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.
We present a heuristic based algorithm to induce \textit{nonmonotonic} logic programs that will explain the behavior of XGBoost trained classifiers. We use the technique based on the LIME approach to locally select the most important features contributing to the classification decision. Then, in order to explain the mo…
The information dynamics in finance and insurance applications is usually modeled by a filtration. This paper looks at situations where information restrictions apply such that the information dynamics may become non-monotone. A fundamental tool for calculating and managing risks in finance and insurance are martingale…
In this work we construct Calabi quasi-morphisms on the universal cover of the group Ham(M) of Hamiltonian diffeomorphisms for some non-monotone symplectic manifolds. This complements a result by Entov and Polterovich which applies in the monotone case. Moreover, in contrast to their work, we show that these quasi-morp…
A mathematical analysis of the distribution of voting power in the Council of the European Union operating according to the Treaty of Lisbon is presented. We study the effects of Brexit on the voting power of the remaining members, measured by the Penrose--Banzhaf Index. We note that the effects in question are non-mon…
The paper analyzes Variable Annuities with surrender charges, providing a pricing formula and optimal exercise boundary.
problem Analyzing Variable Annuities with surrender charges and early termination rights.
method Formulated as an optimal stopping problem with a discontinuous payoff, non-monotonic optimal stopping boundaries are proven continuous and regular.
result A rigorous pricing formula and optimal exercise boundary for surrender options are derived.
We propose non-stationary spectral kernels for Gaussian process regression. We propose to model the spectral density of a non-stationary kernel function as a mixture of input-dependent Gaussian process frequency density surfaces. We solve the generalised Fourier transform with such a model, and present a family of non-…
Standard sequential generation methods assume a pre-specified generation order, such as text generation methods which generate words from left to right. In this work, we propose a framework for training models of text generation that operate in non-monotonic orders; the model directly learns good orders, without any ad…
New convergence guarantees for SGDA and SCO under expected co-coercivity.
problem Solving smooth games with stochastic gradient descent-ascent and consensus optimization.
method Introducing expected co-coercivity and proving convergence guarantees for SGDA and SCO.
result Linear convergence of SGDA and SCO to a neighborhood of the solution with constant step-size, and convergence to the exact solution with stepsize-switching rules.
Gradient descent on neural nets often operates at the Edge of Stability, where loss behavior is complex but loss decreases over time.
problem Understanding the optimization dynamics of neural networks at the Edge of Stability.
method Empirical demonstration of gradient descent behavior in neural network training.
result Gradient descent on neural networks typically occurs at the Edge of Stability, where loss behavior is non-monotonic but loss decreases over time.
Wireless sensor networks are composed of distributed sensors that can be used for signal detection or classification. The likelihood functions of the hypotheses are often not known in advance, and decision rules have to be learned via supervised learning. A specific such algorithm is Fisher discriminant analysis (FDA),…
In this paper we consider backward stochastic differential equations with time-delayed generators of a moving average type. The classical framework with linear generators depending on (Y(t),Z(t)) is extended and we investigate linear generators depending on (t1∫0tY(s)ds,t1∫0tZ(s)ds). We…
Empirical time series of inter-event or waiting times are investigated using a modified Multifractal Detrended Fluctuation Analysis operating on fluctuations of mean detrended dynamics. The core of the extended multifractal analysis is the non-monotonic behavior of the generalized Hurst exponent h(q) -- the fundament…