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.
Characterizes measures preserving compound mixed renewal process properties.
We propose an analytical approach to the computation of tail probabilities of compound distributions whose individual components have heavy tails. Our approach is based on the contour integration method, and gives rise to a representation of the tail probability of a compound distribution in the form of a rapidly conve…
Study estimates Medallion's compounded return before fees at 31.8%.
Bayesian learning improves reliability of molecular predictions for hit compound discovery.
In this paper, we propose the discrete time Compound Beta-Binomial Risk Model with by-claims, delayed by-claims and randomized dividends. We then analyze the Gerber-Shiu function for the cases where the dividend threshold and under the assumption that the constant discount rate . More specifical…
Study shows subordinated Cramér-Lundberg model increases ruin probability.
The paper develops generalization bounds for deep compound Gaussian neural networks.
Optimizes portfolios with utility theory, diversification, and leverage.
The paper values reinsurance contracts for dynamic catastrophe claims without arbitrage.
We study a formalization of the grammar induction problem that models sentences as being generated by a compound probabilistic context-free grammar. In contrast to traditional formulations which learn a single stochastic grammar, our grammar's rule probabilities are modulated by a per-sentence continuous latent variabl…
Here we present an application of two maxentropic procedures to determine the probability density distribution of compound sums of random variables, using only a finite number of empirically determined fractional moments. The two methods are the Standard method of Maximum Entropy (SME), and the method of Maximum Entrop…
Proposes a reverse stress testing framework for dynamic models.
This chapter is an attempt to present a mathematical theory of compound fractional Poisson processes. The chapter begins with the characterization of a well-known Lévy process: The compound Poisson process. The semi-Markov extension of the compound Poisson process naturally leads to the compound fractional Poisson proc…
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has however become well accepted to utlise a Loss Distributional Approach (LDA) paradigm to model the individual OpRisk loss…
Generates natural product-like compounds using GPT models.
High throughput screening of compounds (chemicals) is an essential part of drug discovery [7], involving thousands to millions of compounds, with the purpose of identifying candidate hits. Most statistical tools, including the industry standard B-score method, work on individual compound plates and do not exploit cross…
Statistical detection of a rare class of objects in a two-class classification problem can pose several challenges. Because the class of interest is rare in the training data, there is relatively little information in the known class response labels for model building. At the same time the available explanatory variabl…
New algorithm identifies best arm in rare event scenarios.
In this paper, we introduce a new model for the risk process based on general compound Hawkes process (GCHP) for the arrival of claims. We call it risk model based on general compound Hawkes process (RMGCHP). The Law of Large Numbers (LLN) and the Functional Central Limit Theorem (FCLT) are proved. We also study the ma…
The task of multi-step ahead prediction in language models is challenging considering the discrepancy between training and testing. At test time, a language model is required to make predictions given past predictions as input, instead of the past targets that are provided during training. This difference, known as exp…
We investigate the existence of affine realizations for Lévy driven interest rate term structure models under the real-world probability measure, which so far has only been studied under an assumed risk-neutral probability measure. For models driven by Wiener processes, all results obtained under the risk-neutral appro…
Normalized compound random measures are flexible nonparametric priors for related distributions. We consider building general nonparametric regression models using normalized compound random measure mixture models. Posterior inference is made using a novel pseudo-marginal Metropolis-Hastings sampler for normalized comp…
Modeling dependent defaults with multivariate Cox processes.
Compound Finance optimizes risk metrics for V3 protocol using Chainrisk simulations.
STMT predicts compounds in unknown areas with trend reflection.
New Riemannian geometry for Compound Gaussian distributions applied to efficient change detection.
ChemGrapher uses deep learning to automatically convert chemical compound images into accurate graphs.
This study deals with the problem of pricing compound options when the underlying asset follows a mixed fractional Brownian motion with jumps. An analytic formula for compound options is derived under the risk neutral measure. Then, these results are applied to value extendible options. Moreover, some special cases of …
Despite the huge success of deep neural networks (NNs), finding good mechanisms for quantifying their prediction uncertainty is still an open problem. Bayesian neural networks are one of the most popular approaches to uncertainty quantification. On the other hand, it was recently shown that ensembles of NNs, which belo…
New MC-Tree method combines Monte Carlo and binomial tree for option pricing and CVA.
The study improves compound selection in in silico screening by focusing on model's ability to predict desirable outcomes.
Supervised learning models, also known as quantitative structure-activity regression (QSAR) models, are increasingly used in assisting the process of preclinical, small molecule drug discovery. The models are trained on data consisting of a finite dimensional representation of molecular structures and their correspondi…
A new method solves complex financial problems using deep learning.
With the rapid development of high-throughput technologies, parallel acquisition of large-scale drug-informatics data provides huge opportunities to improve pharmaceutical research and development. One significant application is the purpose prediction of small molecule compounds, aiming to specify therapeutic propertie…
I unravel the basic long run dynamics of the broker call money market, which is the pile of cash that funds margin loans to retail clients (read: continuous time Kelly gamblers). Call money is assumed to supply itself perfectly inelastically, and to continuously reinvest all principal and interest. I show that the rela…
Ethereum's Pectra upgrade introduces 0x02 compounding validators, offering higher stake and potential APR uplifts.
New MGCPP model for order flow in financial markets.
Matrix H-theory models stock market fluctuations using hierarchical multivariate distributions.
The understanding of the type of inhibitory interaction plays an important role in drug design. Therefore, researchers are interested to know whether a drug has competitive or non-competitive interaction to particular protein targets. Method: to analyze the interaction types we propose factorization method Macau which …
The paper introduces ESG valuation in option pricing using binomial trees.
Study shows convergence rates for BSDEs approximated by compound Poisson processes.
In this article, I will present a paradox whose purpose is to draw your attention to an important topic in finance, concerning the non-independence of the financial returns (non-ergodic hypothesis). In this paradox, we have two people sitting at a table separated by a black sheet so that they cannot see each other and …
The study addresses overlooked data-generating processes in time-series asset pricing.
With the advent of deep generative models in computational chemistry, in silico anticancer drug design has undergone an unprecedented transformation. While state-of-the-art deep learning approaches have shown potential in generating compounds with desired chemical properties, they disregard the genetic profile and prop…
Compound examines decentralized lending users and their short loan durations.
Proposes qPO, a new acquisition strategy for batched Bayesian optimization that maximizes the probability of including the optimum.
In this paper, we study various new Hawkes processes. Specifically, we construct general compound Hawkes processes and investigate their properties in limit order books. With regards to these general compound Hawkes processes, we prove a Law of Large Numbers (LLN) and a Functional Central Limit Theorems (FCLT) for seve…
In line with recent advances in neural drug design and sensitivity prediction, we propose a novel architecture for interpretable prediction of anticancer compound sensitivity using a multimodal attention-based convolutional encoder. Our model is based on the three key pillars of drug sensitivity: compounds' structure i…