Empirical mode modeling improves state-space analysis of noisy data.
problem Analyzing nonlinear systems with noisy data.
method Combining empirical mode decomposition with empirical dynamic modeling.
result Empirical mode modeling enhances state-space representations in noisy data.
We investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets. An empirical probability density function (pdf) of volatility is obtained and compared with the theoretical predictions of a lognormal model and of the Hull and White model. The lognormal model well describes the pd…
Personal income distributions in Japan are analyzed empirically and a simple stochastic model of the income process is proposed. Based on empirical facts, we propose a minimal two-factor model. Our model of personal income consists of an asset accumulation process and a wage process. We show that these simple processes…
Paper validates ABM using stylized financial facts.
problem Validate ABM-generated financial data against real-world data.
method Compare ABM results with stylized financial facts.
result Model successfully replicates stylized financial facts.
All too often measuring statistical dependencies between financial time series is reduced to a linear correlation coefficient. However this may not capture all facets of reality. We study empirical dependencies of daily stock returns by their pairwise copulas. Here we investigate particularly to which extent the non-st…
Improved sample complexity for diffusion models without needing empirical risk minimizers.
problem Theoretical limitations in sample complexity for diffusion models.
method Structured decomposition of score estimation error, eliminating dependence on neural network parameters.
result Achieved sample complexity bound of O(ε^(-4)) without empirical risk minimizer access.
EMPIR combines low and full precision DNNs to enhance robustness against adversarial attacks.
problem Vulnerability of DNNs to adversarial attacks that misclassify inputs with small perturbations.
method Ensemble of quantized DNN models with different numerical precisions.
result EMPIR ensembles increase adversarial robustness by 42.6% on average across different tasks.
Bayesian predictive inference analyzes a dataset to make predictions about new observations. When a model does not match the data, predictive accuracy suffers. We develop population empirical Bayes (POP-EB), a hierarchical framework that explicitly models the empirical population distribution as part of Bayesian analys…
New method improves model risk prediction using cross-audit projection.
problem Over-optimism in K-fold CV for binary classification. method Cross-audit projection (CAP) procedure combining resampling and asymptotic bias correction.
result CAP estimator achieves second-order asymptotic unbiasedness.
A new model of learning corrects for chance to improve learning outcomes.
problem The importance of chance-corrected measures in learning.
method Developed two models: Informatron and AdaBook, based on empirical psychological results.
result Chance correction facilitates learning, as shown by computational results.
R package for Bayesian empirical likelihood sampling using HMC.
problem Sampling from non-convex Bayesian empirical likelihood posteriors.
method Hamiltonian Monte Carlo (HMC) algorithm for numerical integration.
result Efficient HMC sampling from BayesEL posteriors.
A new DP algorithm for weighted ERM protects sensitive data in predictive models.
problem Protecting sensitive personal information in predictive models trained via ERM.
method Proposes the first differentially private algorithm for weighted ERM with formal privacy guarantees.
result Demonstrates strong DP guarantees while maintaining robust performance in real-world data.
Empirical model tackles decision problems without specifying states of the world.
problem Decision problems under uncertainty with inaccessible states of the world.
method Empirical approach using observed act--consequence pairs as model primitives.
result Optimality in empirical decision problems addressed using protocol-based empirical choice functions.
Study finds LLMs hallucinate in finance tasks, needing research.
problem Hallucination in LLMs in finance.
method Empirical investigation of four methods to mitigate hallucination.
result LLMs hallucinate in financial tasks.
Bayesian networks with latent variables are characterized and their likelihoods compared.
problem Characterizing and comparing likelihoods of Bayesian networks with latent variables.
method Characterized likelihood function and empirical Bayesian network. Proved dominance of global maximum likelihood from empirical model.
result The global maximum likelihood of the original Bayesian network is attained if and only if parameters are consistent with empirical model.
Empirical study finds variance swap rate is affine in spot variance for S&P500 data.
problem Investigating the relationship between variance swap rate and spot variance.
method Empirical analysis using S&P500 data from 2006-2018, testing different models.
result Affine relationship between variance swap rate and spot variance is supported.
