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: Some developer activity traditionally performed manually, such as making code commits, opening, managing, or closing issues is increasingly subject to automation in many OSS projects. Specifically, such activity is often performed by tools that react to events or run at specific times. We refer to such auto…
In this paper, we study multi-armed bandit problems in explore-then-commit setting. In our proposed explore-then-commit setting, the goal is to identify the best arm after a pure experimentation (exploration) phase and exploit it once or for a given finite number of times. We identify that although the arm with the hig…
The paper examines how builders in Ethereum auctions can defect and replicate winning MEV opportunities, affecting searchers' bidding strategies.
problem Commitment problem in Ethereum auctions where builders can defect and replicate winning MEV opportunities.
method Modeling and analysis of searchers' bidding strategies and the resulting equilibrium, using libMEV dataset.
result The equilibrium is piecewise, with the cost of imperfect commitment depending on replicability and competition. There is sharp heterogeneity across MEV types.
We apply multiple testing procedures to the validation of estimated default probabilities in credit rating systems. The goal is to identify rating classes for which the probability of default is estimated inaccurately, while still maintaining a predefined level of committing type I errors as measured by the familywise …
Delusional bias is a fundamental source of error in approximate Q-learning. To date, the only techniques that explicitly address delusion require comprehensive search using tabular value estimates. In this paper, we develop efficient methods to mitigate delusional bias by training Q-approximators with labels that are "…
The discrete-time mean-variance portfolio selection formulation, a representative of general dynamic mean-risk portfolio selection problems, does not satisfy time consistency in efficiency (TCIE) in general, i.e., a truncated pre-committed efficient policy may become inefficient when considering the corresponding trunc…
In this paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting. This gives rise to time-inconsistency of the decision-maker. If the decision-maker at time t=0 can commit his/her successors, he/she can choose the policy that is optimal from his/her point of view, and …
We study the multi-armed bandit problem with subgaussian rewards. The explore-then-commit (ETC) strategy, which consists of an exploration phase followed by an exploitation phase, is one of the most widely used algorithms in a variety of online decision applications. Nevertheless, it has been shown in Garivier et al. (…
There is considerable debate whether the domestic political institutions (specifically, the country s level of democracy) of the host developing country toward foreign investors are effective in establishing the credibility of commitments are still underway, researchers have also analyzed the effect of international in…
We analyze the practices of reservoir computing in the framework of statistical learning theory. In particular, we derive finite sample upper bounds for the generalization error committed by specific families of reservoir computing systems when processing discrete-time inputs under various hypotheses on their dependenc…
Security-Constrained Unit Commitment (SCUC) is a fundamental problem in power systems and electricity markets. In practical settings, SCUC is repeatedly solved via Mixed-Integer Linear Programming, sometimes multiple times per day, with only minor changes in input data. In this work, we propose a number of machine lear…
Truckload brokerages, a $100 billion/year industry in the U.S., plays the critical role of matching shippers with carriers, often to move loads several days into the future. Brokerages not only have to find companies that will agree to move a load, the brokerage often has to find a price that both the shipper and carri…
The paper discusses the role of monetary policy when potential output depends on the inflation rate. If the intention of the central bank is to maximize actual output growth, then it has to be credibly committed to a strict inflation targeting rule, and to take the MOGIR (the Maximizing Output Growth Inflation Rate) as…
This paper introduces modal epistemic tools for risk management.
problem Identifying and certifying risk claims when institutions lack the necessary epistemic stance.
method Develops crisp and fuzzy modal semantics for assurance and working commitment, distinguishing between object-level risk claims and meta-level epistemic diagnostics.
result Risk governance should model evidential incompleteness and failures of escalation, not just hazards and losses.
Paper studies zero-sum games with noisy observations and identifies equilibrium conditions.
problem Zero-sum games with noisy observations of the leader's actions.
method Analyzes the equilibrium of games with noisy action observability, identifies necessary conditions for uniqueness, and investigates the cardinality of best responses.
result The noisy observations significantly impact the cardinality of the follower's set of best responses, and under certain conditions, this set becomes a singleton almost surely.
Though suicide is a major public health problem in the US, machine learning methods are not commonly used to predict an individual's risk of attempting/committing suicide. In the present work, starting with an anonymized collection of electronic health records for 522,056 unique, California-resident adolescents, we dev…
In the current environment of financial distress, many governments are likely to soon become major holders of financial assets, but the policy debate focuses only on the likelihood and extent of short-term market stabilization. This paper shows that government intervention and propping up are likely to lead to long-ter…
In this paper we study convex stochastic search problems where a noisy objective function value is observed after a decision is made. There are many stochastic search problems whose behavior depends on an exogenous state variable which affects the shape of the objective function. Currently, there is no general purpose …
This paper characterizes the conditional distribution properties of the finite sample ridge regression estimator and uses that result to evaluate total regression and generalization errors that incorporate the inaccuracies committed at the time of parameter estimation. The paper provides explicit formulas for those err…
Before a person can be prosecuted and convicted for insider trading, he must first execute the overt act of trading. If no sale of security is consummated, no crime is also consummated. However, through a complex and insidious combination of various financial instruments, one can capture the same amount of gains from i…
Scaling clustering algorithms to massive data sets is a challenging task. Recently, several successful approaches based on data summarization methods, such as coresets and sketches, were proposed. While these techniques provide provably good and small summaries, they are inherently problem dependent - the practitioner …