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.
We introduce a new discriminant analysis method (Empirical Discriminant Analysis or EDA) for binary classification in machine learning. Given a dataset of feature vectors, this method defines an empirical feature map transforming the training and test data into new data with components having Gaussian empirical distrib…
In this paper, we present a simple analysis of {\bf fast rates} with {\it high probability} of {\bf empirical minimization} for {\it stochastic composite optimization} over a finite-dimensional bounded convex set with exponential concave loss functions and an arbitrary convex regularization. To the best of our knowledg…
Spectral features of the empirical moment matrix constitute a resourceful tool for unveiling properties of a cloud of points, among which, density, support and latent structures. It is already well known that the empirical moment matrix encodes a great deal of subtle attributes of the underlying measure. Starting from …
Empirical analysis serves as an important complement to theoretical analysis for studying practical Bayesian optimization. Often empirical insights expose strengths and weaknesses inaccessible to theoretical analysis. We define two metrics for comparing the performance of Bayesian optimization methods and propose a ran…
We study the risk performance of distributed learning for the regularization empirical risk minimization with fast convergence rate, substantially improving the error analysis of the existing divide-and-conquer based distributed learning. An interesting theoretical finding is that the larger the diversity of each local…
We apply network Lasso to semi-supervised regression problems involving network structured data. This approach lends quite naturally to highly scalable learning algorithms in the form of message passing over an empirical graph which represents the network structure of the data. By using a simple non-parametric regressi…
We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical tool and investigate analytically its link with stocks correlation structure.
We investigate the difference between using an ℓ1 penalty versus an ℓ1 constraint in generalized eigenvalue problems, such as principal component analysis and discriminant analysis. Our main finding is that an ℓ1 penalty may fail to provide very sparse solutions; a severe disadvantage for variable sel…
Improved Bayesian analysis for SVM models using a mixture sampler.
problem Efficient simulation-based analysis of stochastic volatility in mean models.
method Developed a generalized mixture sampler for SVM models, approximating non-central chi-squared distributions as mixtures of normal distributions.
result The proposed method outperforms other volatility models based on marginal likelihoods in empirical studies.
We derive a continuous time model for the joint evolution of the mid price and the bid-ask spread from a multiscale analysis of the whole limit order book (LOB) dynamics. We model the LOB as a multiclass queueing system and perform our asymptotic analysis using stylized features observed empirically. We argue that in t…
The convergence rate and final performance of common deep learning models have significantly benefited from heuristics such as learning rate schedules, knowledge distillation, skip connections, and normalization layers. In the absence of theoretical underpinnings, controlled experiments aimed at explaining these strate…
In this technical report, we consider an approach that combines the PPO objective and K-FAC natural gradient optimization, for which we call PPOKFAC. We perform a range of empirical analysis on various aspects of the algorithm, such as sample complexity, training speed, and sensitivity to batch size and training epochs…
We report an empirical study of Tehran Price Index (TEPIX). To analyze our data we use various methods like as, rescaled range analysis (R/S), modified rescaled range analysis (Lo's method), Detrended Fluctuation Analysis (DFA) and generalized Hurst exponents analysis. Based on numerical results, the scaling range of…
We propose a distributed approach to train deep neural networks (DNNs), which has guaranteed convergence theoretically and great scalability empirically: close to 6 times faster on instance of ImageNet data set when run with 6 machines. The proposed scheme is close to optimally scalable in terms of number of machines, …