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.
Solves optimal control for stochastic processes with absorbing states.
Identifies conditions for multiple invariant probabilities in Markov kernels.
Deep neural networks near edge of chaos show universal scaling laws.
UDM reparameterization improves language model generation.
Modeling continuous-time physiological processes that manifest a patient's evolving clinical states is a key step in approaching many problems in healthcare. In this paper, we develop the Hidden Absorbing Semi-Markov Model (HASMM): a versatile probabilistic model that is capable of capturing the modern electronic healt…
The family of Wilder continua in cubes of dimension > 2 and its two subfamilies-of continuum-wise Wilder continua and of hereditarily arcwise connected continua-are recognized as coanalytic absorbers in the hyperspace of subcontinua of the cubes. In particular, each of them is homeomorphic to the set of all nonempty co…
In this paper we consider the problem of graph-based transductive classification, and we are particularly interested in the directed graph scenario which is a natural form for many real world applications. Different from existing research efforts that either only deal with undirected graphs or circumvent directionality…
Asset prices contain information about the probability distribution of future states and the stochastic discounting of those states as used by investors. To better understand the challenge in distinguishing investors' beliefs from risk-adjusted discounting, we use Perron-Frobenius Theory to isolate a positive martingal…
A nonparametric Bayesian sparse graph linear dynamical system (SGLDS) is proposed to model sequentially observed multivariate data. SGLDS uses the Bernoulli-Poisson link together with a gamma process to generate an infinite dimensional sparse random graph to model state transitions. Depending on the sparsity pattern of…
Study controlled contagion with state-dependent killing, proving a comparison principle.
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual unpredictable fluctuations. This classical view of markets absorbing information a…
Researchers use information geometry to analyze and improve DRWs for node classification.
The capacity of a neural network to absorb information is limited by its number of parameters. Conditional computation, where parts of the network are active on a per-example basis, has been proposed in theory as a way of dramatically increasing model capacity without a proportional increase in computation. In practice…
Analyzes how uncertainty in financial networks affects stability.
This paper applies reactor theory to supply chain management.
This study optimizes offline reinforcement learning methods for various tasks without rewards.
In this work, we present an interesting attempt on mixture generation: absorbing different image concepts (e.g., content and style) from different domains and thus generating a new domain with learned concepts. In particular, we propose a mixture generative adversarial network (MIXGAN). MIXGAN learns concepts of conten…
This work studies the parameter identification problem for the Markov chain choice model of Blanchet, Gallego, and Goyal used in assortment planning. In this model, the product selected by a customer is determined by a Markov chain over the products, where the products in the offered assortment are absorbing states. Th…
New method links covariates to CTMCs using RKHS, improving state transitions modeling.
We present trellis networks, a new architecture for sequence modeling. On the one hand, a trellis network is a temporal convolutional network with special structure, characterized by weight tying across depth and direct injection of the input into deep layers. On the other hand, we show that truncated recurrent network…
New methods correct spectral distortions using known analyte concentrations.
This primer explains diffusion models in general state spaces.
Networks with large receptive field (RF) have shown advanced fitting ability in recent years. In this work, we utilize the short-term residual learning method to improve the performance and robustness of networks for image denoising tasks. Here, we choose a multi-wavelet convolutional neural network (MWCNN), one of the…
CADD improves generative quality by augmenting discrete diffusion with continuous latent space.
Proves minimax sample complexity for turn-based stochastic games.
The distribution of absorbed dose in radionuclide therapy with Lu can be approximated by convolving an image of the time-integrated activity distribution with a dose voxel kernel representing different tissue types. This fast but inaccurate approximation is unsuitable for personalised dosimetry because it negle…
New approach measures systemic risk by absorbing shocks before financial systems deteriorate.
Momentum speeds up evolutionary processes in machine learning.
The clustering methods have recently absorbed even-increasing attention in learning and vision. Deep clustering combines embedding and clustering together to obtain optimal embedding subspace for clustering, which can be more effective compared with conventional clustering methods. In this paper, we propose a joint lea…
Existing deep neural networks, say for image classification, have been shown to be vulnerable to adversarial images that can cause a DNN misclassification, without any perceptible change to an image. In this work, we propose shock absorbing robust features such as binarization, e.g., rounding, and group extraction, e.g…
A new method for clustering incomplete data.
We develop a frame and dyad gauge-independent formalism for the calculus of variations of functionals involving spinorial objects. As part of this formalism we define a modified variation operator which absorbs frame and spin dyad gauge terms. This formalism is applicable to both the standard spacetime (i.e. SL(2,C)) 2…
We study a continuous-time version of the intermediation model of Grossman and Miller (1988). To wit, we solve for the competitive equilibrium prices at which liquidity takers' demands are absorbed by dealers with quadratic inventory costs, who can in turn gradually transfer these positions to an exogenous open market …
Study on parameter dynamics in exponential families under closed-loop learning.
Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For serially uncorrelated markets, similar portfolios with more robust guarantees have been recently proposed. This paper extends these robust portfo…
We investigate the average frequency of positive slope , crossing for the returns of market prices. The method is based on stochastic processes which no scaling feature is explicitly required. Using this method we define new quantity to quantify stage of development and activity of stocks exchange. We compare …
Paper argues the bear case for Bitcoin is bounded and terminal states are neutral to positive.
Standard economic theory makes an allowance for the agency problem, but not the compounding of moral hazard in the presence of informational opacity, particularly in what concerns high-impact events in fat tailed domains (under slow convergence for the law of large numbers). Nor did it look at exposure as a filter that…
We characterise the value function of the optimal dividend problem with a finite time horizon as the unique classical solution of a suitable Hamilton-Jacobi-Bellman equation. The optimal dividend strategy is realised by a Skorokhod reflection of the fund's value at a time-dependent optimal boundary. Our results are obt…
We study the optimal dividend problem for a firm's manager who has partial information on the profitability of the firm. The problem is formulated as one of singular stochastic control with partial information on the drift of the underlying process and with absorption. In the Markovian formulation, we have a 2-dimensio…
Study of phase separation and geometry on a closed elastic curve, including dynamics and free energy minimization.
The spectroscopy measurement is one of main pathways for exploring and understanding the nature. Today, it seems that racing artificial intelligence will remould its styles. The algorithms contained in huge neural networks are capable of substituting many of expensive and complex components of spectrum instruments. In …
The energy transition is well underway in most European countries. It has a growing impact on electric power systems as it dramatically modifies the way electricity is produced. To ensure a safe and smooth transition towards a pan-European electricity production dominated by renewable sources, it is of paramount import…
We consider here a Fokker--Planck equation with variable coefficient of diffusion which appears in the modeling of the wealth distribution in a multi-agent society. At difference with previous studies, to describe a society in which agents can have debts, we allow the wealth variable to be negative. It is shown that, e…
New method calculates Shapley values for uncertain functions.
Study optimizes HTL-free PSCs with MWCNTs, improving efficiency and stability.
Fitting a simplifying model with several parameters to real data of complex objects is a highly nontrivial task, but enables the possibility to get insights into the objects physics. Here, we present a method to infer the parameters of the model, the model error as well as the statistics of the model error. This method…
Research in psychology and neuroscience has successfully modeled decision making as a process of noisy evidence accumulation to a decision bound. While there are several variants and implementations of this idea, the majority of these models make use of a noisy accumulation between two absorbing boundaries. A common as…