arXiv research

We propose a new blind source separation algorithm based on mixtures of alpha-stable distributions. Complex symmetric alpha-stable distributions have been recently showed to better model audio signals in the time-frequency domain than classical Gaussian distributions thanks to their larger dynamic range. However, infer…

A new distribution family extends the $\alpha$-stable distribution with a degree of freedom parameter.

Paper explores Thompson Sampling for heavy-tailed distributions in sequential decision-making.

Modeling risk and performance with Levy-stable distributions.

The study assesses how financial markets' efficiency changed during the COVID-19 crisis.

This paper applies Thompson Sampling to asymmetric $\alpha$-stable bandits for financial and wireless data.

MAFLA improves sampling from heavy-tailed distributions using MH-inspired corrections.

The real homology of a compact, n-dimensional Riemannian manifold M is naturally endowed with the stable norm. The stable norm of a homology class is the minimal Riemannian volume of its representatives. If M is orientable the stable norm on H_{n-1}(M,R) is a homogenized version of the Riemannian (n-1)-volume. We study…

Financial time series typically exhibit strong fluctuations that cannot be described by a Gaussian distribution. In recent empirical studies of stock market indices it was examined whether the distribution P(r) of returns r(tau) after some time tau can be described by a (truncated) Levy-stable distribution L_{alpha}(r)…

Adaptive estimation of alpha-Stable distribution and Hurst exponent for nonstationary time series.

This paper focuses on single-channel semi-supervised speech enhancement. We learn a speaker-independent deep generative speech model using the framework of variational autoencoders. The noise model remains unsupervised because we do not assume prior knowledge of the noisy recording environment. In this context, our con…

Upper bound on withdrawal success for geometric Levy alpha-stable wealth process.

This paper models cryptocurrencies using $\alpha$-stable distributions, outperforming other models.

An explicit expression is obtained for the sectional curvature in the plane spanned by two stationary flows, cos(k, x) and cos(l, x). It is shown that for certain values of the wave vectors k and l the curvature becomes positive for alpha > alpha_0, where 0 < alpha_0 < 1 is of the order 1/k. This suggests that the flow…

This work presents a parametrized family of divergences, namely Alpha-Beta Log- Determinant (Log-Det) divergences, between positive definite unitized trace class operators on a Hilbert space. This is a generalization of the Alpha-Beta Log-Determinant divergences between symmetric, positive definite matrices to the infi…

Stable processes emerge as limits of deep neural networks with symmetric stable distributions.

We give a purely algebro-geometric proof that if the alpha-invariant of a Q-Fano variety X is greater than dim X/(dim X+1), then (X,O(-K_X)) is K-stable. The key of our proof is a relation among the Seshadri constants, the alpha-invariant and K-stability. It also gives applications concerning the automorphism group.

A fast method for estimating radar amplitude density parameters.

Deep neural networks with heavy-tailed weights converge to stable distributions.

Tian's criterion for K-stability states that a Fano variety of dimension $n$ whose alpha invariant is greater than $\frac{n}{n+1}$ is K-stable. We show that this criterion is sharp by constructing singular Fano varieties with alpha invariants $\frac{n}{n+1}$ that are not K-polystable for sufficiently large $n$. We also…

We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in the presence of price series level shifts which are not accurately modeled in the standard Gaussian error correction mo…

Statistic dynamics of financial systems is investigated, basing on a model of randomly coupled equation system driven by stochastic Langevin force. It is found that in stable regime the noise power spectrum of the system is of 1/f^alpha form, with the exponent alpha=3/2 in case of Hermitian coupling matrices, or slight…

Failure of the main argument for the use of heavy tailed distribution in Finance is given. More precisely, one cannot observe so many outliers for Cauchy or for symmetric stable distributions as we have in reality. keywords:outliers; financial indexes; heavy tails; Cauchy distribution; stable distributions

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has however become well accepted to utlise a Loss Distributional Approach (LDA) paradigm to model the individual OpRisk loss…

We show that any $n$-dimensional Fano manifold $X$ with $α(X)=n/(n+1)$ and $n\geq 2$ is K-stable, where $α(X)$ is the alpha invariant of $X$ introduced by Tian. In particular, any such $X$ admits Kähler-Einstein metrics and the holomorphic automorphism group of $X$ is finite.