A new method sorts models to find the best one with minimal risk.
problem Finding the best model with minimal risk among nested models.
method Nested Empirical Risk (NER) and Sorted NER (S-NER) methods.
result The S-NER method selects the true model order and the most parsimonious model.
A new two-step MH method for Bayesian EL computation.
problem Complex likelihood support in Bayesian EL.
method Hierarchical Metropolis Hastings with reversible jump MCMC.
result Improved sampling from BayesEL posteriors.
The stochastic block model accurately describes most empirical networks but struggles with large diameter and slow-mixing networks.
problem Assessing the quality of fit of the stochastic block model for empirical networks.
method Posterior predictive model checking using network descriptors.
result The stochastic block model can accurately describe most empirical networks but struggles with large diameter and slow-mixing networks.
This research uses empirical copulas to price quanto options, showing significant differences from traditional models.
problem The dependence relation between currency and asset prices affects quanto option pricing.
method Empirical copulas are used to model the dependence between currency and asset prices.
result Empirical copulas provide non-negligible pricing differences compared to traditional models.
STORM enables edge computing for empirical risk minimization.
problem Training models on edge devices for streaming data.
method Online sketching for empirical risk minimization.
result STORM can estimate least-squares objective accurately.
Solves memorization in diffusion models for manifold data.
problem Memorization effect in diffusion models for manifold data.
method Inertia update at the end of empirical diffusion simulation.
result Approximates true data distribution on a C2 manifold. Empirical study shows standard CNNs deviate from NTK predictions.
problem Understanding how standard finite-width CNNs behave compared to their infinite-width NTK counterparts.
method Empirical analysis of AlexNet and LeNet architectures.
result Standard CNNs deviate significantly from their NTK counterparts, but deviation decreases with wider networks.
We consider a financial market model which consists of a financial asset and a large number of interacting agents classified into many types. Different types of agents are heterogeneous in their price expectations. Each agent can change its type based on the current empirical distribution of the types and the equilibri…
A new autoencoder method uses empirical beta copulas for generating data.
problem Creating a generative model from an autoencoder's latent space.
method Empirical Beta Copula Autoencoder method.
result The Empirical Beta Copula Autoencoder outperforms other methods in simplicity and effectiveness.
Natural gradient descent, which preconditions a gradient descent update with the Fisher information matrix of the underlying statistical model, is a way to capture partial second-order information. Several highly visible works have advocated an approximation known as the empirical Fisher, drawing connections between ap…
The most common stochastic volatility models such as the Ornstein-Uhlenbeck (OU), the Heston, the exponential OU (ExpOU) and Hull-White models define volatility as a Markovian process. In this work we check of the applicability of the Markovian approximation at separate times scales and will try to answer the question …
Introduces foundation priors for using model-generated data in empirical research.
problem Using model-generated data as real observations in empirical research.
method Introduces foundation priors as an exponential-tilted, generalized Bayesian update of the user's primitive prior.
result Synthetic data reflects both model patterns and user's priors, enabling principled use in empirical work.
VIB balances empirical and Bayesian approaches in predictive models.
problem Balancing empirical and Bayesian methods in predictive models.
method VIB as a compromise between empirical and Bayesian objectives.
result VIB minimizes risks due to finite sampling of targets.
This paper evaluates how different imputation methods affect predictive models.
problem The impact of different imputation methods on predictive models' performance.
method Systematic evaluation of various imputation methods for different data sets and machine learning algorithms.
result Recommendation of a general method for empirical benchmarking of imputation methods.
We introduce a deterministic dealer model which implements most of the empirical laws, such as fat tails in the price change distributions, long term memory of volatility and non-Poissonian intervals. We also clarify the causality between microscopic dealers' dynamics and macroscopic market's empirical laws.
