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arXiv research

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.

169,051 papers · 148 categories

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48 results for Stationary Features

New kernel HMK improves Gaussian process expressiveness and supports harmonizable covariances.

problem Improving the expressiveness of Gaussian processes with non-stationary kernels.
method Proposed harmonizable mixture kernel (HMK) and variational Fourier features.
result HMK interpolates between local patterns and offers robust kernel learning.

New method reduces variance and bias in approximating indefinite kernels.

problem Approximating non-stationary indefinite kernels with low variance and bias.
method Generalized orthogonal random features (GORF)
result GORF achieves lower variance and approximation error compared to existing methods.

Enhances DGPs with adaptive RKHS Fourier features for better non-stationary pattern modeling.

problem Capturing complex non-stationary patterns in non-linear dynamical systems.
method Integrates ODE-based RKHS Fourier features into DGPs using convolution operations for adaptive amplitude and phase modulation. Uses a doubly stochastic variational inference framework.
result Improved predictive performance across various regression tasks.

Deep learning models predict price movements using stationary features from limit order books.

problem Challenges in applying deep learning to financial data due to its non-stationary nature.
method Proposed a method to create stationary features allowing DL models to be effectively applied.
result A combined model outperforms individual LSTM and CNN models in predicting price movements.

A new convolutional spectral kernel network learns hierarchical and local features.

problem Lack of deep learning in non-stationary spectral kernels.
method Introduces convolutional filters and deep architectures into non-stationary spectral kernels, derives generalization error bounds, and introduces regularizers.
result Validated the effectiveness of the convolutional spectral kernel network on real-world datasets.

Paper uses deep Ritz method for solving stationary Schrödinger equation, proving convergence and feature emergence.

problem Solving stationary Schrödinger equation with high-dimensional features.
method Deep Ritz method, gradient descent, single-index model, two-neuron model.
result Gradient descent converges to near-optimal solution, feature emergence observed in two-neuron model.

Algorithm adapts to non-stationary rewards without prior knowledge.

problem Optimizing decisions in non-stationary environments without prior knowledge of changes.
method Optimization-based algorithm that restarts when non-stationarity is detected.
result Achieves tighter dynamic regret bound and is nearly minimax optimal.

Estimates and infers multi-stage stationary treatment policies with variable selection.

problem Valid inference for multi-stage stationary treatment policies with high-dimensional feature variables.
method Estimate the value function using augmented inverse probability weighted estimator, apply penalty for variable selection, construct one-step improvements for valid inference.
result Improved estimators are asymptotically normal, valid inference for policy parameters demonstrated.

Unified review of methods for inferring non-stationary process parameters.

problem Inferring parameters of non-stationary processes without a known model.
method Unified review and categorization of algorithms for Parameter Inference from a Non-stationary Unknown Process (PINUP).
result Simple statistical features can perform well on non-stationary systems, highlighting gaps in existing methods.

PROPO tackles non-stationary MDPs with efficient policy optimization.

problem Non-stationary MDPs with varying reward and transition kernels.
method PROPO, a periodic restarted optimistic policy optimization algorithm with sliding-window-based policy evaluation and improvement.
result PROPO achieves near-optimal performance in non-stationary MDPs.

Optimistic algorithm reduces regret in non-stationary linear MDPs.

problem Efficient learning in non-stationary linear MDPs with evolving reward and transition.
method OPT-WLSVI, an optimistic model-free algorithm using exponential weights.
result Achieves a regret bound of O~(d5/4H2Δ1/4K3/4)\widetilde{\mathcal{O}}(d^{5/4}H^2 Δ^{1/4} K^{3/4}).

Study causal financial signals for non-stationary markets, improving short-term forecasts.

problem Short-term forecasting in non-stationary financial markets under causal constraints.
method Construct causal signals from heterogeneous micro-features using causal centering, linear aggregation, Kalman filter, and forward-like operator.
result Causally constructed observables can exhibit substantial economic relevance in specific regimes but degrade under regime shifts.

Extends geometric approach to model non-stationary extremal dependence.

problem Capturing evolving extremal dependence in multivariate data.
method Geometric framework for non-stationary multivariate extreme value modelling.
result Framework can capture various dependence forms and is robust to different model formulations.

