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 analyzes and compares different Automated Market Maker mechanisms.
UAMM uses external market prices to improve AMM efficiency and reduce liquidity provider risk.
The paper tackles fair set-valued classification under demographic parity constraints.
Unified federated learning via GTV minimization.
We suggest a general oracle-based framework that captures different parallel stochastic optimization settings described by a dependency graph, and derive generic lower bounds in terms of this graph. We then use the framework and derive lower bounds for several specific parallel optimization settings, including delayed …
Paper tackles sampling from non-log-concave distributions using denoising diffusion.
We study contextual linear bandit problems under feature uncertainty, where the features are noisy and have missing entries. To address the challenges posed by this noise, we analyze Bayesian oracles given the observed noisy features. Our Bayesian analysis reveals that the optimal hypothesis can significantly deviate f…
New algorithm estimates treatment effects for more efficient contextual bandits.
Paper proposes PSIPS for identifying Pareto set with correlated objectives.
We study an online decision making problem where on each round a learner chooses a list of items based on some side information, receives a scalar feedback value for each individual item, and a reward that is linearly related to this feedback. These problems, known as contextual semibandits, arise in crowdsourcing, rec…
We consider the problem of adaptively PAC-learning a probability distribution 's mode by querying an oracle for information about a sequence of i.i.d. samples generated from . We consider two different query models: (a) each query is an index for which the oracle reveals…
New algorithms sample convex bodies using Markov chains and restricted Gaussian oracles.
We study the fundamental tradeoffs between statistical accuracy and computational tractability in the analysis of high dimensional heterogeneous data. As examples, we study sparse Gaussian mixture model, mixture of sparse linear regressions, and sparse phase retrieval model. For these models, we exploit an oracle-based…
Financial markets are complex environments that produce enormous amounts of noisy and non-stationary data. One fundamental problem is online portfolio selection, the goal of which is to exploit this data to sequentially select portfolios of assets to achieve positive investment outcomes while managing risks. Various al…
Federated learning is the centralized training of statistical models from decentralized data on mobile devices while preserving the privacy of each device. We present a robust aggregation approach to make federated learning robust to settings when a fraction of the devices may be sending corrupted updates to the server…
Zeroth-order optimization methods lack inherent privacy guarantees.
State-of-the-art subspace clustering methods are based on expressing each data point as a linear combination of other data points while regularizing the matrix of coefficients with , or nuclear norms. regularization is guaranteed to give a subspace-preserving affinity (i.e., there are no conne…
A new method solves variational inequality problems with multiple constraints without needing optimal Lagrange multipliers.
New algorithm reduces super-arm selection complexity exponentially.
MLShrink integrates machine learning with wavelet shrinkage for denoising.
In this paper we study dynamic pricing mechanisms of financial derivatives. A typical model of such pricing mechanism is the so-called g--expectation defined by solutions of a backward stochastic differential equation with g as its generating function. Black-Scholes pricing model is a special linear case of this pricin…
A solution for the Weinstein's Problem in the general framework of generalized Lie algebroids is the target of this paper. We present the mechanical systems called by use, mechanical (?; ?)-systems, Lagrange mechanical (?; ?)-systems or Finsler mechanical (?; ?)-systems and we develop their geometries. We obtain the ca…
New mechanics on non-associative octonions discovered.
A new description, different by the classical theory of Hamiltonian Mechanics, in the general framework of generalized Lie algebroids is presented. In the particular case of Lie algebroids, new and important results are obtained. We present the \emph{dual mechanical systems} called by use, \emph{dual mechanical}$(ρ,η) …
This paper assesses Gaussian and Exponential mechanisms for certifying adversarial robustness.
We propose a new input perturbation mechanism for publishing a covariance matrix to achieve -differential privacy. Our mechanism uses a Wishart distribution to generate matrix noise. In particular, We apply this mechanism to principal component analysis. Our mechanism is able to keep the positive semi-definitene…
New mechanisms improve differential privacy for scalar queries.
We design two mechanisms for the recommender system to collect user ratings. One is modified Laplace mechanism, and the other is randomized response mechanism. We prove that they are both differentially private and preserve the data utility.
Quantum mechanics models for financial Black-Scholes model.
Differential privacy mechanism design has traditionally been tailored for a scalar-valued query function. Although many mechanisms such as the Laplace and Gaussian mechanisms can be extended to a matrix-valued query function by adding i.i.d. noise to each element of the matrix, this method is often suboptimal as it for…
Expands differential privacy mechanisms to include the Generalized Gaussian mechanism for improved private machine learning.
Optimal DP mechanisms for vector queries are found to be staircase distributions.
New approach identifies latent properties from mechanisms, not just data.
New RL approach learns dynamic VCG mechanisms in unknown MDP environments.
Paper connects dynamics of mechanical systems to Reeb dynamics.
Exact discrete mechanics for nonholonomic systems defined.
A new Gaussian mechanism for differential privacy in the shuffle model is introduced.
The key to a Transformer model is the self-attention mechanism, which allows the model to analyze an entire sequence in a computationally efficient manner. Recent work has suggested the possibility that general attention mechanisms used by RNNs could be replaced by active-memory mechanisms. In this work, we evaluate wh…
We study the problem of what causes prices to change. We define the mechanical impact of a trading order as the change in future prices in the absence of any future changes in decision making, and its it informational impact as the remainder of the total impact once mechanical impact is removed. We introduce a method o…
New mechanism for pure differential privacy on functional summaries using Laplace-like process.
Unified framework for subsampling mechanisms with tighter privacy guarantees.
New geometric mechanism solves four envelope problems.
This text explains how fiber bundle structure is fundamental for classical physics.
The paper improves privacy accounting for discrete-valued mechanisms and the subsampled Gaussian mechanism.
This paper examines allocation mechanisms in markets with transfer costs, showing how these costs affect economic efficiency.
The Gaussian mechanism is an essential building block used in multitude of differentially private data analysis algorithms. In this paper we revisit the Gaussian mechanism and show that the original analysis has several important limitations. Our analysis reveals that the variance formula for the original mechanism is …
Paper introduces a new deep-learning method for quantum mechanics.
Associating stock mechanics to real economy, in terms of volume, number of transactions, and cost, i.e. money flow for shares, we obtained the fundamental laws of stock mechanics.