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.
The paper develops a method to learn cost-optimal sequential testing policies from retrospective data.
We consider the problem of learning a causal graph over a set of variables with interventions. We study the cost-optimal causal graph learning problem: For a given skeleton (undirected version of the causal graph), design the set of interventions with minimum total cost, that can uniquely identify any causal graph with…
We consider the problem of Probably Approximate Correct (PAC) learning of a binary classifier from noisy labeled examples acquired from multiple annotators (each characterized by a respective classification noise rate). First, we consider the complete information scenario, where the learner knows the noise rates of all…
Efficient adjustment sets found for cost-minimized causal estimations.
Geometric structure reveals optimal investment and hedging products.
NOT learns optimal transport plans, kernel costs improve performance.
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random environment. The goal is to find an optimal control that minimizes the total co…
A note on utility maximization with costs, proving trading strategies.
We develop a polynomial method to optimize trading in markets with transaction costs.
Paper optimizes trading strategies by creating shadow prices for markets with transaction costs.
Generative adversarial networks (GANs) are an expressive class of neural generative models with tremendous success in modeling high-dimensional continuous measures. In this paper, we present a scalable method for unbalanced optimal transport (OT) based on the generative-adversarial framework. We formulate unbalanced OT…
Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment problem has a long history, especially in the use of asymptotic approximations when th…
Uplift modeling is an emerging machine learning approach for estimating the treatment effect at an individual or subgroup level. It can be used for optimizing the performance of interventions such as marketing campaigns and product designs. Uplift modeling can be used to estimate which users are likely to benefit from …
This paper discusses the numéraire-based utility maximization problem in markets with proportional transaction costs. In particular, the investor is required to liquidate all her position in stock at the terminal time. We first observe the stability of the primal and dual value functions as well as the convergence of t…
New approach for uninformed investors to optimize execution costs.
The sophisticated structure of Convolutional Neural Network (CNN) allows for outstanding performance, but at the cost of intensive computation. As significant redundancies inevitably present in such a structure, many works have been proposed to prune the convolutional filters for computation cost reduction. Although ex…
We consider the problem of hedging a European contingent claim in a Bachelier model with transient price impact as proposed by Almgren and Chriss. Following the approach of Rogers and Singh and Naujokat and Westray, the hedging problem can be regarded as a cost optimal tracking problem of the frictionless hedging strat…
A new method for conditional sampling using paired Wasserstein Autoencoders.
Algorithm for hedging American options with transaction costs.
Optimizes trading strategy considering alpha decay and transaction costs.
Automated planning is one of the foundational areas of AI. Since no single planner can work well for all tasks and domains, portfolio-based techniques have become increasingly popular in recent years. In particular, deep learning emerges as a promising methodology for online planner selection. Owing to the recent devel…
Study explores optimal portfolio control in financial markets with transaction costs.
Study optimal periodic dividend strategies for risky businesses with transaction costs.
Recent studies have shown that online portfolio selection strategies that exploit the mean reversion property can achieve excess return from equity markets. This paper empirically investigates the performance of state-of-the-art mean reversion strategies on real market data. The aims of the study are twofold. The first…
Paper tackles best arm identification with cost consideration.
New method for estimating and optimizing MDPs without stationarity.
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly incorporated into prices. Because revealed market liquidity is extremely low, large …
FrugalML optimizes API selection for cost and accuracy.
Paper proposes a new method for regression using optimal transport cost optimization.
This paper surveys gradient-based multi-objective deep learning methods.
New scaling laws optimize model size, training, and inference for better performance.
The success of automated driving deployment is highly depending on the ability to develop an efficient and safe driving policy. The problem is well formulated under the framework of optimal control as a cost optimization problem. Model based solutions using traditional planning are efficient, but require the knowledge …
New system assigns vehicles to routes for cost and energy efficiency.
Control charts have traditionally been used in industrial statistics, but are constantly seeing new areas of application, especially in the age of Industry 4.0. This paper introduces a new method, which is suitable for applications in the healthcare sector, especially for monitoring a health-characteristic of a patient…
DCMAP optimizes clustering in Bayesian Networks with dependent costs.
Improves privacy guarantees by analyzing randomness in privacy-preserving mechanisms.
Combines dynamic programming and neural networks for optimal portfolio execution in regime-switching markets.
In the industry of video content providers such as VOD and IPTV, predicting the popularity of video contents in advance is critical not only from a marketing perspective but also from a network optimization perspective. By predicting whether the content will be successful or not in advance, the content file, which is l…
This paper optimizes a power-to-heat system using reinforcement learning for cost minimization under uncertain conditions.