The paper provides exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations.

problem Capturing the statistical properties of fluctuating correlations in non-stationary systems.
method Developed a random matrix model to average multivariate amplitude distributions from short time scales to large time scales.
result Explicit multivariate distributions for non-stationary correlation systems are provided, capturing the degree of non-stationarity.

This paper tackles continuous domain adaptation with a new approach.

problem Learning in non-stationary environments, especially domain drift.
method Variational domain-agnostic feature replay, composed of inference, generative, and solver modules.
result Demonstrates the effectiveness of the proposed approach for practical usage.

New algorithm tackles non-stationary reinforcement learning with general function approximation.

problem Understanding non-stationary MDPs with function approximation.
method Dynamic Bellman Eluder (DBE) dimension for complexity, sliding window mechanism, confidence set design.
result Upper bound on dynamic regret for proposed SW-OPEA algorithm.

This paper distills financial indicators into neural networks to reduce noise and improve accuracy.

problem Reduction of non-stationary noise in financial time series data.
method Co-distillation of smaller networks trained on indicators to transfer prior knowledge and reduce overfitting.
result The proposed method outperforms traditional methods in terms of speed and accuracy on real financial datasets.

Method estimates causal effects from incremental data, overcoming missing data challenges.

problem Estimating causal effects from non-stationary, incrementally available observational data.
method Continual Causal Effect Representation Learning
result Method achieves continual causal effect estimation without compromising original data.

PyChEst detects changes in non-stationary time series without distributional assumptions.

problem Detecting changes in non-stationary time series data.
method Nonparametric algorithms for consistent detection of multiple changepoints in piece-wise stationary processes.
result PyChEst consistently detects changes without distributional assumptions.

We consider an online decision making setting known as contextual bandit problem, and propose an approach for improving contextual bandit performance by using an adaptive feature extraction (representation learning) based on online clustering. Our approach starts with an off-line pre-training on unlabeled history of co…

2018-02-03abs ↗pdf ↗

Framework infers Langevin dynamics from stochastic observations of latent systems.

problem Inferring non-stationary Langevin dynamics from indirect stochastic observations.
method Non-parametric framework explicitly modeling stochastic observation process and non-stationary latent dynamics.
result Correct inference of non-stationary dynamics requires accounting for non-equilibrium states and observation duration.

Unsupervised learning for evolving data streams with STAM architecture.

problem Learning from non-stationary, unlabeled data streams over time.
method Self-Taught Associative Memory (STAM) architecture with online clustering, novelty detection, and feature storage.
result STAM architecture improves clustering and classification tasks compared to existing continual learning models.

DSSCN improves lifelong learning of non-stationary data streams through adaptive network construction.

problem Lifelong learning of non-stationary data streams with efficient and adaptive models.
method Deep stacked stochastic configuration network (DSSCN) with self-constructing deep stacked network structure and adaptive hidden unit parameters.
result DSSCN outperforms existing data stream algorithms in continual learning of non-stationary data streams.

We study how resetting affects geometric Brownian motion, showing it becomes stationary but remains non-ergodic.

problem Effects of stochastic resetting on geometric Brownian motion.
method Analysis of geometric Brownian motion under stochastic resetting.
result Resetting makes geometric Brownian motion stationary but non-ergodic.

We solve Bartnik's stationary extension problem near Schwarzschild spheres.

problem Existence and uniqueness of asymptotically flat stationary vacuum spacetimes.
method Developed a double geodesic gauge, reducing equations to elliptic and transport-type problems.
result Local well-posedness for Bartnik stationary metric extension problem near Schwarzschild spheres.

Study shows optimal model performance at critical level of feature learning.

problem Catastrophic forgetting in neural networks, especially in non-stationary environments.
method Systematic study on model scale and feature learning, using dynamical mean field theory.
result Optimal performance achieved at a critical level of feature learning, dependent on task non-stationarity and model scale.

