs ↗pdf ↗

The edge partition model (EPM) is a fundamental Bayesian nonparametric model for extracting an overlapping structure from binary matrix. The EPM adopts a gamma process (ΓΓP) prior to automatically shrink the number of active atoms. However, we empirically found that the model shrinkage of the EPM does not typically wo…

2017-09-26abs ↗pdf ↗

We analyze the counterparty risk embedded in CDS contracts, in presence of a bilateral margin agreement. First, we investigate the pricing of collateralized counterparty risk and we derive the bilateral Credit Valuation Adjustment (CVA), unilateral Credit Valuation Adjustment (UCVA) and Debt Valuation Adjustment (DVA).…

2011-04-13abs ↗pdf ↗

Proposes a tabular transformer model to maintain feature effect intelligibility.

problem Losing marginal feature effects in deep tabular transformer networks.
method Adapts tabular transformer networks to identify marginal feature effects.
result The model accurately identifies marginal feature effects, matching black-box performance while maintaining intelligibility.

In an asset return series there is a conditional asymmetric dependence between current return and past volatility depending on the current return's sign. To take into account the conditional asymmetry, we introduce new models for asset return dynamics in which frequencies of the up and down movements of asset price hav…

2013-11-20abs ↗pdf ↗

Generative model evaluates text emotion intensity, outperforming classification.

problem Limitations of discrete emotion classification in applied domains.
method Fine-tuning generative language models to output continuous emotion intensity scores.
result Generative model outperforms classification baselines and reveals generalization capabilities.

Develops methods to learn optimal treatment regimes using causal tree methods.

problem Lack of methods for estimating treatment effects and handling complex patient data.
method Causal tree and causal forest methods for estimating heterogeneous treatment effects.
result Outperforms state-of-the-art baselines in cumulative regret and percentage of optimal decisions.

A temporal point process is a mathematical model for a time series of discrete events, which covers various applications. Recently, recurrent neural network (RNN) based models have been developed for point processes and have been found effective. RNN based models usually assume a specific functional form for the time c…

2019-05-23abs ↗pdf ↗

Study finds inventory inaccuracies are linked to store activity and product perishability.

problem Inventory record inaccuracy in grocery retailing environments.
method Analysis of 24,000 SKUs across 11 stores, field quasi-experiment on audits.
result Inventory audits can boost sales by 11%, especially for perishable items.

Study evaluates margin parameter effects on knowledge embedding quality.

problem Understanding margin parameter's impact on embedding quality.
method Examined margin parameter values for multi-relational categorized data.
result Lower margin values are insufficient, while larger values cause noise.

MACQ method explains deep learning models by analyzing feature contributions across prediction levels.

problem Explaining deep learning model predictions.
method Global gradient-based, model-agnostic approach focusing on marginal attribution.
result MACQ separates feature contributions from interaction effects and visualizes 3-way relationships.

This paper uses Malliavin calculus to price and compute delta of financial derivatives in jump-diffusion models.

problem Pricing and delta computation of financial derivatives in jump-diffusion models with stochastic intensity.
method Utilizes Malliavin calculus to price and compute delta, applying the Euler scheme for convergence analysis.
result Established the convergence of approximated solution, financial derivative, and its delta Greeks.

This paper explores neural models to improve modeling of Hawkes process intensity functions.

problem Traditional Hawkes process intensity function's parametrized kernel function biases future event predictions.
method Uses neural models to model the kernel function of Hawkes process intensity function.
result Neural models can better capture future event characteristics using past events data.

We propose an efficient method for estimating covariate effects in doubly-stochastic spatial models.

problem Computational demands and restrictive assumptions in existing doubly-stochastic spatial models.
method Penalized regression method for estimating covariate effects in doubly-stochastic point processes.
result Consistency and asymptotic normality of the covariate effect estimates achieved despite model misspecification.

A novel method for efficiently integrating spatiotemporal point processes.

problem Challenges in integrating spatiotemporal neural point processes, especially for flexible intensity functions.
method AutoSTPP (Automatic Integration for Spatiotemporal Neural Point Processes) extends a dual network approach to 3D STPP using ProdNet for decomposable parametrization of the integral network.
result AutoSTPP effectively sidesteps computational complexities and shows significant advantage in recovering complex intensity functions.

Deep neural networks can generalize well even with perfect fits to noisy data.

problem Understanding the conditions under which deep neural networks generalize well in the presence of noise.
method Comprehensive study of linear maximum margin classifiers, focusing on noisy and noiseless cases.
result Discovery of a phase transition in test error bounds for the noisy model.