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.
Study apple tasting feedback in online binary classification, providing new insights into minimax expected mistakes.
A deterministic apple tasting learner is developed, confirming a conjecture and providing tight bounds for mistake bounds.
Implicit feedback is the simplest form of user feedback that can be used for item recommendation. It is easy to collect and domain independent. However, there is a lack of negative examples. Existing works circumvent this problem by making various assumptions regarding the unconsumed items, which fail to hold when the …
Phenotyping electronic health records (EHR) focuses on defining meaningful patient groups (e.g., heart failure group and diabetes group) and identifying the temporal evolution of patients in those groups. Tensor factorization has been an effective tool for phenotyping. Most of the existing works assume either a static …
In high-dimensional data analysis, penalized likelihood estimators are shown to provide superior results in both variable selection and parameter estimation. A new algorithm, APPLE, is proposed for calculating the Approximate Path for Penalized Likelihood Estimators. Both the convex penalty (such as LASSO) and the nonc…
The paper uses data science to predict stock trends of Amazon, Apple, Google, and Microsoft.
Fashion preference is a fuzzy concept that depends on customer taste, prevailing norms in fashion product/style, henceforth used interchangeably, and a customer's perception of utility or fashionability, yet fashion e-retail relies on algorithmically generated search and recommendation systems that process structured d…
We consider the problem of maximizing expected power utility from consumption over an infinite horizon in the Black-Scholes model with proportional transaction costs, as studied in Shreve and Soner [Ann. Appl. Probab. 4 (1994) 609-692]. Similar to Kallsen and Muhle-Karbe [Ann. Appl. Probab. 20 (2010) 1341-1358], we der…
The present paper deals with the characterization of no-arbitrage properties of a continuous semimartingale. The first main result, Theorem \refMainTheoremCharNA, extends the no-arbitrage criterion by Levental and Skorohod [Ann. Appl. Probab. 5 (1995) 906-925] from diffusion processes to arbitrary continuous semimartin…
The purpose of this article is to provide, with the help of a fluctuation identity, a generic link between a number of known identities for the first passage time and overshoot above/below a fixed level of a Levy process and the solution of Gerber and Shiu [Astin Bull. 24 (1994) 195-220], Boyarchenko and Levendorskii […
Learning to rank is an important problem in machine learning and recommender systems. In a recommender system, a user is typically recommended a list of items. Since the user is unlikely to examine the entire recommended list, partial feedback arises naturally. At the same time, diverse recommendations are important be…
Convolutional autoencoders improve personalized recommendations from image-based data.
This study examines how fashion consumption affects self-confidence and buying behavior in Iranian consumers.
The aim of this short lecture series is to expose the students to the beautiful theory of lattices by, on one hand, demonstrating various basic ideas that appear in this theory and, on the other hand, formulating some of the celebrated results which, in particular, shows some connections to other fields of mathematics.…
New bandit algorithm detects and adapts to seasonal changes in rewards.
Social interactions and personal tastes shape our consumption behavior of cultural products. In this study, we present a computational model of a cultural market and we aim to analyze the behavior of the consumer population as an emergent phenomena. Our results suggest that the final market shares of cultural products …
Smart watches can identify smoking gestures with high accuracy.
This study improves stock price prediction for Apple Inc. using feature selection and regression models with technical indicators.
Modeling stock price fluctuations using Brownian motion and stochastic differential equations.
We show that the shortfall risk of binomial approximations of game (Israeli) options converges to the shortfall risk in the corresponding Black--Scholes market considering Lipschitz continuous path-dependent payoffs for both discrete- and continuous-time cases. These results are new also for usual American style option…
We show how any dataset of any modality (time-series, images, sound...) can be approximated by a well-behaved (continuous, differentiable...) scalar function with a single real-valued parameter. Building upon elementary concepts from chaos theory, we adopt a pedagogical approach demonstrating how to adjust this paramet…
Lung cancer continues to be a major healthcare challenge with high morbidity and mortality rates among both men and women worldwide. The majority of lung cancer cases are of non-small cell lung cancer type. With the advent of targeted cancer therapy, it is imperative not only to properly diagnose but also sub-classify …
We introduce negative binomial matrix factorization (NBMF), a matrix factorization technique specially designed for analyzing over-dispersed count data. It can be viewed as an extension of Poisson matrix factorization (PF) perturbed by a multiplicative term which models exposure. This term brings a degree of freedom fo…
We prove a conjecture formulated by Pablo M. Chacon and Guillermo A. Lobos in [Pseudo-parallel Lagrangian submanifolds in complex space forms, Differential Geom. Appl.] stating that every Lagrangian pseudo-parallel submanifold of a complex space form of dimension at least 3 is semi-parallel.