A new method for nonstationary Gaussian processes using Fourier features.

problem Efficient simulation of nonstationary Gaussian processes with high-dimensional distributions.
method Discretizes the spectral representation of nonstationary processes, avoiding probability measure assumptions.
result An efficient low-rank approximation of nonstationary spectral densities, consistent and positive semi-definite.

New Hermite series estimator for Spearman rank correlation in non-stationary data.

problem Estimating time-varying Spearman rank correlation efficiently.
method Hermite series based sequential estimator for both stationary and non-stationary settings.
result Competitive performance compared to existing algorithms in simulations and real data.

Complex-valued neural networks improve seismic data analysis by preserving phase information.

problem Low-frequency aliasing in seismic data due to discarded phase information.
method Developed complex-valued deep convolutional networks to leverage phase information in deterministic physical data.
result Complex-valued networks outperform real-valued networks in training and inference from deterministic physical data.

The study recovers airflow from thoracic and abdominal movements using advanced signal processing.

problem Challenges in measuring airflow from thoracic and abdominal movements using small, inexpensive devices.
method Synchrosqueezing transform and locally stationary Gaussian process regression.
result Accurate prediction of airflow achieved in both normal sleep and anesthesia transition cases.

The rollout of new versions of a feature in modern applications is a manual multi-stage process, as the feature is released to ever larger groups of users, while its performance is carefully monitored. This kind of A/B testing is ubiquitous, but suboptimal, as the monitoring requires heavy human intervention, is not gu…

2018-02-14abs ↗pdf ↗

Faster convergence of kernel mean embeddings using variance information.

problem Speeding up the convergence rate of kernel mean embeddings.
method Leveraging variance information in reproducing kernel Hilbert space and estimating variance from data.
result Efficiently estimate variance information from data to achieve distribution-agnostic convergence bounds.

SGD in DLNs reveals feature learning dynamics.

problem Understanding SGD dynamics in DLNs during saddle-to-saddle training.
method Stochastic Langevin dynamics with anisotropic, state-dependent noise; one-dimensional per-mode SDEs; Boltzmann distribution approximation.
result SGD noise encodes feature learning progression but does not alter saddle-to-saddle dynamics.

Two randomized algorithms improve performance in non-stationary linear bandits.

problem Conservatism in optimistic algorithms for non-stationary linear bandits.
method Two perturbation approaches: randomization and random perturbations.
result D-RandLinUCB and D-LinTS achieve optimal dynamic regret and are oracle-efficient.

Model predicts stationary equilibrium in investment decisions of firms in fluctuating markets.

problem Investment decisions in fluctuating markets with varying volatility and commodity prices.
method Mean-field model with Gaussian productivity shocks and two-state Markov chain for macroeconomic events.
result Existence, uniqueness, and characterization of stationary mean-field equilibrium with barrier-type investment strategy.

Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe limitations for approaches in the spirit of standard equilibrium statistical mechanic…

2013-04-18abs ↗pdf ↗

Bayesian optimization with Gaussian processes speeds up searches for stationary points.

problem Accelerating searches for stationary points on potential energy surfaces.
method Unified Bayesian optimization view using Gaussian process regression with derivative observations, inverse-distance kernels, and active learning.
result Surrogates can reduce the number of expensive electronic structure evaluations by an order of magnitude.

Presents STRIPE model for probabilistic forecasting of non-stationary time series.

problem Probabilistic forecasting of non-stationary time series.
method STRIPE model representing structured diversity based on shape and time features, with diversification mechanism using determinantal point processes (DPP).
result STRIPE significantly outperforms baseline methods for representing diversity while maintaining forecasting accuracy.

The paper analyzes heavy-tailed multivariate distributions in non-stationary systems using random matrix theory.

problem Risk assessment for rare events in complex, non-stationary systems.
method Generalized scalar product between correlation matrices, model for non-stationary fluctuations.
result Formulae for multivariate distributions with reduced parameters, facilitating applications.

This paper refines the weighted strategy for non-stationary parametric bandits, improving regret bounds.

problem Non-stationary environments with gradual drifting patterns.
method Refined analysis framework for the weighted strategy in linear and generalized linear bandits.
result A simpler weight-based algorithm with improved regret bounds compared to previous studies.