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.
New G-GNN models learn global graph info for better node learning.
The volume of data generated by internet and social networks is increasing every day, and there is a clear need for efficient ways of extracting useful information from them. As those data can take different forms, it is important to use all the available data representations for prediction. In this paper, we focus our…
CoulGAT interprets GAT models by analyzing node interactions.
Proposes methods for local clustering in attributed graphs.
Gibbs sampling is the de facto Markov chain Monte Carlo method used for inference and learning on large scale graphical models. For complicated factor graphs with lots of factors, the performance of Gibbs sampling can be limited by the computational cost of executing a single update step of the Markov chain. This cost …
In this letter, as a proof of concept, we propose a deep learning-based approach to attack the chaos-based image encryption algorithm in \cite{guan2005chaos}. The proposed method first projects the chaos-based encrypted images into the low-dimensional feature space, where essential information of plain images has been …
BWFlow improves graph generation by smoothly interpolating graph components.
Tactile sensors provide useful contact data during the interaction with an object which can be used to accurately learn to determine the stability of a grasp. Most of the works in the literature represented tactile readings as plain feature vectors or matrix-like tactile images, using them to train machine learning mod…
Proposes a new neural head for asymmetric representation learning.
Fact verification (FV) is a challenging task which requires to retrieve relevant evidence from plain text and use the evidence to verify given claims. Many claims require to simultaneously integrate and reason over several pieces of evidence for verification. However, previous work employs simple models to extract info…
Methods that learn representations of nodes in a graph play a critical role in network analysis since they enable many downstream learning tasks. We propose Graph2Gauss - an approach that can efficiently learn versatile node embeddings on large scale (attributed) graphs that show strong performance on tasks such as lin…
New method speeds up Gibbs sampling for large graphs.
Paper compares GCNs and MPNNs, finding GCNs are one step ahead of WL algorithm.
Generates coherent storybooks from plain text using diffusion models.
We present the particle stochastic approximation EM (PSAEM) algorithm for learning of dynamical systems. The method builds on the EM algorithm, an iterative procedure for maximum likelihood inference in latent variable models. By combining stochastic approximation EM and particle Gibbs with ancestor sampling (PGAS), PS…
The paper examines conditions for Gromov-Hausdorff convergence of metric quotients and provides examples of conic-flat surfaces.
Predicting diagnoses from Electronic Health Records (EHRs) is an important medical application of multi-label learning. We propose a convolutional residual model for multi-label classification from doctor notes in EHR data. A given patient may have multiple diagnoses, and therefore multi-label learning is required. We …
The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A single yield curve is not sufficient any longer to describe the market of interest rate products. On the other hand, using different yield c…
The vast majority of the neural network literature focuses on predicting point values for a given set of response variables, conditioned on a feature vector. In many cases we need to model the full joint conditional distribution over the response variables rather than simply making point predictions. In this paper, we …
Anti-money laundering (AML) regulations play a critical role in safeguarding financial systems, but bear high costs for institutions and drive financial exclusion for those on the socioeconomic and international margins. The advent of cryptocurrency has introduced an intriguing paradox: pseudonymity allows criminals to…
A new formula detects differences between counterexamples and standard embeddings of circles.
Many transformations in deep learning architectures are sparsely connected. When such transformations cannot be designed by hand, they can be learned, even through plain backpropagation, for instance in attention mechanisms. However, during learning, such sparse structures are often represented in a dense form, as we d…
We consider a network scenario in which agents can evaluate each other according to a score graph that models some interactions. The goal is to design a distributed protocol, run by the agents, that allows them to learn their unknown state among a finite set of possible values. We propose a Bayesian framework in which …
This work applies SQL to deep learning, leveraging database techniques.
Deep learning system diagnoses AVNFH from plain radiographs.
Method interpolates option prices and volatilities without arbitrage.
The network Lasso is a recently proposed convex optimization method for machine learning from massive network structured datasets, i.e., big data over networks. It is a variant of the well-known least absolute shrinkage and selection operator (Lasso), which is underlying many methods in learning and signal processing i…
This paper studies the complexity of the stochastic gradient algorithm for PCA when the data are observed in a streaming setting. We also propose an online approach for selecting the learning rate. Simulation experiments confirm the practical relevance of the plain stochastic gradient approach and that drastic improvem…
Graph-coupled causal Bayesian optimization transfers information across related interventions.
In this paper, we give a numerical method for pricing long maturity, path dependent options by using the Markov property for each underlying asset. This enables us to approximate a path dependent option by using some kinds of plain vanillas. We give some examples whose underlying assets behave as some popular Levy proc…
FOCUS improves offline RL by incorporating causal structure into world-models.
We propose an elementary model to price European physical delivery swaptions in multicurve setting with a simple exact closed formula. The proposed model is very parsimonious: it is a three-parameter multicurve extension of the two-parameter Hull-White (1990) model. The model allows also to obtain simple formulas for a…
We wish to infer the value of a parameter at a law from which we sample independent observations. The parameter is smooth and we can define two variation-independent features of the law, its - and -components, such that estimating them consistently at a fast enough product of rates allows to build a confidence in…
The paper describes an application of Aggregating Algorithm to the problem of regression. It generalizes earlier results concerned with plain linear regression to kernel techniques and presents an on-line algorithm which performs nearly as well as any oblivious kernel predictor. The paper contains the derivation of an …
We consider the supOU stochastic volatility model which is able to exhibit long-range dependence. For this model we give conditions for the discounted stock price to be a martingale, calculate the characteristic function, give a strip where it is analytic and discuss the use of Fourier pricing techniques. Finally, we p…
CLE explains any classifier predictions in plain terms.
We propose the labeled Čech complex, the plain labeled Vietoris-Rips complex, and the locally scaled labeled Vietoris-Rips complex to perform persistent homology inference of decision boundaries in classification tasks. We provide theoretical conditions and analysis for recovering the homology of a decision boundary fr…
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with different underlying rate tenors. Within such double-curve-single-currency framework, adopted by the market…
Descending phase retrieval algorithms show a phase transition with increasing sample complexity.
Unified framework for smooth structures on coadjoint orbits.
This paper proposes a Residual Convolutional Neural Network (ResNet) based on speech features and trained under Focal Loss to recognize emotion in speech. Speech features such as Spectrogram and Mel-frequency Cepstral Coefficients (MFCCs) have shown the ability to characterize emotion better than just plain text. Furth…
We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The flexibility of our approach is demonstrated by extending the realm of closed-form option price formulas to the case where…
New algorithm samples matrix rows proportional to their ℓ_p norm in a turnstile data stream.
Decomposing market impact into diffusive components
We study --both in theory and practice-- the use of momentum motions in classic iterative hard thresholding (IHT) methods. By simply modifying plain IHT, we investigate its convergence behavior on convex optimization criteria with non-convex constraints, under standard assumptions. In diverse scenaria, we observe that …
Flow-based generative models (Dinh et al., 2014) are conceptually attractive due to tractability of the exact log-likelihood, tractability of exact latent-variable inference, and parallelizability of both training and synthesis. In this paper we propose Glow, a simple type of generative flow using an invertible 1x1 con…
Proves a theorem for normal distributions on manifolds with boundary.
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pricing tool for European-style claims paying off at maturity a joint function of the underlying and its realised volatilit…