arXiv research

TitAnt detects online transaction fraud in milliseconds.

DEFRAG accelerates extreme classification by reducing feature dimensions.

Novel LSTM network predicts pulsar timing residuals with few-shot data.

This paper proposes a stochastic model using the concept of Markov chains for the inter-state transitions of the millisecond order quasi-stable phase synchronized patterns or synchrostates, found in multi-channel Electroencephalogram (EEG) signals. First and second order transition probability matrices are estimated fo…

Paper uses NMT to predict solutions to stochastic optimization problems quickly.

High frequency trading has led to widespread efforts to reduce information propagation delays between physically distant exchanges. Using relativistically correct millisecond-resolution tick data, we document a 3-millisecond decrease in one-way communication time between the Chicago and New York areas that has occurred…

Heuristic algorithm for portfolio optimization reduces solve times to milliseconds.

iPrescribe offers fast online offer recommendations using deep learning.

Paper develops a fast Bayesian method to predict toxic trades in financial transactions.

This paper offers a methodological contribution at the intersection of machine learning and operations research. Namely, we propose a methodology to quickly predict expected tactical descriptions of operational solutions (TDOSs). The problem we address occurs in the context of two-stage stochastic programming where the…

This paper offers a methodological contribution at the intersection of machine learning and operations research. Namely, we propose a methodology to quickly predict tactical solutions to a given operational problem. In this context, the tactical solution is less detailed than the operational one but it has to be comput…

Most of the JavaScript code deployed in the wild has been minified, a process in which identifier names are replaced with short, arbitrary and meaningless names. Minified code occupies less space, but also makes the code extremely difficult to manually inspect and understand. This paper presents Context2Name, a deep le…

The paper analyzes real-time methods to detect rapidly varying liquidity in markets.

The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise featureless processes such as random walks. The bias stems from the selection o…

Estimation of facial expressions, as spatio-temporal processes, can take advantage of kernel methods if one considers facial landmark positions and their motion in 3D space. We applied support vector classification with kernels derived from dynamic time-warping similarity measures. We achieved over 99% accuracy - measu…

This thesis builds a real-time VaR calculation workflow for crypto derivatives.

GPU-accelerates multiuser detection for 5G URLLC systems.

ALIEN improves uncertainty estimation of language models by refining entropy-based methods.

New methods for $Z$-transform inversion and Wiener-Hopf factorization.

SNNs enhance high-frequency price spike forecasting in HFT environments.

Efficiently solves inverse classification problems for logistic and softmax models.

Deep neural network approximates multivariate option pricing.

We introduce Microsoft Machine Learning for Apache Spark (MMLSpark), an ecosystem of enhancements that expand the Apache Spark distributed computing library to tackle problems in Deep Learning, Micro-Service Orchestration, Gradient Boosting, Model Interpretability, and other areas of modern computation. Furthermore, we…

Fast Bayesian inference with adaptable priors for real-time applications.

The paper calibrates a model to market quotes efficiently and arbitrage-free.

We introduce deep learning models to estimate the masses of the binary components of black hole mergers, $(m_1,m_2)$, and three astrophysical properties of the post-merger compact remnant, namely, the final spin, $a_f$, and the frequency and damping time of the ringdown oscillations of the fundamental $\ell=m=2$ bar mo…

Recent advances in neural architecture search (NAS) demand tremendous computational resources, which makes it difficult to reproduce experiments and imposes a barrier-to-entry to researchers without access to large-scale computation. We aim to ameliorate these problems by introducing NAS-Bench-101, the first public arc…

We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique process the duration of the transaction and the corresponding volume of orders. The model is motivated by the fact that the "excitation" of …

Interleaved RNNs detect fraud without costly features.

Current Flash X-ray single-particle diffraction Imaging (FXI) experiments, which operate on modern X-ray Free Electron Lasers (XFELs), can record millions of interpretable diffraction patterns from individual biomolecules per day. Due to the stochastic nature of the XFELs, those patterns will to a varying degree includ…

Robotics improves by using image search to solve new tasks.

iDAD uses neural networks to quickly adapt experiments without likelihoods.

New method samples from time-integrated stochastic bridges using neural networks.

Optimizes web publisher revenues from RTB auctions.

The paper derives formulas for option pricing and random walk expectations.

In an Ultrafast Extreme Event (or Mini Flash Crash), the price of a traded stock increases or decreases strongly within milliseconds. We present a detailed study of Ultrafast Extreme Events in stock market data. In contrast to popular belief, our analysis suggests that most of the Ultrafast Extreme Events are not prima…

A neural network speeds up computation of Wasserstein barycenters by 60x.

Much of studies on neural computation are based on network models of static neurons that produce analog output, despite the fact that information processing in the brain is predominantly carried out by dynamic neurons that produce discrete pulses called spikes. Research in spike-based computation has been impeded by th…

Method reconstructs neuron models from spike times efficiently.

We present a neural network based calibration method that performs the calibration task within a few milliseconds for the full implied volatility surface. The framework is consistently applicable throughout a range of volatility models -including the rough volatility family- and a range of derivative contracts. The aim…

DAD learns to design experiments quickly, outperforming traditional methods.

Taobao, as the largest online retail platform in the world, provides billions of online display advertising impressions for millions of advertisers every day. For commercial purposes, the advertisers bid for specific spots and target crowds to compete for business traffic. The platform chooses the most suitable ads to …

Young isolated neutron stars (INS) most commonly manifest themselves as rotationally powered pulsars (RPPs) which involve conventional radio pulsars as well as gamma-ray pulsars (GRPs) and rotating radio transients (RRATs). Some other young INS families manifest themselves as anomalous X-ray pulsars (AXPs) and soft gam…

LSS learns molecular trajectories from MD data.

New method for efficient pricing of double barrier options in Lévy models.

K-Nearest Neighbours (k-NN) is a popular classification and regression algorithm, yet one of its main limitations is the difficulty in choosing the number of neighbours. We present a Bayesian algorithm to compute the posterior probability distribution for k given a target point within a data-set, efficiently and withou…

Detects corruption in agentic models during execution.

AMS improves video inference on edge devices by adapting a small model with online knowledge distillation.