FX spreads reduced with Last Look option, affecting market equilibrium.
problem Impact of Last Look option on FX market spreads and equilibrium.
method Assumed risk-neutral brokers, analyzed with and without Last Look option.
result Last Look option reduces spreads, can lead to market coexistence or survival of one venue.
RALM extends exposure for long-tail contents in real-time recommender systems.
problem Lack of timely exposure for long-tail contents in recommender systems.
method Real-time attention-based look-alike model (RALM) with seeds-to-user similarity prediction and user representation learning.
result RALM outperforms traditional look-alike models in effectiveness and real-time performance.
Survey of methods for solving smooth stochastic variational inequalities.
problem Solving smooth (strongly) monotone stochastic variational inequalities.
method Deterministic foundation, general stochastic formulation, finite sum setup, recent advances.
result Review of various methods for solving smooth stochastic variational inequalities.
In the last two decades, one of the most important developments in Riemannian geometry is the collapsing theory of Cheeger-Fukaya-Gromov. A Riemannian manifold is called (sufficiently) collapsed if its dimension looks smaller than its actual dimension while its sectional curvature remains bounded (say a very thin flat …
The paper discusses quantifying realism in generated images.
problem Designing functions to reliably distinguish realistic data from unrealistic data.
method Drawing on insights from algorithmic information theory, the paper introduces the notion of a universal critic.
result A good generative model alone is insufficient to solve the problem of realism quantification.
This paper explores the following question: what kind of statistical guarantees can be given when doing variable selection in high-dimensional models? In particular, we look at the error rates and power of some multi-stage regression methods. In the first stage we fit a set of candidate models. In the second stage we s…
Sharp lower bounds for magnetic Laplacian eigenvalues on cylinders and domains.
problem Finding the minimum eigenvalue of the magnetic Laplacian.
method Analyzing Riemannian cylinders and planar domains with closed potential 1-forms, establishing sharp lower bounds.
result Sharp lower bounds for the first eigenvalue of the magnetic Laplacian on cylinders and domains.
Survey of self-supervised learning methods in computer vision, NLP, and graph learning.
problem Manual labeling and vulnerability to attacks in supervised learning.
method Generative, contrastive, and generative-contrastive approaches.
result Self-supervised learning achieves high performance in representation learning.
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures to extract direct influences between multiple time series, we compute the infor…
We propose a differentiable sigmoid function for efficient p-value calculation in clustering.
problem Efficient and accurate p-value calculation for clustering algorithms.
method Designed a differentiable sigmoid function to approximate the Dip-p-value transformation.
result Accelerates computation and integrates well with gradient descent-based learning schemes.
This paper investigates the dynamics of stocks in the S&P500 index for the last 30 years. Using a stochastic geometry technique, we investigate the evolution of the market space and define a new measure for that purpose, which is a robust index of the dynamics of the market structure and provides information on the int…
Network embedding converts network data into vectors for machine learning.
problem Machine learning tasks on networks require vector representations of nodes and links.
method Various unsupervised and supervised methods for converting network data into vectors.
result Network embedding methods aim to preserve network structure in learned feature representations.
Extends Dirac structures to infinite dimensions for mechanical systems.
problem Adapting finite-dimensional Dirac structures to infinite-dimensional settings.
method Introduces partial Dirac structures and applies variational techniques to constraint Lagrangians on subbundles and singular distributions.
result Characterizes normal geodesics for conical Finsler metrics on Banach manifolds.
Analyzes neural networks using spectral perspectives.
problem Understanding neural network initialization and training.
method Examines the Conjugate Kernel and Neural Tangent Kernel spectra.
result Lends insights into neural network initialization and training properties.
Since its original publication in 1916 under the title "The Algebraic Theory of Modular Systems", the book by F. S. Macaulay has attracted a lot of scientists with a view towards pure mathematics (D. Eisenbud,...) or applications to control theory (U. Oberst,...).However, a carefull examination of the quotations clearl…
Improved few-shot learning with lower-level neural network embeddings.
problem Limited data scenarios in few-shot learning.
method Graph-based meta-learning framework using hidden layer feature embeddings.
result Utilization of lower-level neural network embeddings improves classifier accuracy.
China Vanke Co. faced a hostile takeover by Baoneng Group, sparking controversy.
problem A hostile takeover of China Vanke Co. by Baoneng Group.
method No specific method mentioned in the abstract.
result National controversy over corporate governance and government role in capital markets.
