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.
This paper improves traditional Markowitz optimization by considering variance at multiple time scales.
Regularizes RNNs to handle long-range dependencies and multiple time scales.
Framework learns surrogates for molecular dynamics across multiple time-scales.
Many real-world time series, such as in health, have changepoints where the system's structure or parameters change. Since changepoints can indicate critical events such as onset of illness, it is highly important to detect them. However, existing methods for changepoint detection (CPD) often require user-specified mod…
Paper proposes a robust framework for detecting multiple periodic components in time series.
Circadian rhythms influence multiple essential biological activities including sleep, performance, and mood. The dim light melatonin onset (DLMO) is the gold standard for measuring human circadian phase (i.e., timing). The collection of DLMO is expensive and time-consuming since multiple saliva or blood samples are req…
A method based on wavelet transform and genetic programming is proposed for characterizing and modeling variations at multiple scales in non-stationary time series. The cyclic variations, extracted by wavelets and smoothened by cubic splines, are well captured by genetic programming in the form of dynamical equations. …
CrossAD detects anomalies in time series data by considering cross-scale associations and cross-window modeling.
We analyze the eigenvalue distribution of a neural network's kernel under specific scaling.
For a given time horizon DT, this article explores the relationship between the realized volatility (the volatility that will occur between t and t+DT), the implied volatility (corresponding to at-the-money option with expiry at t+DT), and several forecasts for the volatility build from multi-scales linear ARCH process…
New framework for analyzing hydroclimatic time series across multiple scales.
The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Transform to calculate correlation matrices over different timescales and then explore the eigenvalue spectrum over sliding …
Identifying recurring patterns in high-dimensional time series data is an important problem in many scientific domains. A popular model to achieve this is convolutive nonnegative matrix factorization (CNMF), which extends classic nonnegative matrix factorization (NMF) to extract short-lived temporal motifs from a long …
N-BEATS(P) efficiently forecasts millions of time series with reduced memory and time.
Improved bounds for non-linear SA with fast convergence.
MS-CASTLE learns causal structures across multiple time scales.
A new SOHP filter improves trend estimation in economic time series.
The most common stochastic volatility models such as the Ornstein-Uhlenbeck (OU), the Heston, the exponential OU (ExpOU) and Hull-White models define volatility as a Markovian process. In this work we check of the applicability of the Markovian approximation at separate times scales and will try to answer the question …
Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has always presented challenging issues and provided interesting findings, such as the inverse cubic law in the tails of stock price fluctuation di…
Model detects epileptic seizures in EEG with high sensitivity.
Real time large scale streaming data pose major challenges to forecasting, in particular defying the presence of human experts to perform the corresponding analysis. We present here a class of models and methods used to develop an automated, scalable and versatile system for large scale forecasting oriented towards saf…
AdaCare learns health status from biomarkers across multiple time scales.
Time series anomaly detection plays a critical role in automated monitoring systems. Most previous deep learning efforts related to time series anomaly detection were based on recurrent neural networks (RNN). In this paper, we propose a time series segmentation approach based on convolutional neural networks (CNN) for …
Motivated by electricity consumption metering, we extend existing nonnegative matrix factorization (NMF) algorithms to use linear measurements as observations, instead of matrix entries. The objective is to estimate multiple time series at a fine temporal scale from temporal aggregates measured on each individual serie…
Study presents MMC model for better fitting multiple choice data.
A powerful approach for understanding neural population dynamics is to extract low-dimensional trajectories from population recordings using dimensionality reduction methods. Current approaches for dimensionality reduction on neural data are limited to single population recordings, and can not identify dynamics embedde…
We propose a probabilistic formulation that enables sequential detection of multiple change points in a network setting. We present a class of sequential detection rules for certain functionals of change points (minimum among a subset), and prove their asymptotic optimality properties in terms of expected detection del…
Paper proposes MSSDDPG for better financial trading strategies.
We present a set of models of the main stylized facts of market price fluctuations. These models comprise dynamical evolution with threshold dynamics and Langevin price equation with multiplicative noise, percolation models to describe the interaction between traders and hierarchical cascade models to unravel the possi…
Coherent Multiplex analyzes real-time wavelet coherence among multiple signals.
Financial time series exhibit two different type of non linear correlations: (i) volatility autocorrelations that have a very long range memory, on the order of years, and (ii) asymmetric return-volatility (or `leverage') correlations that are much shorter ranged. Different stochastic volatility models have been propos…
A key problem in location-based modeling and forecasting lies in identifying suitable spatial and temporal resolutions. In particular, judicious spatial partitioning can play a significant role in enhancing the performance of location-based forecasting models. In this work, we investigate two widely used tessellation s…
Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the multiplicity of investment strategies' horizons, we embed this concept in a continuous time stochastic volatility framework and prove that a parsimonious, two-scale version effectively captures the lon…
Recent advancements in recurrent neural network (RNN) research have demonstrated the superiority of utilizing multiscale structures in learning temporal representations of time series. Currently, most of multiscale RNNs use fixed scales, which do not comply with the nature of dynamical temporal patterns among sequences…
Study Morse models for torus algebra related to knot homology.
This work extends the scaling law to multiple and kernel regression, challenging traditional machine learning principles.
Model selection for time series forecasting can be biased by the distribution of scores.
Proposes a cross-scale residual network for multiple image restoration tasks.
We introduce a framework to study the effective objectives at different time scales of financial market microstructure. The financial market can be regarded as a complex adaptive system, where purposeful agents collectively and simultaneously create and perceive their environment as they interact with it. It has been s…
This work explores test-time scaling strategies for LLMs, improving sample efficiency and expressiveness.
SHAKE-GNN scales GNNs for large graphs with multi-scale representations.
We study the Heston model, where the stock price dynamics is governed by a geometrical (multiplicative) Brownian motion with stochastic variance. We solve the corresponding Fokker-Planck equation exactly and, after integrating out the variance, find an analytic formula for the time-dependent probability distribution of…
We introduce a probabilistic generative model for disentangling spatio-temporal disease trajectories from series of high-dimensional brain images. The model is based on spatio-temporal matrix factorization, where inference on the sources is constrained by anatomically plausible statistical priors. To model realistic tr…
Neuro-inspired recurrent neural network algorithms, such as echo state networks, are computationally lightweight and thereby map well onto untethered devices. The baseline echo state network algorithms are shown to be efficient in solving small-scale spatio-temporal problems. However, they underperform for complex task…
A new method detects hidden driving forces in systems with multiple observables.
New process explains asset volatility patterns.
We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small time scales. The multifractal description of asset fluctuations is generalized into a multivariate framework to account simultaneously for correlations across times scales and bet…
This study examines memory effects in S&P500 market correlations using Langevin models.