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.
An exclusion particle model is considered as a highly simplified model of a limit order market. Its price behavior reproduces the well known crossover from over-diffusion (Hurst exponent H>1/2) to diffusion (H=1/2) when the time horizon is increased, provided that orders are allowed to be canceled. For early times a ma…
Systems with long-range persistence and memory are shown to exhibit different precursory as well as recovery patterns in response to shocks of exogeneous versus endogeneous origins. By endogeneous, we envision either fluctuations resulting from an underlying chaotic dynamics or from a stochastic forcing origin which ma…
The paper introduces a novel method for training neural network Stein critics with staged L2-regularization.
problem Learning to differentiate model distributions from observed data in high-dimensional settings.
method Developed a novel staging procedure for L2 regularization over training time, leveraging the advantages of highly-regularized training at early times.
result Theoretical guarantees and empirical validation show that the method improves the approximation of the training dynamic by the kernel optimization, leading to faster convergence and better performance.
Early time series classification (eTSC) is the problem of classifying a time series after as few measurements as possible with the highest possible accuracy. The most critical issue of any eTSC method is to decide when enough data of a time series has been seen to take a decision: Waiting for more data points usually m…
We introduce a new weight-decay scaling rule to maintain sublayer gains across different widths in modern scale-invariant architectures.
problem In modern scale-invariant architectures, training quickly enters a steady state where normalization layers create backward scale sensitivity, degrading learning-rate transfer.
method We introduce a weight-decay scaling rule for AdamW that preserves sublayer gain across widths by equalizing the effective learning rate.
result Our empirical weight-decay scaling rule λ2∝d approximately keeps sublayer gains width invariant, enabling zero-shot transfer of learning rate and weight decay.