Constructs new topological theories in 2D not fitting standard axioms.
problem Developing new topological theories in 2D that don't conform to traditional axioms.
method Universal construction by Blanchet et al., Kronecker's characterization, field extension, Hankel matrices, Schur polynomials, and foam evaluation.
result Introduction of non-multiplicative theories and classification over finite-dimensional state spaces.
Hidden Markov Model helps track asymptomatic carriers in pandemic.
problem Tracking spread of asymptomatic carriers (super-spreaders) during pandemic.
method Applied Hidden Markov Model to analyze COVID-19 data.
result Better assessment of spread extent for calibrated interventions.
Study assesses additional factors for identifying persistent alpha in pension funds.
problem Identify persistent alpha in pension funds using additional factors.
method Reproduces Fama and French's (2010) experiment with additional features and compares results to 3-factor model.
result Additional factors improve persistence of alpha assessment in pension funds.
Review of deep learning methods for remote sensing with limited data.
problem Deep learning requires large labeled data, but remote sensing often has limited labeled data.
method Transfer learning, unsupervised learning, and generative adversarial networks.
result Current solutions have gaps that need addressing.
Improved statistical efficiency of Thompson Sampling for combinatorial semi-bandits.
problem Efficiency of policies in stochastic combinatorial multi-armed bandits with semi-bandit feedback.
method Analysis of Combinatorial Thompson Sampling (CTS) using Beta and Gaussian priors for mutually independent and multivariate sub-Gaussian outcomes.
result CTS provides an efficient policy with optimal asymptotic regret for both mutually independent and multivariate sub-Gaussian outcomes.
Study shows optimal RL with transition look-ahead is NP-hard for ℓ≥2.
problem Optimal reinforcement learning with transition look-ahead is computationally hard.
method Proved NP-hardness for ℓ≥2 using linear programming. result There is a precise boundary between tractable and intractable cases for RL with look-ahead.
Extends SABR model for pricing RFR caplets.
problem Pricing backward RFR caplets in a post-Libor market.
method Closed-form effective SABR parameters for backward RFR caplets.
result Closed-form solution for backward RFR caplets.
New acquisition functions improve Bernoulli LSE.
problem Efficiently estimating regions where a Bernoulli function is above or below a threshold.
method Developed new look-ahead acquisition functions for Gaussian process classification models.
result Demonstrated clear benefits of new acquisition functions on benchmark and real-world tasks.
A new method generates natural-looking adversarial examples by bounding internal activation values.
problem Creating natural-looking adversarial examples that closely mimic the original input.
method Bounding internal activation values through a distribution quantile bound and polynomial barrier loss function.
result Our attack achieves similar success and confidence levels as state-of-the-art methods but with more natural-looking perturbations.
Model explains deleveraging risks in non-custodial stablecoins.
problem Deleveraging risks in non-custodial stablecoins during market crises.
method Developed a stochastic model incorporating speculators' profit optimization and collateral liquidation costs.
result Identified deflationary deleveraging spirals and higher price variance in unstable domains.
Review of financial dependencies using econophysics and financial economics.
problem Analyzing financial dependencies between markets.
method Combining econophysics and financial economics approaches to model financial markets.
result Information filtering networks effectively describe financial dependencies.
MLMC boosts Bayesian optimization's look-ahead efficiency.
problem Efficiently computing nested expectations in Bayesian optimization.
method Multilevel Monte Carlo (MLMC) for nested operations.
result MLMC achieves MC convergence rate for nested operations, improving BO performance.
New approach uses 'forward-looking' counterfactuals for treatment choice.
problem Using traditional 'retrospective' counterfactuals in treatment choice leads to counterintuitive results.
method Introduces 'counterfactual treatment choice' for forward-looking counterfactuals.
result Mismatches between interventional and forward-looking counterfactuals can lead to counterintuitive results.
Co-eye combines multiple symbolic representations to improve time series classification accuracy.
problem Challenges in time series classification due to domain diversity.
method Inspired by compound eyes, Co-eye uses multiple symbolic representations and hyper-parameterised lenses to classify time series data.
result Co-eye outperforms state-of-the-art techniques in accuracy and robustness across various domains.
The study looks for stable structures in four scenarios.
problem Finding stable geometric structures in various situations.
method Discussion of known and unknown aspects of stable structures.
result Discussion of stable structures in four contexts.
In this note, we present a new look at translationally equivariant minimal Lagrangian surfaces in the complex projective plane via the loop group method.
