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.
ABO extends RLS for online learning in non-stationary time-series, improving accuracy and speed.
We present an online approach to portfolio selection. The motivation is within the context of algorithmic trading, which demands fast and recursive updates of portfolio allocations, as new data arrives. In particular, we look at two online algorithms: Robust-Exponentially Weighted Least Squares (R-EWRLS) and a regulari…
EX-DRL improves extreme quantile prediction for financial risk management.
This work connects Cramér distance to QR-DQN for DRL.
Improved tensor GLM estimation for complex data.
High-dimensional big data appears in many research fields such as image recognition, biology and collaborative filtering. Often, the exploration of such data by classic algorithms is encountered with difficulties due to `curse of dimensionality' phenomenon. Therefore, dimensionality reduction methods are applied to the…