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 on existence of ground states on curved spaces with conditions on potential growth.
We apply the potential force estimation method to artificial time series of market price produced by a deterministic dealer model. We find that dealers' feedback of linear prediction of market price based on the latest mean price changes plays the central role in the market's potential force. When markets are dominated…
Study on consensus formation in manifolds with curvature constraints.
Loss functions with a large number of saddle points are one of the major obstacles for training modern machine learning models efficiently. First-order methods such as gradient descent are usually the methods of choice for training machine learning models. However, these methods converge to saddle points for certain ch…
The Temporal Group LASSO is an example of a multi-task, regularized regression approach for the prediction of response variables that vary over time. The aim of this work is to introduce the reader to the concepts behind the Temporal Group LASSO and its related methods, as well as to the type of potential applications …
India is ranked as the third most attractive nation for retail investment among emerging markets and many MNCs have been looking for the potential benefits to be taken from it. The development of organized retail has the potential of generating employment, improvement in technology, development of real estate etc. On t…
Belief propagation (BP) is a popular method for performing probabilistic inference on graphical models. In this work, we enhance BP and propose self-guided belief propagation (SBP) that incorporates the pairwise potentials only gradually. This homotopy continuation method converges to a unique solution and increases th…
Consider a binary decision making process where a single machine learning classifier replaces a multitude of humans. We raise questions about the resulting loss of diversity in the decision making process. We study the potential benefits of using random classifier ensembles instead of a single classifier in the context…
Cryptocurrencies have heavy-tailed return distributions, requiring diversification.
Study on existence of ground states for free energy on hyperbolic space.
Automatic bill classification is an attractive task with many potential applications such as automated detection and counting in images or videos. To address this purpose we present a Deep Learning Model to classify Chilean Banknotes, because of its successful results in image processing applications. For optimal perfo…
As Computer Vision moves from a passive analysis of pixels to active analysis of semantics, the breadth of information algorithms need to reason over has expanded significantly. One of the key challenges in this vein is the ability to identify the information required to make a decision, and select an action that will …
In an incomplete market, including liquidly-traded European options in an investment portfolio could potentially improve the expected terminal utility for a risk-averse investor. However, unlike the Sharpe ratio, which provides a concise measure of the relative investment attractiveness of different underlying risky as…
High quality risk adjustment in health insurance markets weakens insurer incentives to engage in inefficient behavior to attract lower-cost enrollees. We propose a novel methodology based on Markov Chain Monte Carlo methods to improve risk adjustment by clustering diagnostic codes into risk groups optimal for health ex…
Generative adversarial networks (GANs) evolved into one of the most successful unsupervised techniques for generating realistic images. Even though it has recently been shown that GAN training converges, GAN models often end up in local Nash equilibria that are associated with mode collapse or otherwise fail to model t…
Review of metallic Riemannian geometry advances.
Trend following in cryptocurrencies yields high returns, similar to commodities.
Bayesian inference reconstructs external potentials in DFT for many-particle systems.
Neighbor embeddings balance attraction and repulsion to visualize data.
BESS shows potential in European markets for frequency support, but not for energy arbitrage.
An algorithm based on Renormalization Group (RG) to analyze time series forecasting was proposed in cond-mat/0110285. In this paper we explicitly code and test it. We choose in particular some financial time series (stocks, indexes and commodities) with daily data and compute one step ahead forecasts. We then construct…
In this paper an econophysics model for the currency exchange operations with commission is proposed. With this purpose some analogies and similarities of the processes that take place in the frame of the electrochemical system made from electrodes sunk into a solution of electrolytes and the process of the currency ex…
Study analyzes low-energy behavior of Schrödinger operators with Coulomb potentials.
Recidivism prediction instruments provide decision makers with an assessment of the likelihood that a criminal defendant will reoffend at a future point in time. While such instruments are gaining increasing popularity across the country, their use is attracting tremendous controversy. Much of the controversy concerns …
Proves properties of neural network basins of attraction and their expressiveness.
ChatGPT selects stocks for investment portfolios, but optimization models improve results.
Proposes a method to learn system dynamics and region of attraction from trajectories.
Game theory models incentivizes honesty in collaborative learning among competitors.
This is an introduction to some of the analytic (or integrable systems) aspects of quantum cohomology which have attracted much attention during the last few years. The small quantum cohomology algebra, regarded as an example of a Frobenius manifold, is described in the original naive manner, without going into the tec…
ARS visualization improves t-SNE dynamics with tunable attraction and repulsion.
Deep learning as represented by the artificial deep neural networks (DNNs) has achieved great success in many important areas that deal with text, images, videos, graphs, and so on. However, the black-box nature of DNNs has become one of the primary obstacles for their wide acceptance in mission-critical applications s…
Recidivism prediction instruments (RPI's) provide decision makers with an assessment of the likelihood that a criminal defendant will reoffend at a future point in time. While such instruments are gaining increasing popularity across the country, their use is attracting tremendous controversy. Much of the controversy c…
Straight lines are a basin of attraction for the elastic flow at least to level 1.9615π.
This paper presents a methodology that aims at the incremental representation of areas inside environments in terms of attractive forces. It is proposed a parametric representation of velocity fields ruling the dynamics of moving agents. It is assumed that attractive spots in the environment are responsible for modifyi…
Deep learning is increasingly being used in high-stake decision making applications that affect individual lives. However, deep learning models might exhibit algorithmic discrimination behaviors with respect to protected groups, potentially posing negative impacts on individuals and society. Therefore, fairness in deep…
We construct flexible likelihoods for multi-output Gaussian process models that leverage neural networks as components. We make use of sparse variational inference methods to enable scalable approximate inference for the resulting class of models. An attractive feature of these models is that they can admit analytic pr…
Group quantization applied to finance models.
Factorization machines (FM) are a popular model class to learn pairwise interactions by a low-rank approximation. Different from existing FM-based approaches which use a fixed rank for all features, this paper proposes a Rank-Aware FM (RaFM) model which adopts pairwise interactions from embeddings with different ranks.…
Given a free group , a fully irreducible automorphism $f \in \aut$, and a generic element , the elements converge in the appropriate sense to an object called an attracting lamination of . When the action of on has finite order, we introduce a homological version…
The possibility that price dynamics is affected by its distance from a moving average has been recently introduced as new statistical tool. The purpose is to identify the tendency of the price dynamics to be attractive or repulsive with respect to its own moving average. We consider a number of tests for various models…
SGD tends to favor simpler subnetworks, improving generalization.
We investigate how the choice of decision makers can be varied under the presence of risk and uncertainty. Our analysis is based on the approach we have previously applied to individual decision makers, which we now generalize to the case of decision makers that are members of a society. The approach employs the mathem…
Lasso and other regularization procedures are attractive methods for variable selection, subject to a proper choice of shrinkage parameter. Given a set of potential subsets produced by a regularization algorithm, a consistent model selection criterion is proposed to select the best one among this preselected set. The a…
Machine learning suffers from poor design, data, and evaluation practices.
A new algorithm avoids retractions to optimize orthogonal matrices efficiently.
MPNNs generalize poorly, study reviews current research.
New Shapley values reveal non-linear feature dependencies.
Current auto loans converge to super-prime credit despite remaining underwater.