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.
Paper develops methods for estimating GLMs and SNR under proportional asymptotics.
Optimal tuning for estimating ECC in proportional asymptotics.
Derives TAP approximation for Bayesian linear regression.
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represented by a multivariate utility function, allowing for simultaneous consumption of any prescribed selection of the currencies at a given term…
New method for estimating class proportions in open-set label shift data.
Flexible DNN for survival data, avoiding proportional hazards assumption.
To better understand the interplay of censoring and sparsity we develop finite sample properties of nonparametric Cox proportional hazard's model. Due to high impact of sequencing data, carrying genetic information of each individual, we work with over-parametrized problem and propose general class of group penalties s…
In this paper, asymptotic results in a long-term growth rate portfolio optimization model under both fixed and proportional transaction costs are obtained. More precisely, the convergence of the model when the fixed costs tend to zero is investigated. A suitable limit model with purely proportional costs is introduced …
Develops a method to estimate average hazard under non-proportional hazards without relying on proportional hazards assumption.
Transaction costs appear in financial markets in more than one form. There are several results in the literature on small proportional transaction cost and not that many on fixed transaction cost. In the present work, we heuristically study the effect of both types of transaction cost by focusing on a portfolio optimiz…
Study ridge ensembles in proportional feature-to-sample size regime, proving risk equivalence and GCV consistency.
We show that when the genus and punctures of a surface are directly proportional by some rational number the minimal asymptotic translation length in the curve complex has behavior inverse to the square of the Euler characteristic. We also show that when the genus is fixed and the number of punctures varies the behavio…
New ridge regression bounds for high-dimensional data without proportional growth.
Study optimal investment and consumption strategies with various transaction costs.
Let G be a finitely generated group with a given word metric. The asymptotic density of elements in G that have a particular property P is defined to be the limit, as r goes to infinity, of the proportion of elements in the ball of radius r which have the property P. We obtain a formula to compute the asymptotic densit…
This paper proposes a decorrelation-based approach to test hypotheses and construct confidence intervals for the low dimensional component of high dimensional proportional hazards models. Motivated by the geometric projection principle, we propose new decorrelated score, Wald and partial likelihood ratio statistics. Wi…
In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proportional reinsurance. We assume the preference of the insurer is of CRRA form. By solving the corresponding Hamilton-Jacobi-Bellman equation, w…
We consider an agent who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the final time T in the presence of a proportional transaction cost. The utility function considered is power utility. We provide a heuristic and a rigorous derivation of the asymptotic ex…
A Teichmuller lattice is the orbit of a point in Teichmuller space under the action of the mapping class group. We show that the proportion of lattice points in a ball of radius r which are not pseudo-Anosov tends to zero as r tends to infinity. In fact, we show that if R is a subset of the mapping class group, whose e…
Study best arm identification in restless bandits with unknown TPMs.
Paper develops robust methods for large-scale testing without tuning parameters.
We give characterizations of asymptotic arbitrage of the first and second kind and of strong asymptotic arbitrage for large financial markets with small proportional transaction costs $\la_n$ on market in terms of contiguity properties of sequences of equivalent probability measures induced by $\la_n$--consistent p…
A method for logistic regression inference using both internal and external data.
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small transactions is used to obtain a tractable model. A general expansion theory is de…
Unified asymptotics for investment in markets with transaction costs and search frictions.
Using elementary arguments, we show how to derive -error bounds for the approximation of frictionless wealth process in markets with proportional transaction costs. For utilities with bounded risk aversion, these estimates yield lower bounds for the frictional value function, which pave the way for its as…
Resampling outperforms reweighting for correcting biased data in machine learning models.
ETM models improve efficiency in semi-supervised logistic regression.
Given samples from a population of individuals belonging to different types with unknown proportions, how do we estimate the probability of discovering a new type at the -th draw? This is a classical problem in statistics, commonly referred to as the missing mass estimation problem. Recent results by Ohannes…
Study exact limits of matrix reconstruction from noisy projections.
We consider the classical Merton problem of lifetime consumption-portfolio optimization problem with small proportional transaction costs. The first order term in the asymptotic expansion is explicitly calculated through a singular ergodic control problem which can be solved in closed form in the one-dimensional case. …
New theory improves diffusion models' convergence rates.
We study optimal investment with multiple assets in the presence of small proportional transaction costs. Rather than computing an asymptotically optimal no-trade region, we optimize over suitable trading frequencies. We derive explicit formulas for these and the associated welfare losses due to small transaction costs…
The paper analyzes the risk of bagging regularized M-estimators under proportional asymptotics.
We study the optimal design problems where the goal is to choose a set of linear measurements to obtain the most accurate estimate of an unknown vector in dimensions. We study the -optimal design variant where the objective is to minimize the average variance of the error in the maximum likelihood estimate of th…
In this paper a quantitative analysis of the ruin probability in finite time of discrete risk process with proportional reinsurance and investment of finance surplus is focused on. It is assumed that the total loss on a unit interval has a light-tailed distribution -- exponential distribution and a heavy-tailed distrib…
Investment strategy optimized in markets with transaction costs and search delays.
We study the problem of option replication under constant proportional transaction costs in models where stochastic volatility and jumps are combined to capture the market's important features. Assuming some mild condition on the jump size distribution we show that transaction costs can be approximately compensated by …
We revisit the optimal investment and consumption problem with proportional transaction costs. We prove that both the value function and the slopes of the lines demarcating the no-trading region are analytic functions of cube root of the transaction cost parameter. Also, we can explicitly calculate the coefficients of …
We consider the problem of optimizing the expected logarithmic utility of the value of a portfolio in a binomial model with proportional transaction costs with a long time horizon. By duality methods, we can find expressions for the boundaries of the no-trade-region and the asymptotic optimal growth rate, which can be …
We analyze SGAs for statistical inference via asymptotics, improving tuning methods.
Given a flow on a 3-dimensional integral homology sphere, we give a formula for the Euler characteristic of its transverse surfaces, in terms of boundary data only. We illustrate the formula with several examples, in particular with surfaces of low genus. As an application, we show that for a right-handed flow with an …
New method for cross-validation in high-dimensional data with dependent or heavy-tailed covariates.
This work introduces a new sampling method to approximate an optimal design problem in ridge regression.
This work extends Ledoit-Wolf shrinkage to unknown mean covariance estimation.
Community detection is a central problem of network data analysis. Given a network, the goal of community detection is to partition the network nodes into a small number of clusters, which could often help reveal interesting structures. The present paper studies community detection in Degree-Corrected Block Models (DCB…
In the context of the multi-dimensional infinite horizon optimal consumption-investment problem with proportional transaction costs, we provide the first order expansion in small transact costs. Similar to the one-dimensional derivation in our accompanying paper [42], the asymptotic expansion is expressed in terms of a…
We price a contingent claim liability using the utility indifference argument. We consider an agent with exponential utility, who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the final time T in the presence of positive proportional transaction cost in two c…