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arXiv research

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.

169,051 papers · 148 categories

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48 results for dispersion loss

New framework controls statistical dispersion for high-stakes applications.

problem Understanding and controlling the dispersion of loss distributions in high-stakes applications.
method Simple yet flexible framework for distribution-free control of statistical dispersion measures.
result Proposed methods control statistical dispersion measures with societal implications.

Geometric focusing affects dispersive estimates for Schrödinger and wave equations.

problem Long-time decay rate in dispersive estimates for Schrödinger and wave equations on non-trapping asymptotically conic manifolds and exact metric cones.
method Classifying the long-time decay rate in dispersive estimates for the Schrödinger and wave equations on non-trapping asymptotically conic manifolds and exact metric cones in terms of the intensity of geometric focusing.
result Each multiplicity of conjugate points within distance π on Y = ∂X0 leads to a |t|1/2-loss in the long-time decay order and a half-order shift in the regularity index in the dispersive estimate for the Schrödinger equation.

A framework connects VAEs to GLMs for better model initialization and performance.

problem Understanding and optimizing loss function critical points in VAEs.
method Introducing a theoretical framework based on GLM and EDFs.
result Maximum likelihood initialization improves VAE performance.

A new method learns features for one-class classification using intra-class splitting.

problem Challenges in one-class classification due to limited normal class samples.
method Intra-class splitting and joint training of typical and atypical samples with loss functions.
result The method outperforms other models in one-class classification tasks.

A new model relaxes constraints on exponential dispersion models.

problem Tight conditions on cumulant function limit the class of exponential dispersion models.
method Introduces K-LED model with Legendre cumulant function and Bregman divergence guidance.
result The model allows for easier computation of mean parameter and includes various distributions.

We introduce negative binomial matrix factorization (NBMF), a matrix factorization technique specially designed for analyzing over-dispersed count data. It can be viewed as an extension of Poisson matrix factorization (PF) perturbed by a multiplicative term which models exposure. This term brings a degree of freedom fo…

2018-01-05abs ↗pdf ↗

Skewness dispersion predicts future stock market returns, especially in months with monetary policy announcements.

problem Predicting future stock market returns using skewness dispersion.
method Cross-sectional analysis of firm-level realized skewness and stock market returns.
result Skewness dispersion is a significant predictor of future stock market returns, robust to various estimation methods.

New dispersion indices based on inaccuracy and divergence introduced for information measures.

problem Measuring variability in uncertainty measures.
method Introducing new dispersion indices based on Kerridge inaccuracy and Kullback-Leibler divergence.
result Properties, bounds, and examples of new dispersion indices presented.

Paper predicts urban dispersal events using deep survival analysis on mobility data.

problem Predicting abnormal dispersal events in urban areas to mitigate congestion and safety risks.
method Formulated as a survival analysis problem, developed a two-stage deep learning framework (DILSA).
result DILSA predicts dispersal events with F1-score of 0.7 and average time error of 18 minutes.

Study on stock market volatility and return dispersion during COVID-19.

problem Impact of COVID-19 on stock market volatility and return dispersion.
method Used Google index to proxy epidemic impact, modeled volatility, and analyzed influencing factors of log-return.
result Volatility significantly affected by epidemic and cross-sectional return dispersion, with positive coefficients.

In the recent years, banks have sold structured products such as worst-of options, Everest and Himalayas, resulting in a short correlation exposure. They have hence become interested in offsetting part of this exposure, namely buying back correlation. Two ways have been proposed for such a strategy : either pure correl…

2010-04-01abs ↗pdf ↗

The study examines Hawkes processes and their long-term behavior.

problem Understanding the long-term behavior of Hawkes processes.
method Proving functional limit theorems under various conditions on the dispersion of child events.
result Functional limit theorems hold for Hawkes processes with different levels of child event dispersion.

In this article we prove a family of local (in time) weighted Strichartz estimates with derivative losses for the Klein-Gordon equation on asymptotically de Sitter spaces and provide a heuristic argument for the non-existence of a global dispersive estimate on these spaces. The weights in the estimates depend on the ma…

2010-11-21abs ↗pdf ↗

Bayesian model tackles spatial count data issues with flexible non-parametric techniques.

problem Challenges in traditional parametric models for spatial count data with unbalanced distributions and complex dependencies.
method Bayesian semi-parametric spatial dispersed count model combining non-parametric techniques and adapted count models.
result Demonstrates superior performance in managing dispersion and capturing intricate spatial patterns.

Decomposes portfolio returns into drift and asset price distribution changes.

problem Understanding efficient markets through portfolio returns and asset price distributions.
method Continuous semimartingale price representations and accounting identity.
result Existence of an asset pricing factor emerges from an accounting identity across various economic and financial environments.

Bayesian Quadrature improves ensembling for neural networks with dispersed likelihood peaks.

problem Ensembling neural networks struggles with dispersed, narrow peaks in likelihood surfaces.
method Uses Bayesian Quadrature to construct weighted ensembles of architectures.
result Empirically outperforms state-of-the-art baselines in test likelihood, accuracy, and expected calibration error.

