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.
In this paper, we describe our method for DCASE2019 task3: Sound Event Localization and Detection (SELD). We use four CRNN SELDnet-like single output models which run in a consecutive manner to recover all possible information of occurring events. We decompose the SELD task into estimating number of active sources, est…
DeepFPC uses neural networks to recover sparse signals from quantized measurements.
In this paper, we propose a novel data augmentation method for training neural networks for Direction of Arrival (DOA) estimation. This method focuses on expanding the representation of the DOA subspace of a dataset. Given some input data, it applies a transformation to it in order to change its DOA information and sim…
Direction of arrival (DOA) estimation is a classical problem in signal processing with many practical applications. Its research has recently been advanced owing to the development of methods based on sparse signal reconstruction. While these methods have shown advantages over conventional ones, there are still difficu…
Paper improves DOA estimation in sparse arrays using Siamese neural networks.
Model predicts stock returns from order arrivals and cancellations.
Generalizes Fermat's principle for wave propagation in cone structures.
New conditions for circular orderability of direct products, linking to left-orderability of groups.
A neural network improves DOA estimation from a single snapshot.
New model optimizes assortment and pricing with dynamic customer arrivals.
In this paper, we look to address the problem of estimating the dynamic direction of arrival (DOA) of a narrowband signal impinging on a sensor array from the far field. The initial estimate is made using a Bayesian compressive sensing (BCS) framework and then tracked using a Bayesian compressed sensing Kalman filter (…
In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underlying's return, whereas gradual changes in implied volatility would indicate market inefficiency. Using minute-by-minute data on S&P 500 inde…
Predicting stock jumps using liquidity and technical indicators.
Algorithm solves job acceptance problem with random arrivals and values.
Sequential screening and dynamic regret in multi-armed bandits with arriving arms
Proves Arnold-Thom conjecture for surfaces' arrival times.
Simple connection between Harnack inequalities and concavity of arrival time functions.
Estimate arrival times in random recursive trees using iterated Jordan centralities.
In many platforms, user arrivals exhibit a self-reinforcing behavior: future user arrivals are likely to have preferences similar to users who were satisfied in the past. In other words, arrivals exhibit positive externalities. We study multiarmed bandit (MAB) problems with positive externalities. We show that the self…
We propose a direction of arrival (DOA) estimation method that combines sound-intensity vector (IV)-based DOA estimation and DNN-based denoising and dereverberation. Since the accuracy of IV-based DOA estimation degrades due to environmental noise and reverberation, two DNNs are used to remove such effects from the obs…
New model for multi-armed bandits with growing arms.
We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival process are large, and claim size is small. The main goal of the article is to establish a diffusion approximation …
In this work, we present direction-of-arrival (DoA) estimation algorithms based on the Krylov subspace that effectively exploit prior knowledge of the signals that impinge on a sensor array. The proposed multi-step knowledge-aided iterative conjugate gradient (CG) (MS-KAI-CG) algorithms perform subtraction of the unwan…
This paper tackles inventory control with general arrival dynamics and post-processing, improving profitability.
We propose a spatial diffuseness feature for deep neural network (DNN)-based automatic speech recognition to improve recognition accuracy in reverberant and noisy environments. The feature is computed in real-time from multiple microphone signals without requiring knowledge or estimation of the direction of arrival, an…
A drone-based MOT algorithm tracks vehicles using neural network detections and TPMBM filter.
In this paper, we obtain the finite-horizon and infinite-horizon ruin probability asymptotics for risk processes with claims of subexponential tails for non-stationary arrival processes that satisfy a large deviation principle. As a result, the arrival process can be dependent, non-stationary and non-renewal. We give t…
A new framework enhances binaural audio for moving talkers.
Unified framework for intermittent demand forecasting using renewal processes.
Study on queues with Hawkes arrivals, proving steady-state behavior and developing an efficient algorithm.
Optimal fund deployment strategy under uncertain deal arrivals.
We studied non-dynamical stochastic resonance for the number of trades in the stock market. The trade arrival rate presents a deterministic pattern that can be modeled by a cosine function perturbed by noise. Due to the nonlinear relationship between the rate and the observed number of trades, the noise can either enha…
In a previous analysis the problem of "zero-inflated" time data (caused by high frequency trading in the electronic order book) was handled by left-truncating the inter-arrival times. We demonstrated, using rigorous statistical methods, that the Weibull distribution describes the corresponding stochastic dynamics for a…
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that liquidity balance on best bid/best ask is quite informative for predicting the futur…
For a monotonically advancing front, the arrival time is the time when the front reaches a given point. We show that it is twice differentiable everywhere with uniformly bounded second derivative. It is smooth away from the critical points where the equation is degenerate. We also show that the critical set has finite …
Order book dynamics play an important role in both execution time and price formation of orders in an exchange market. In this study, we aim to model the limit order arrival rates in the vicinity of the best bid and the best ask price levels. We use limit order book data for Garanti Bank, which is one of the most trade…
Study models market volatility with persistent and temporary impacts.
A learning-based algorithm optimizes admission control in a queuing system.
Proposes a new simulator for complex arrival processes.
We introduce a multivariate Hawkes process that accounts for the dynamics of market prices through the impact of market order arrivals at microstructural level. Our model is a point process mainly characterized by 4 kernels associated with respectively the trade arrival self-excitation, the price changes mean reversion…
We examine the dynamics of the bid and ask queues of a limit order book and their relationship with the intensity of trade arrivals. In particular, we study the probability of price movements and trade arrivals as a function of the quote imbalance at the top of the limit order book. We propose a stochastic model in an …
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a common systemic shock. Despite unlike the classical multidimensional Marshall-Olkin model here only a unique common shock affecting all the lifet…
In order for an e-commerce platform to maximize its revenue, it must recommend customers items they are most likely to purchase. However, the company often has business constraints on these items, such as the number of each item in stock. In this work, our goal is to recommend items to users as they arrive on a webpage…
A multi-step framework tackles online unsupervised domain adaptation with novel mean-target subspace computation.
Designs for allocating resources to prioritize needy applicants while estimating treatment effects.
This paper evaluates various bus arrival time prediction models.
Finite-time queue peaks in stochastic networks have logarithmic scaling after geometric thresholds.
Recurrent neural networks like long short-term memory (LSTM) are important architectures for sequential prediction tasks. LSTMs (and RNNs in general) model sequences along the forward time direction. Bidirectional LSTMs (Bi-LSTMs) on the other hand model sequences along both forward and backward directions and are gene…