We provide a sufficient condition for polarisations of Fano varieties to be K-stable in terms of Tian's alpha invariant, which uses the log canonical threshold to measure singularities of divisors in the linear system associated to the polarisation. This generalises a result of Odaka-Sano in the anti-canonically polari…

We prove that every birationally superrigid Fano variety whose alpha invariant is greater than (resp. no smaller than) $\frac{1}{2}$ is K-stable (resp. K-semistable). We also prove that the alpha invariant of a birationally superrigid Fano variety of dimension $n$ is at least $\frac{1}{n+1}$ (under mild assumptions) an…

PPO optimizes LLM-generated alpha weights for better trading performance.

Soft diamond regularizers improve deep learning performance and sparsity.

We consider a shrinking flow of smooth, closed, uniformly convex hypersurfaces in (n+1)-dimensional Euclidean space with speed fu^{alpha}{sigma}_n^{beta}, where u is the support function of the hypersurface, alpha, beta are two constants, and beta>0, sigma_n is the n-th symmetric polynomial of the principle curvature r…

Alpha-based performance evaluation may fail to capture correlated residuals due to model errors. This paper proposes using the Generalized Information Ratio (GIR) to measure performance under misspecified benchmarks. Motivated by the theoretical link between abnormal returns and residual covariance matrix, GIR is deriv…

Unbiased methods for alpha-divergence minimization struggle in high dimensions.

We compute the analytic expression of the probability distributions F{FTSE100,+} and F{FTSE100,-} of the normalized positive and negative FTSE100 (UK) index daily returns r(t). Furthermore, we define the alpha re-scaled FTSE100 daily index positive returns r(t)^alpha and negative returns (-r(t))^alpha that we call, aft…

We give an explicit algorithm and source code for combining alpha streams via bounded regression. In practical applications typically there is insufficient history to compute a sample covariance matrix (SCM) for a large number of alphas. To compute alpha allocation weights, one then resorts to (weighted) regression ove…

It has long been agreed by academics that the inversion method is the method of choice for generating random variates, given the availability of the quantile function. However for several probability distributions arising in practice a satisfactory method of approximating these functions is not available. The main focu…

We prove that a stable minimal hypersurface of an open ball having a singular set of locally finite codimension 2 Hausdorff measure which is weakly close to a multiplicity 2 hyperplane is a 2-valued C^{1, alpha} graph in the interior. Applications including a compactness theorem for a class of immersed stable minimal h…

In terms of the stock exchange returns, we compute the analytic expression of the probability distributions F{DAX,+} and F{DAX,-} of the normalized positive and negative DAX (Germany) index daily returns r(t). Furthermore, we define the alpha re-scaled DAX daily index positive returns r(t)^alpha and negative returns (-…

Study on non-negative solutions for stochastic Volterra equations with jumps.

We consider an expanding flow of smooth, closed, uniformly convex hypersurfaces in (n+1)-dimensional Euclidean space with speed fu^{alpha}{sigma}_k^{beta}, where u is the support function of the hypersurface, alpha, beta are two constants, and beta>0, sigma_k is the k-th symmetric polynomial of the principle curvature …

Approximate algorithms for structured prediction problems---such as LP relaxations and the popular alpha-expansion algorithm (Boykov et al. 2001)---typically far exceed their theoretical performance guarantees on real-world instances. These algorithms often find solutions that are very close to optimal. The goal of thi…

Proposes vMF distribution for skewed elliptical distributions.

We describe the underlying probabilistic interpretation of alpha and beta divergences. We first show that beta divergences are inherently tied to Tweedie distributions, a particular type of exponential family, known as exponential dispersion models. Starting from the variance function of a Tweedie model, we outline how…

New $\alpha$-divergence loss function improves neural density ratio estimation.

The continuous-time random walk (CTRW) is a pure-jump stochastic process with several applications in physics, but also in insurance, finance and economics. A definition is given for a class of stochastic integrals driven by a CTRW, that includes the Ito and Stratonovich cases. An uncoupled CTRW with zero-mean jumps is…

The paper defines and analyzes $\alpha$-connections in generalized geometry.

In this work, a statistical analysis of the distribution of daily fluctuations of the IPC, the Mexican Stock Market Index is presented. A sample of the IPC covering the 13-year period 04/19/1990 - 08/21/2003 was analyzed and the cumulative probability distribution of its daily logarithmic variations studied. Results sh…

We exploit the spinor description of four-dimensional Walker geometry, and conformal rescalings of such, to describe the local geometry of four-dimensional neutral geometries with algebraically degenerate self-dual Weyl curvature and an integrable distribution of alpha-planes (algebraically special real alpha-geometry)…

New methods for estimating ARMA and GARCH models with stable noise.