Paper transforms a complex equation into simpler forms for analysis.

problem Analyzing a fourth-order dispersive flow equation on Kähler manifolds.
method Developed the generalized Hasimoto transformation to simplify the equation.
result Explicit expressions derived for three examples of compact Kähler manifolds.

Paper analyzes statistical properties of log-cosh loss function.

problem No statistical analysis of log-cosh loss function in literature.
method Presented statistical properties of log-cosh loss function, compared to Cauchy distribution, and examined various statistical procedures.
result Characterized statistical properties of log-cosh loss function, including distribution, likelihood function, and Fisher information.

Probabilistic modeling is cyclical: we specify a model, infer its posterior, and evaluate its performance. Evaluation drives the cycle, as we revise our model based on how it performs. This requires a metric. Traditionally, predictive accuracy prevails. Yet, predictive accuracy does not tell the whole story. We propose…

2016-05-24abs ↗pdf ↗

Dropout improves regularization in flexible models for rare features.

problem Understanding theoretical properties of dropout in generalized linear models.
method Theoretical analysis and application to adaptive smoothing with B-splines.
result Dropout prefers rare features in mean and dispersion parameters.

The standard deviation and Gini mean difference order based on tail behavior.

problem Ordering between standard deviation and Gini mean difference for real-valued risks.
method Analysis of the mean excess function of the pairwise difference XX|X - X'|.
result Dominance regimes of SD and GMD are determined by tail behavior of the distribution.

Study dispersive estimates for Schrödinger and wave equations on a cone with specific metric.

problem Pointwise decay estimates for Schrödinger and wave equations on a product cone.
method Modified Hadamard parametrix on YY with ε>πε > π to prove dispersive estimates.
result Threshold of conjugate radius ε>πε > π for pointwise dispersive estimates.

Proposes a new portfolio optimization method considering reward, dispersion, and asymmetry.

problem Capturing fat-tails and asymmetry in asset return distributions.
method Market model with tempered stable distribution; extended mean-variance optimization.
result Closed-form solutions for VaR and CVaR; efficient frontier extended to three dimensions.

Different optimizer choices lead to different financial model predictions.

problem The impact of optimizer choice on neural network models in financial time series.
method Analysis of large-scale volatility forecasting for S&P 500 stocks using various model-training-pipeline pairs.
result Optimizer choice reshapes non-linear response profiles and temporal dependence in financial models, leading to different functional outcomes.

Neural networks improve wave-equation simulation accuracy.

problem Inaccurate discretization of Laplacian in wave-equation simulation leads to numerical dispersion.
method Intersperse CNNs between low-fidelity timesteps to correct wavefield and limit numerical dispersion.
result Neural network augmentation reduces numerical dispersion artifacts in wave-equation simulation.

Method meta-classifies semantic segmentation predictions using dispersion measures.

problem Assessing the quality of semantic segmentation predictions.
method Aggregates dispersion measures (entropy) of predicted probabilities to derive metrics correlated with IoU.
result Metrics correlate well with IoU, providing reliable prediction quality ratings.

The paper examines stochastic ordering of Gini indexes for multivariate elliptical risks.

problem Stochastic ordering of Gini indexes for multivariate elliptical risks.
method Established conditions for monotonicity of Gini index in usual stochastic order.
result Suitable conditions for multivariate elliptical risks generalize those for multivariate normal risks.

Model calculates capital requirements for multi-line insurance companies.

problem Measuring and capitalizing on incurred claims risk for multi-line property and casualty insurers.
method Stochastic model integrating accident semester, development lag effects, autocorrelation, and hierarchical copula.
result Model accurately reproduces empirical loss ratio dynamics and quantifies overall portfolio risk.

We study productivity dispersions across workers, firms and industrial sectors. Empirical study of the Japanese data shows that they all obey the Pareto law, and also that the Pareto index decreases with the level of aggregation. In order to explain these two stylized facts, we propose a theoretical framework built upo…

2008-05-19abs ↗pdf ↗

End-to-end deep learning boosts IM/DD fiber communication over dispersive channels.

problem Improving data transmission over dispersive IM/DD channels with memory.
method Bidirectional recurrent neural network (BRNN) for end-to-end deep learning of the communication system.
result End-to-end SBRNN achieves significant bit-error-rate reduction compared to FFNNs.

Paper proves vanishing terms in a second Poisson bracket for a specific system.

problem Proving polynomiality of coefficients in the dispersion parameter expansion of the second Poisson bracket.
method Bi-Hamiltonian recursion and Liu-Pandharipande relations.
result Proves vanishing terms in the second Poisson bracket expansion.

Study shows how to reduce variational inference bias by concentrating likelihood ratio distribution.

problem Bias and variance issues in variational inference.
method Upper bound variational gap using dispersion measure of likelihood ratio, suggesting methods to reduce bias.
result Reducing bias in variational inference can be achieved by making likelihood ratio distribution more concentrated.

Wasserstein Discriminant Analysis (WDA) is a new supervised method that can improve classification of high-dimensional data by computing a suitable linear map onto a lower dimensional subspace. Following the blueprint of classical Linear Discriminant Analysis (LDA), WDA selects the projection matrix that maximizes the …

2016-08-29abs ↗pdf ↗