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.
Background. In Italy, in recent years, vaccination coverage for key immunizations as MMR has been declining to worryingly low levels. In 2017, the Italian Gov't expanded the number of mandatory immunizations introducing penalties to unvaccinated children's families. During the 2018 general elections campaign, immunizat…
In this study, we proposed a convolutional neural network model for gender prediction using English Twitter text as input. Ensemble of proposed model achieved an accuracy at 0.8237 on gender prediction and compared favorably with the state-of-the-art performance in a recent author profiling task. We further leveraged t…
In this paper, we investigate the capability of the universal Kriging (UK) model for single-objective global optimization applied within an efficient global optimization (EGO) framework. We implemented this combined UK-EGO framework and studied four variants of the UK methods, that is, a UK with a first-order polynomia…
This paper studies business cycle patterns in UK sectoral output. It analyzes the distinction between white noise processes and their non-white noise counterparts in the frequency domain and further examines the associated features and patterns for the process where white noise conditions are violated. The characterist…
Personalized cancer vaccines are envisioned as the next generation rational cancer immunotherapy. The key step in developing personalized therapeutic cancer vaccines is to identify tumor-specific neoantigens that are on the surface of tumor cells. A promising method for this is through de novo peptide sequencing from m…
Study evaluates UK CDC schemes, finding intergenerational cross-subsidies in flat-accrual schemes and dynamic-accrual schemes can reduce but not eliminate them.
problem Intergenerational cross-subsidies in UK CDC schemes, particularly in flat-accrual schemes.
method Comparison of flat-accrual and dynamic-accrual CDC schemes, analysis of performance and level of cross-subsidies.
result Dynamic-accrual schemes can reduce but not eliminate intergenerational cross-subsidies, while flat-accrual schemes often have significant cross-subsidies.
In an analysis of the US, the UK, and the German stock market we find a change in the behavior based on the stock's beta values. Before 2006 risky trades were concentrated on stocks in the IT and technology sector. Afterwards risky trading takes place for stocks from the financial sector. We show that an agent-based mo…
Key to the imposition of appropriate minimum capital requirements on a daily basis requires accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high frequency UK futures realisations underpinned by a continuous time framework. Squared and absolute returns are incorpor…
Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk measures, observed absolute and squared returns for high frequency intraday UK futures. Volatility …
We present a new Monte-Carlo methodology to forecast the crude oil production of Norway and the U.K. based on a two-step process, (i) the nonlinear extrapolation of the current/past performances of individual oil fields and (ii) a stochastic model of the frequency of future oil field discoveries. Compared with the stan…
Electronic health records (EHR) are increasingly being used for constructing disease risk prediction models. Feature engineering in EHR data however is challenging due to their highly dimensional and heterogeneous nature. Low-dimensional representations of EHR data can potentially mitigate these challenges. In this pap…
We indicate a C-Fuchsian counter-example to the result with the above title announced at http://www.maths.dur.ac.uk/events/Meetings/LMS/2011/GAL11/program.pdf and prove a stronger statement.
This paper examines quantile dependence between international stock markets and evaluates its use for improving volatility forecasting. First, we analyze quantile dependence and directional predictability between the US stock market and stock markets in the UK, Germany, France and Japan. We use the cross-quantilogram, …
Two sets of high quality income data are analysed in detail, one set from the UK, one from the USA. It is firstly demonstrated that both a log-normal distribution and a Boltzmann distribution can give very accurate fits to both these data sets. The absence of a power tail in the US data set is then discussed. Taken in …
We extend the exploration regarding dynamical approach of macroeconomic variables by tackling systematically expenditure using Statistical Physics models (for the first time to the best of our knowledge). Also, using polynomial distribution which characterizes the behavior of dynamical systems in certain situations, we…
Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and UK equity indexes show that implied correlation is not constant but tends to be higher for events i…