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.
The paper analyzes performance criteria for competing fund managers in Ito-diffusion markets.
The study examines Nash equilibria in utility maximization games with multiplicative performance criteria.
We provide a simple, combinatorial criteria for a hierarchically hyperbolic space to be relatively hyperbolic by proving a new formulation of relative hyperbolicity in terms of hierarchy structures. In the case of clean hierarchically hyperbolic groups, this criteria characterizes relative hyperbolicity. We apply our c…
Study time-inconsistent portfolio optimization for competitive agents with relative performance criteria.
We analyze a family of portfolio management problems under relative performance criteria, for fund managers having CARA or CRRA utilities and trading in a common investment horizon in log-normal markets. We construct explicit constant equilibrium strategies for both the finite population games and the corresponding mea…
Study optimal portfolios for many players in a market model with random coefficients.
Develop criteria to distinguish Gromov-Thurston manifolds using algebraic Dehn fillings.
Highly accurate interval forecasting of a stock price index is fundamental to successfully making a profit when making investment decisions, by providing a range of values rather than a point estimate. In this study, we investigate the possibility of forecasting an interval-valued stock price index series over short an…
Study optimal investment strategies for competitive agents using Mean Field Games.
New pruning methods improve dynamic sparse training performance.
The Exploration-Exploitation tradeoff arises in Reinforcement Learning when one cannot tell if a policy is optimal. Then, there is a constant need to explore new actions instead of exploiting past experience. In practice, it is common to resolve the tradeoff by using a fixed exploration mechanism, such as -greedy ex…
Sophisticated volatility models outperform naive portfolio strategies.
The paper analyzes how investors' wealth can decline collectively under partial information.
Unified perspective unites Bayesian optimization and active learning for efficient goal-oriented optimization.
We consider the problem of identifying patterns in a data set that exhibit anomalous behavior, often referred to as anomaly detection. Similarity-based anomaly detection algorithms detect abnormally large amounts of similarity or dissimilarity, e.g.~as measured by nearest neighbor Euclidean distances between a test sam…
This paper considers the problem of choosing a good classifier. For each problem there exist an optimal classifier, but none are optimal, regarding the error rate, in all cases. Because there exists a large number of classifiers, a user would rather prefer an all-purpose classifier that is easy to adjust, in the hope t…
Recently, a link between Lorentzian and Finslerian Geometries has been carried out, leading to the notion of wind Riemannian structure (WRS), a generalization of Finslerian Randers metrics. Here, we further develop this notion and its applications to spacetimes, by introducing some characterizations and criteria for th…
We study two types of preconditioners and preconditioned stochastic gradient descent (SGD) methods in a unified framework. We call the first one the Newton type due to its close relationship to the Newton method, and the second one the Fisher type as its preconditioner is closely related to the inverse of Fisher inform…
In this work, three lattice-free (LF) discriminative training criteria for purely sequence-trained neural network acoustic models are compared on LVCSR tasks, namely maximum mutual information (MMI), boosted maximum mutual information (bMMI) and state-level minimum Bayes risk (sMBR). We demonstrate that, analogous to L…
We obtain a deterministic characterisation of the \emph{no free lunch with vanishing risk}, the \emph{no generalised arbitrage} and the \emph{no relative arbitrage} conditions in the one-dimensional diffusion setting and examine how these notions of no-arbitrage relate to each other.
The paper analyzes competition among fund managers using excess logarithmic returns and constructs games to find optimal allocations.
We study a portfolio optimization problem for competitive agents with CRRA utilities and a common finite time horizon. The utility of an agent depends not only on her absolute wealth and consumption but also on her relative wealth and consumption when compared to the averages among the other agents. We derive a closed …
For long time the measurement of innovation has been in the forefront of policy makers' and researchers' agenda worldwide. Therefore, there is an ongoing debate about which indicators should be used to measure innovation. Recent approaches have favoured the use of composite innovation indicators. However, there is no c…
New algorithms minimize risk in MNL bandits, achieving near-optimal performance.
Extends ML fairness to handle minority groups over time.
New method for dynamic valuation in markets with random endowments.
This paper optimizes stock portfolios considering ESG criteria using Bayesian optimization.
Multi-criteria recommender systems have been increasingly valuable for helping consumers identify the most relevant items based on different dimensions of user experiences. However, previously proposed multi-criteria models did not take into account latent embeddings generated from user reviews, which capture latent se…
FADE framework improves fairness and accuracy in ensemble learning.
We introduce the concept of forward rank-dependent performance processes, extending the original notion to forward criteria that incorporate probability distortions. A fundamental challenge is how to reconcile the time-consistent nature of forward performance criteria with the time-inconsistency stemming from probabili…
New statistical test for change-point detection using relative entropy.
Study Nash equilibrium in market with relative wealth concerns under partial information and heterogeneous priors.
Characterizes geometric actions on graphs with flexible stabilizers.
Selective regression allows abstention to improve fairness criteria.
This work explores alternative learning criteria beyond traditional risk.
We find relative differential invariants of orders eight and nine for a planar nonparallelizable 3-web such that their vanishing is necessary and sufficient for a 3-web to be linearizable. This solves the Blaschke conjecture for 3-webs. As a side result, we show that the number of linearizations in the Gronwall conject…
The paper explores how the unit inclusion affects topological quantum field theories in non-semisimple categories.
When sufficient labeled data are available, classical criteria based on Receiver Operating Characteristic (ROC) or Precision-Recall (PR) curves can be used to compare the performance of un-supervised anomaly detection algorithms. However , in many situations, few or no data are labeled. This calls for alternative crite…
A very simple heuristic approach to the unfolding problem will be described. An iterative algorithm starts with an empty histogram and every iteration aims to add one entry to this histogram. The entry to be added is selected according to a criteria which includes a test and a regularization. After a relatively s…
Stress, edge crossings, and crossing angles play an important role in the quality and readability of graph drawings. Most standard graph drawing algorithms optimize one of these criteria which may lead to layouts that are deficient in other criteria. We introduce an optimization framework, Stress-Plus-X (SPX), that sim…
Efficiency criteria improve conformal predictors' performance.
In this paper we extend temporal difference policy evaluation algorithms to performance criteria that include the variance of the cumulative reward. Such criteria are useful for risk management, and are important in domains such as finance and process control. We propose both TD(0) and LSTD(lambda) variants with linear…
The sBIC outperforms other model selection criteria in LDA topic modeling.
This research tackles monitoring machine learning algorithms post-deployment, addressing performativity issues.
Unified framework for risk-aware policy learning in contextual bandits.
Machine Learning (ML) is proving extremely beneficial in many healthcare applications. In pediatric oncology, retrospective studies that investigate the relationship between treatment and late adverse effects still rely on simple heuristics. To assess the effects of radiation therapy, treatment plans are typically simu…
We give a generalized and self-contained account of Haglund-Paulin's wallspaces and Sageev's construction of the CAT(0) cube complex dual to a wallspace. We examine criteria on a wallspace leading to finiteness properties of its dual cube complex. Our discussion is aimed at readers wishing to apply these methods to pro…
Fairness in machine learning has predominantly been studied in static classification settings without concern for how decisions change the underlying population over time. Conventional wisdom suggests that fairness criteria promote the long-term well-being of those groups they aim to protect. We study how static fairne…