We present an axiomatic/synthetic account of the Huygens Principle of wave fronts. The primitive notions are "touching", and (a weak notion of ) metric. The paper simplifies some of the exposition of the author's "Metric spaces and SDG", Theory and Appl. of Categories 32 (2017), 803-822
The need for diversification of recommendation lists manifests in a number of recommender systems use cases. However, an increase in diversity may undermine the utility of the recommendations, as relevant items in the list may be replaced by more diverse ones. In this work we propose a novel method for maximizing the u…
The paper mentioned in the title introduces the entropic value at risk. I give some extra comments and using the general theory make a relation with some commonotone risk measures.
Barrieu, Rouault, and Yor [J. Appl. Probab. 41 (2004)] determined asymptotics for the logarithm of the distribution function of the Hartman-Watson distribution. We determine the asymptotics of the density. This refinement can be applied to the pricing of Asian options in the Black-Scholes model.
The paper analyzes robustness and sensitivity of rough Volterra stochastic volatility models.
Using the result by D.Gessler (Differential Geom. Appl. 7 (1997) 303-324, DIPS-9/98, http://diffiety.ac.ru/preprint/98/09_98abs.htm), we show that any invariant variational bivector (resp., variational 2-form) on an evolution equation with nondegenerate right-hand side is Hamiltonian (resp., symplectic).
Introduces an asymmetric model for measuring market risk.
We introduce a model for the short-term dynamics of financial assets based on an application to finance of quantum gauge theory, developing ideas of Ilinski. We present a numerical algorithm for the computation of the probability distribution of prices and compare the results with APPLE stocks prices and the S&P500 ind…
We confirm the square-root law of market impact on Apple Inc. using a large dataset.
Let be either a Bernoulli random walk or a Brownian motion with drift, and let , . This paper solves the general optimal prediction problem \sup_{0\leqτ\leq T}\sE[f(M_T-B_τ)], where the supremum is over all stopping times adapted to the natural…
We use the energy gap result of pure Yang-Mills equation [Feehan P.M.N., Adv. Math. 312 (2017), 547-587, arXiv:1502.00668] to prove another energy gap result of complex Yang-Mills equations [Gagliardo M., Uhlenbeck K., J. Fixed Point Theory Appl. 11 (2012), 185-198, arXiv:1401.7366], when Riemannian manifold of dim…
In this article, we give the non-integrated defect relations for the Gauss map of a complete minimal surface with finite total curvature in This is a continuation of previous work of Ha-Trao [J. Math. Anal. Appl., \textbf{430} (2015), 76-84.], which we extend here to targets of higher dimension.
An evolutionary game model analyzes e-commerce and traditional retail trends during the pandemic.
ALMANACS benchmarks explainability methods on simulatability.
Bucketed PCA-NN outperforms DNNs by 96% on MNIST.
Paper proves minimizing movements match smooth droplet flow in 3D.
In this paper we prove two sharp inequalities involving the normalized scalar curvature and the generalized normalized -Casorati curvatures for slant submanifolds in quaternionic space forms. We also characterize those submanifolds for which the equality cases hold. These results are a generalization of some recent …
Item cold-start is a classical issue in recommender systems that affects anime and manga recommendations as well. This problem can be framed as follows: how to predict whether a user will like a manga that received few ratings from the community? Content-based techniques can alleviate this issue but require extra infor…
Motivated by the phenomenon that companies introduce new products to keep abreast with customers' rapidly changing tastes, we consider a novel online learning setting where a profit-maximizing seller needs to learn customers' preferences through offering recommendations, which may contain existing products and new prod…
Study compares 29 emulators across 60 test functions and 40 datasets.
New method controls renewable energy storage and portfolio selection with probabilistic constraints.
In this paper we study complete manifolds equipped with smooth measures whose spectrum of the weighted Laplacian has an optimal positive lower bound and the -dimensional Bakry-Émery Ricci curvature is bounded from below by some negative constant. In particular, we prove a splitting type theorem for complete smooth m…
This paper resolves a question proposed in Kardaras and Robertson [Ann. Appl. Probab. 22 (2012) 1576-1610]: how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying assets is unavailable. Among an appropriate class of admissible covariance structures…
We formulate a sufficient condition for the existence of a consistent price system (CPS), which is weaker than the conditional full support condition (CFS) introduced by Guasoni, Rasonyi, and Schachermayer [Ann. Appl. Probab., 18(2008), pp. 491-520] . We use the new condition to show the existence of CPSs for certain p…