arXiv research

Study examines parallel computing strategies for faster imputation of missing data.

Optimal asset allocation strategy outperforms stochastic benchmark.

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…

New sampling strategy preserves relationships in multivariate scientific data.

Active data collection improves convergence rates in operator learning.

New trading strategy uses deep neural networks for future stock price predictions.

Generalized statistical arbitrage concepts are introduced corresponding to trading strategies which yield positive gains on average in a class of scenarios rather than almost surely. The relevant scenarios or market states are specified via an information system given by a $σ$-algebra and so this notion contains classi…

This study optimizes trading strategy parameters using walk-forward techniques and finds robust performance.

We approach the development of models and control strategies of susceptible-infected-susceptible (SIS) epidemic processes from the perspective of marked temporal point processes and stochastic optimal control of stochastic differential equations (SDEs) with jumps. In contrast to previous work, this novel perspective is…

We propose a Genetic Programming architecture for the generation of foreign exchange trading strategies. The system's principal features are the evolution of free-form strategies which do not rely on any prior models and the utilization of price series from multiple instruments as input data. This latter feature consti…

Automation of machine learning model development is increasingly becoming an established research area. While automated model selection and automated data pre-processing have been studied in depth, there is, however, a gap concerning automated model adaptation strategies when multiple strategies are available. Manually…

Recurrent Neural Networks (RNNs) can be seriously impacted by the initial parameters assignment, which may result in poor generalization performances on new unseen data. With the objective to tackle this crucial issue, in the context of RNN based classification, we propose a new supervised layer-wise pretraining strate…

QuantNet learns global market trends to improve trading strategies.

Theoretical and empirical study on SMOTE rebalancing strategy for imbalanced data.

One of the current challenges in machine learning is how to deal with data coming at increasing rates in data streams. New predictive learning strategies are needed to cope with the high throughput data and concept drift. One of the data stream mining tasks where new learning strategies are needed is multi-target regre…

Informer model with GMADL loss outperforms benchmarks in high frequency Bitcoin trading.

We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cost portfolio strategies. The learning algorithm is used to determine the relative population dynamics of technical trading strategies that can survive historical back-testing as well a…

In this paper, we study the adversarial robustness of subspace learning problems. Different from the assumptions made in existing work on robust subspace learning where data samples are contaminated by gross sparse outliers or small dense noises, we consider a more powerful adversary who can first observe the data matr…

Develops a new bidding system to maximize advertiser profit.

The paper proposes an asset allocation strategy using the Sortino ratio for better performance.

New trading strategy beats traditional grid in crypto markets.

In this paper, we confront the problem of deep learning's big labeled data requirements, offer a rule based strategy for extreme augmentation of small data sets and apply that strategy with the image to image translation model by Isola et al. (2016) to automate cel style cartoon coloring with very limited training data…

Study finds cherry-picking load shaping strategies outperforms others in reducing grid CO2 emissions.

Adaptive robust strategy improves online portfolio selection by managing market trends and costs.

The portfolio optimisation problem, first raised by Harry Markowitz in 1952, has been a fundamental and central topic to understanding the stock market and making decisions. There has been plenty of works contributing to development of the mean-variance optimisation (MVO) so far. In this paper, one kind of them, namely…

In this paper we use game theory to model poisoning attack scenarios. We prove the non-existence of pure strategy Nash Equilibrium in the attacker and defender game. We then propose a mixed extension of our game model and an algorithm to approximate the Nash Equilibrium strategy for the defender. We then demonstrate th…

In this paper we show strategies to easily identify fake samples generated with the Generative Adversarial Network framework. One strategy is based on the statistical analysis and comparison of raw pixel values and features extracted from them. The other strategy learns formal specifications from the real data and show…

A new strategy selects k in k-NN regression without hold-out data.

This paper evaluates six strategies for mitigating imbalanced data: oversampling, undersampling, ensemble methods, specialized algorithms, class weight adjustments, and a no-mitigation approach referred to as the baseline. These strategies were tested on 58 real-life binary imbalanced datasets with imbalance rates rang…

Study compares data-driven vs model-based MRS quantification strategies, focusing on resilience to out-of-distribution effects.

This paper analyzes FL privacy risks and defensive strategies.

Novel method reconstructs liquidity data for CLMMs, optimizing dynamic liquidity strategies.

Deep RL strategies outperform traditional methods in cryptocurrency trading.

Study uses RNN for real-time crypto price prediction and trading optimization.

Study examines AutoML adaptation to evolving data.

Explains classic quantitative strategies and their workings.

Article proposes a profitable intraday trading strategy for Chinese stocks.

This study examines yield aggregators in DeFi, summarizing strategies and analyzing performance.

How do groups of individuals achieve consensus in movement decisions? Do individuals follow their friends, the one predetermined leader, or whomever just happens to be nearby? To address these questions computationally, we formalize "Coordination Strategy Inference Problem". In this setting, a group of multiple individ…

Proposes a proportional masking strategy for better tabular data imputation.

Deep neural networks identify robust arbitrage strategies in financial markets.

A key problem in location-based modeling and forecasting lies in identifying suitable spatial and temporal resolutions. In particular, judicious spatial partitioning can play a significant role in enhancing the performance of location-based forecasting models. In this work, we investigate two widely used tessellation s…

We introduce the concept of spontaneous symmetry breaking to arbitrage modeling. In the model, the arbitrage strategy is considered as being in the symmetry breaking phase and the phase transition between arbitrage mode and no-arbitrage mode is triggered by a control parameter. We estimate the control parameter for mom…

We propose a general-purpose approach to discovering active learning (AL) strategies from data. These strategies are transferable from one domain to another and can be used in conjunction with many machine learning models. To this end, we formalize the annotation process as a Markov decision process, design universal s…

Paper introduces MADL loss function for better AIS model optimization.

We present an explicit hedging strategy, which enables to prove arbitrageness of market incorporating at least two assets depending on the same random factor. The implied Black-Scholes volatility, computed taking into account the form of the graph of the option price, related to our strategy, demonstrates the "skewness…

The Heston model optimizes portfolio management based on real market data.

Improved active output selection reduces calibration time by 10% or more.