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.
A new BO termination criterion for HPO reduces optimization time without sacrificing test performance.
The paper analyzes and proposes a new stopping criterion for recursive Bayesian classification.
New test for SGD in binary classification reduces computation time.
New optimization method for portfolio management maximizing wealth and utility with risk control.
Study optimal portfolio choice with risk control for log-returns.
This paper introduces a more efficient method for estimating level sets with a stopping criterion.
Motivated by recent axiomatic developments, we study the risk- and ambiguity-averse investment problem where trading takes place over a fixed finite horizon and terminal payoffs are evaluated according to a criterion defined in terms of a quasiconcave utility functional. We extend to the present setting certain existen…
FDR criterion simplifies complex causal graphs to a standard front-door setting.
Optimizes portfolio growth rate for a behavioral investor considering terminal relative growth rate.
Unified approach solves Kyle model with dynamic information.
Adaptive denoising models adjust the number of steps based on noise level.
New methods for convex optimization with locally Lipschitz gradient, achieving faster convergence.
Investment strategy in ambiguous financial markets with learning
In this study the Voronoi interpolation is used to interpolate a set of points drawn from a topological space with higher homology groups on its filtration. The technique is based on Voronoi tessellation, which induces a natural dual map to the Delaunay triangulation. Advantage is taken from this fact calculating the p…
To improve the efficient frontier of the classical mean-variance model in continuous time, we propose a varying terminal time mean-variance model with a constraint on the mean value of the portfolio asset, which moves with the varying terminal time. Using the embedding technique from stochastic optimal control in conti…
A new method designs batches for Bayesian optimization more efficiently.
We investigate the optimal reinsurance problem under the criterion of maximizing the expected utility of terminal wealth when the insurance company has restricted information on the loss process. We propose a risk model with claim arrival intensity and claim sizes distribution affected by an unobservable environmental …
This paper investigates Shampoo's heuristics and decouples preconditioner updates.
In this work, we consider the problem of autonomously discovering behavioral abstractions, or options, for reinforcement learning agents. We propose an algorithm that focuses on the termination condition, as opposed to -- as is common -- the policy. The termination condition is usually trained to optimize a control obj…
Study bounds for prices of European and American options with optional termination.
The paper finds optimal threshold strategies for insurance companies with a positive terminal value at creeping ruin.
We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed by a marked point process with dual-predictable projection affected by an envir…
We define a discrete Laplace-Beltrami operator for simplicial surfaces. It depends only on the intrinsic geometry of the surface and its edge weights are positive. Our Laplace operator is similar to the well known finite-elements Laplacian (the so called ``cotan formula'') except that it is based on the intrinsic Delau…
New method preserves distances in time series data.
Proves finite step termination of Kähler-Einstein metric singularity formation.
The study proves a key inequality for specific types of three-dimensional spaces.
Paper optimizes portfolios for absolute return funds with constraints.
Employee stock options (ESOs) are American-style call options that can be terminated early due to employment shock. This paper studies an ESO valuation framework that accounts for job termination risk and jumps in the company stock price. Under general Lévy stock price dynamics, we show that a higher job termination ri…
A/B testing refers to the task of determining the best option among two alternatives that yield random outcomes. We provide distribution-dependent lower bounds for the performance of A/B testing that improve over the results currently available both in the fixed-confidence (or delta-PAC) and fixed-budget settings. When…
We establish existence, uniqueness and regularity of solution results for a class of backward stochastic partial differential equations with singular terminal condition. The equation describes the value function of non-Markovian stochastic optimal control problem in which the terminal state of the controlled process is…
We prove that the sum of the -invariants of two different Kollár components of a Kawamata log terminal singularity is less than .
New method for computing terminal embeddings in sublinear time.
Locally adaptive clustering for tree delineation.
Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In case of a single uncollateralised swap transaction under ISDA between two defaultable counterparties, the additional unilat…
Investor optimizes portfolio under dynamic risk preferences.
In reinforcement learning, a decision needs to be made at some point as to whether it is worthwhile to carry on with the learning process or to terminate it. In many such situations, stochastic elements are often present which govern the occurrence of rewards, with the sequential occurrences of positive rewards randoml…
Study optimal liquidation with multiple regimes using BSDEs with singular terminal values.
This paper establishes the existence of a unique nonnegative continuous viscosity solution to the HJB equation associated with a Markovian linear-quadratic control problems with singular terminal state constraint and possibly unbounded cost coefficients. The existence result is based on a novel comparison principle for…
New reward function improves GAIL performance in task-based environments.
We provide representations of solutions to terminal value problems of inhomogeneous Black-Scholes equations and studied such general properties as min-max estimates, gradient estimates, monotonicity and convexity of the solutions with respect to the stock price variable, which are important for financial security prici…
Develops a learning model predictive controller for competitive racing.
Circular nets with spherical parameter lines have geometric properties related to Darboux cyclides and terminating Laplace sequences.
We apply the language of the groupoid approach to Lie pseudo-groups, and the classical Cartan-Kuranishi theorem, to prove that Cartan's equivalence method terminates at involution (or at complete reduction) for constant type problems.
TVM improves generative modeling by matching terminal velocities.
In this paper, the `Approximate Message Passing' (AMP) algorithm, initially developed for compressed sensing of signals under i.i.d. Gaussian measurement matrices, has been extended to a multi-terminal setting (MAMP algorithm). It has been shown that similar to its single terminal counterpart, the behavior of MAMP algo…
Java implementation improves nearest neighbor algorithm complexity.
Researchers find Kähler-Einstein metrics near isolated log terminal singularities.
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The setup is strongly related to a DC pension plan where additionally (individual) consumption is taken i…