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.
Time-based model improves recommendation performance.
We propose a hybrid approach aimed at improving the sample efficiency in goal-directed reinforcement learning. We do this via a two-step mechanism where firstly, we approximate a model from Model-Free reinforcement learning. Then, we leverage this approximate model along with a notion of reachability using Mean First P…
LLMs struggle to outperform markets over long periods and diverse stocks.
Many recommendation algorithms rely on user data to generate recommendations. However, these recommendations also affect the data obtained from future users. This work aims to understand the effects of this dynamic interaction. We propose a simple model where users with heterogeneous preferences arrive over time. Based…
Paper proposes a new reinforcement learning framework for cryptocurrency market making.
We study the computational capacity of a model neuron, the Tempotron, which classifies sequences of spikes by linear-threshold operations. We use statistical mechanics and extreme value theory to derive the capacity of the system in random classification tasks. In contrast to its static analog, the Perceptron, the Temp…
We present our solution to the job recommendation task for RecSys Challenge 2016. The main contribution of our work is to combine temporal learning with sequence modeling to capture complex user-item activity patterns to improve job recommendations. First, we propose a time-based ranking model applied to historical obs…
An emerging way of tackling the dimensionality issues arising in the modeling of a multivariate process is to assume that the inherent data structure can be captured by a graph. Nevertheless, though state-of-the-art graph-based methods have been successful for many learning tasks, they do not consider time-evolving sig…
Study shows priority access in ELA auctions is less valuable due to volatility risks.
A machine learning model manages portfolio risk in high dimensions.
An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock markets, memory effect of the average instantaneous cross-correlations is investigated over different price return time inte…
This study examines whether the efficiency of cryptocurrency markets (Bitcoin and Ethereum) evolve over time based on Lo's (2004) adaptive market hypothesis (AMH). In particular, we measure the degree of market efficiency using a generalized least squares-based time-varying model that does not depend on sample size, un…
Well-defined formal definitions for sentiment and opinion are extended to incorporate the necessary elements to provide a formal quantitative definition of reputation. This definition takes the form of a time-based index, in which each element is a function of a collection of opinions mined during a given time period. …
We present analytical investigations of a multiplicative stochastic process that models a simple investor dynamics in a random environment. The dynamics of the investor's budget, , depends on the stochasticity of the return on investment, , for which different model assumptions are discussed. The fat-tail d…
In the landscape of TD algorithms, the Q(, ) algorithm is an algorithm with the ability to perform a multistep backup in an online manner while also successfully unifying the concepts of sampling with using the expectation across all actions for a state. indicates the extent to which sampling is use…
Time series constitute a challenging data type for machine learning algorithms, due to their highly variable lengths and sparse labeling in practice. In this paper, we tackle this challenge by proposing an unsupervised method to learn universal embeddings of time series. Unlike previous works, it is scalable with respe…
Recent studies in the field of human vision science suggest that the human responses to the stimuli on a visual display are non-deterministic. People may attend to different locations on the same visual input at the same time. Based on this knowledge, we propose a new stochastic model of visual attention by introducing…
FRAME (Filters, Random fields, And Maximum Entropy) is an energy-based descriptive model that synthesizes visual realism by capturing mutual patterns from structural input signals. The maximum likelihood estimation (MLE) is applied by default, yet conventionally causes the unstable training energy that wrecks the gener…
The study compares different models for predicting factor premiums and finds neural networks perform better but have unstable weights.
New approach for uninformed investors to optimize execution costs.
New method improves conditional covariance estimation using targeted groups of assets.
STAD adapts models to evolving time-based data shifts.
This paper explores the possibility that asset prices, especially those traded in large volume on public exchanges, might comply with specific physical laws of motion and probability. The paper first examines the basic dynamics of asset price displacement and finds one can model this dynamic as a harmonic oscillator at…
Physically-based overland flow models are computationally demanding, hindering their use for real-time applications. Therefore, the development of fast (and reasonably accurate) overland flow models is needed if they are to be used to support flood mitigation decision making. In this study, we investigate the potential…
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe portfolio manager market timing behavior, in a canonical multifactor asset pricing model. First, we present a spectral test for market timi…
Proposes a deep spectral Q-learning for mobile health data.
Dynamic retirement glidepaths evolve over time based on some measure such as the retiree's funded status or current market valuations. Conversely, static glidepaths are fixed at a starting point and selected under the assumption that they will not change. In practice, new static glidepaths may be derived periodically m…
This paper proposes a probabilistic neural network developed on the basis of time-series discriminant component analysis (TSDCA) that can be used to classify high-dimensional time-series patterns. TSDCA involves the compression of high-dimensional time series into a lower-dimensional space using a set of orthogonal tra…
Process mining is a research field focused on the analysis of event data with the aim of extracting insights in processes. Applying process mining techniques on data from smart home environments has the potential to provide valuable insights in (un)healthy habits and to contribute to ambient assisted living solutions. …
Recent deep neural networks based techniques, especially those equipped with the ability of self-adaptation in the system level such as deep reinforcement learning (DRL), are shown to possess many advantages of optimizing robot learning systems (e.g., autonomous navigation and continuous robot arm control.) However, th…
The paper optimizes retirement spending considering habit formation and pension income.
SMURF-THP improves Transformer Hawkes process models by providing uncertainty quantification.
Many users in online social networks are constantly trying to gain attention from their followers by broadcasting posts to them. These broadcasters are likely to gain greater attention if their posts can remain visible for a longer period of time among their followers' most recent feeds. Then when to post? In this pape…
Bayesian structure learning improved using GFlowNets.
Mathematically, the execution of an American-style financial derivative is commonly reduced to solving an optimal stopping problem. Breaking the general assumption that the knowledge of the holder is restricted to the price history of the underlying asset, we allow for the disclosure of future information about the ter…
In this work, we ask two questions: 1. Can we predict the type of community interested in a news article using only features from the article content? and 2. How well do these models generalize over time? To answer these questions, we compute well-studied content-based features on over 60K news articles from 4 communit…
Convolutional neural networks (CNNs) are commonly used for image classification tasks, raising the challenge of their application on data flows. During their training, adaptation is often performed by tuning the learning rate. Usual learning rate strategies are time-based i.e. monotonously decreasing. In this paper, we…
This work demonstrates the potential of deep reinforcement learning techniques for transmit power control in wireless networks. Existing techniques typically find near-optimal power allocations by solving a challenging optimization problem. Most of these algorithms are not scalable to large networks in real-world scena…
This study shows how DDPM can be represented by the OU process.
In this paper we investigate a dynamic stochastic portfolio optimization problem involving both the expected terminal utility and intertemporal utility maximization. We solve the problem by means of a solution to a fully nonlinear evolutionary Hamilton-Jacobi-Bellman (HJB) equation. We propose the so-called Riccati met…
AI models outperform simple rules in cross-asset futures timing, especially with lower transaction costs.
This study improves stock price prediction by incorporating anticipated macroeconomic policy changes.
Proposes ABIDES-Gym for financial markets simulation.
In this work we study drawdowns and drawups of general diffusion processes. The drawdown process is defined as the current drop of the process from its running maximum, while the drawup process is defined as the current increase over its running minimum. The drawdown and the drawup are the first hitting times of the dr…
Dynamic treatment effects estimated over time using covariate balancing.
Online detection of abrupt changes in high-dimensional data streams.
Optimal search for change point anomaly in multiple processes.
We present algorithms for the detection of a class of heart arrhythmias with the goal of eventual adoption by practicing cardiologists. In clinical practice, detection is based on a small number of meaningful features extracted from the heartbeat cycle. However, techniques proposed in the literature use high dimensiona…