Look-Ahead-Bench evaluates financial LLMs for lookahead bias, revealing significant differences in model performance.
problem Measuring and mitigating lookahead bias in financial LLMs.
method Standardized benchmark evaluating model behavior in practical financial scenarios, analyzing performance decay across market regimes.
result Standard LLMs exhibit significant lookahead bias, while Pitinf models show improved generalization and reasoning abilities.
We look at Poisson geometry taking the viewpoint of singular foliations, understood as suitable submodules generated by Hamiltonian vector fields rather than partitions into (symplectic) leaves. The class of Poisson structures which behave best from this point of view, are those whose submodule generated by Hamiltonian…
Bayesian imputation optimizes bias-variance tradeoff in time-series data.
problem Look-ahead bias in imputation of missing time-series data.
method Wasserstein interpolation for Bayesian posterior consensus distribution.
result Optimal control of look-ahead bias and variance in imputation.
A new algorithm reduces bias in LSM for Bermudan option pricing.
problem Look-ahead bias in LSM for Bermudan options.
method Leave-one-out least squares Monte Carlo (LOOLSM) algorithm.
result LOOLSM eliminates look-ahead bias without doubling simulations.
We classify all closed 1-connected manifolds M which look like projective planes, i.e. with integral homology H∗(M)=Z3. Furthermore, we give an explicit construction of these manifolds as Thom spaces of open disk bundles.
Study reveals patterns in trader clusters over time, improving investment predictions.
problem Managing diverse trader risk in financial services.
method Clustered trader data analyzed using Ewens' Sampling Distribution and Aggregating Algorithm (AA). Statistically Validated Networks (SVN) applied for improved results.
result Temporal distributions of trader clusters follow Ewens' Sampling Distribution, and AA can be improved with SVN.
We look into computational aspects of two classical knot invariants. We look for ways of simplifying the computation of the coloring invariant and of the Alexander module. We support our ideas with explicit computations on pretzel knots.
Paper examines pricing and hedging for cross-currency swaps referencing backward-looking rates.
problem Pricing and hedging cross-currency swaps with backward-looking rates.
method Uses interest rate and currency futures for hedging, analyzes arbitrage-free multi-curve setting.
result Explicit pricing and hedging results for CCBS with backward-looking rates.
Deep network learns Obstacle Tower challenge without human demonstrations.
problem Master procedurally generated levels that get progressively harder.
method Deep Reinforcement Learning with a simple feed-forward network.
result Performed competitively in a reinforcement learning competition.
A new property fixes look-ahead bias in backtesting and trading pipelines.
problem Fixing look-ahead bias in backtesting and trading pipelines.
method Developed a pipeline calculus separating availability from reference time, and a type-and-effect system for the value-independent fragment.
result The check scales linearly and catches all leaks, including those missed by differential and tiling detectors.
This work assesses DNNs for estimating conditional probabilities.
problem Lack of uncertainty characterization in DNNs for probabilistic applications.
method Investigates DNNs' ability to estimate conditional probabilities using synthetic and real-world datasets.
result DNNs' precision in estimating conditional probabilities is influenced by probability density and inter-categorical sparsity.
Last SGD iterate bounds for overparameterized linear regression.
problem Analyzing the last iterate risk bounds of SGD with decaying stepsize for overparameterized linear regression.
method Problem-dependent analysis of last iterate risk bounds of SGD with geometrically decaying stepsize.
result Proved nearly matching upper and lower bounds on the excess risk for last iterate SGD with geometrically decaying stepsize.
OMWU shows last iterate convergence in convex-concave games.
problem Optimizing in constrained min-max optimization landscapes.
method OMWU (Optimistic Multiplicative-Weights Update) in the no-regret online learning framework.
result OMWU exhibits last iterate convergence for convex-concave games, generalizing previous results.
Capsule models detect adversarial images by reconstructing from top-level capsules.
problem Detecting adversarial images that look like a typical member of the predicted class.
method Capsule models trained to reconstruct images from pose parameters and identity of the correct top-level capsule.
result Setting a threshold on reconstruction error effectively detects adversarial images.
Last iterate of Extragradient algorithm converges slower than averaged iterates in saddle point problems.
problem Smooth convex-concave saddle point problems
method Analysis of Extragradient (EG) algorithm convergence rates
result The last iterate of EG converges at a rate of O(1/√T), compared to O(1/T) for averaged iterates