We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in the definition of relative price. The order placement process is determined by several empirical regularities: the long memory in order direc…
Few-shot learning aims to train efficient predictive models with a few examples. The lack of training data leads to poor models that perform high-variance or low-confidence predictions. In this paper, we propose to meta-learn the ensemble of epoch-wise empirical Bayes models (E3BM) to achieve robust predictions. "Epoch…
We study the dependence structure of market states by estimating empirical pairwise copulas of daily stock returns. We consider both original returns, which exhibit time-varying trends and volatilities, as well as locally normalized ones, where the non-stationarity has been removed. The empirical pairwise copula for ea…
New learning algorithm for real analytic functions without gradient descent.
problem Learning real analytic functions without gradient descent.
method Taylor approximation and sampling data distribution.
result Nonuniform learning result for real analytic functions.
We prove a new and general concentration inequality for the excess risk in least-squares regression with random design and heteroscedastic noise. No specific structure is required on the model, except the existence of a suitable function that controls the local suprema of the empirical process. So far, only the case of…
The paper develops a neural network model for SPX option pricing.
problem Developing an empirical model for SPX option pricing.
method Formulated and rigorously evaluated several statistical models including neural network, random forest, and linear regression.
result The neural network model outperforms other models and Black-Scholes-Merton model for SPX option pricing.
We develop a new model for VIX derivatives with closed-form solutions.
problem VIX derivatives pricing and risk management.
method Data-driven Legendre polynomial model for VIX volatility, deriving analytical series solutions.
result Equal or superior accuracy compared to existing models, offering an efficient alternative.
Stylized facts of empirical assets log-returns Z include the existence of (semi) heavy tailed distributions fZ(z) and a non-linear spectrum of Hurst exponents τ(β). Empirical data considered are daily prices of 10 large indices from 01/01/1990 to 12/31/2004. We propose a stylized model of price dynamics which is…
While defaults are rare events, losses can be substantial even for credit portfolios with a large number of contracts. Therefore, not only a good evaluation of the probability of default is crucial, but also the severity of losses needs to be estimated. The recovery rate is often modeled independently with regard to th…
New method uses SURE to denoise signals, outperforming NPMLE.
problem Learning to optimally denoise signals corrupted by Gaussian noise.
method Hyvärinen's score matching (SM) is shown equivalent to SURE minimization.
result SURE achieves nearly parametric rates of convergence in empirical Bayes settings.
Empirical study compares finite- and infinite-width BNNs, revealing performance differences under model mismatch.
problem Comparing BNNs with different widths due to conflicting model properties and inference intractability.
method Empirical comparison of finite- and infinite-width BNNs, analyzing performance under model mismatch.
result Increasing width can hurt BNN performance when the model is mis-specified, and finite-width BNNs generalize better under model mismatch.
The Heston model is validated for option pricing using theoretical derivations and empirical market data.
problem Validating the Heston model for accurate option pricing.
method Theoretical derivations and empirical validations using Monte Carlo simulations and machine learning.
result The Heston model is robust and relevant for current financial markets.
Although initially originated as a totally empirical relationship to explain the volume of trade between two partners, gravity equation has been the focus of several theoretic models that try to explain it. Specialization models are of great importance in providing a solid theoretic ground for gravity equation in bilat…
Recently, a unified model for image-to-image translation tasks within adversarial learning framework has aroused widespread research interests in computer vision practitioners. Their reported empirical success however lacks solid theoretical interpretations for its inherent mechanism. In this paper, we reformulate thei…
Developed accurate empirical potentials for Si:H nanowires using multi-fidelity Gaussian process.
problem Accurate modeling of Si:H nanowires using fast but inaccurate empirical potentials and slow but accurate first-principle calculations.
method Employed multi-fidelity Gaussian process regression to integrate low-fidelity empirical potential data with high-fidelity first-principle calculations.
result Demonstrated the accuracy of developed empirical potentials for Si:H nanowires.
Large language models correlate in errors, even with different architectures and providers.
problem Lack of empirical evidence on whether different large language models differ meaningfully.
method Empirical evaluation of over 350 large language models using two leaderboards and a resume-screening task.
result Large language models have substantial correlation in errors, even with distinct architectures and providers.
AMP regularization improves deep learning models by favoring flat minima.
problem Improving deep learning model generalization and avoiding overfitting.
method AMP regularization uses adversarial model perturbation to minimize a norm-bounded perturbation of the empirical risk.
result AMP regularization leads to state-of-the-art performance across various deep architectures.