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.
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.
In this article we discuss the distribution of asset price movements by the market potential function. From the principle of free energy minimization we analyze two different kinds of market potentials. We obtain a U-shaped potential when market reversion (i.e. contrarian investors) is dominant. On the other hand, if t…
The model describing market dynamics after a large financial crash is considered in terms of the stochastic differential equation of Ito. Physically, the model presents an overdamped Brownian particle moving in the nonstationary one-dimensional potential U under the influence of the variable noise intensity, dependin…
The quality of an induced model by a learning algorithm is dependent on the quality of the training data and the hyper-parameters supplied to the learning algorithm. Prior work has shown that improving the quality of the training data (i.e., by removing low quality instances) or tuning the learning algorithm hyper-para…
We develop a scale-invariant truncated Lévy (STL) process to describe physical systems characterized by correlated stochastic variables. The STL process exhibits Lévy stability for the probability density, and hence shows scaling properties (as observed in empirical data); it has the advantage that all moments are fini…
Improving generalization is one of the main challenges for training deep neural networks on classification tasks. In particular, a number of techniques have been proposed, aiming to boost the performance on unseen data: from standard data augmentation techniques to the ℓ2 regularization, dropout, batch normalizat…
Scene understanding and semantic segmentation are at the core of many computer vision tasks, many of which, involve interacting with humans in potentially dangerous ways. It is therefore paramount that techniques for principled design of robust models be developed. In this paper, we provide analytic and empirical evide…
We aim to analyze the relation between two random vectors that may potentially have both different number of attributes as well as realizations, and which may even not have a joint distribution. This problem arises in many practical domains, including biology and architecture. Existing techniques assume the vectors to …
Due to the increasing availability of high-dimensional empirical applications in many research disciplines, valid simultaneous inference becomes more and more important. For instance, high-dimensional settings might arise in economic studies due to very rich data sets with many potential covariates or in the analysis o…
The present paper describes a practical example in which the probability distribution of the prices of a stock market blue chip is calculated as the wave function of a quantum particle confined in a potential well. This model may naturally explain the operation of several empirical rules used by technical analysts. Mod…
Cardinality potentials are a generally useful class of high order potential that affect probabilities based on how many of D binary variables are active. Maximum a posteriori (MAP) inference for cardinality potential models is well-understood, with efficient computations taking O(DlogD) time. Yet efficient marginalizat…
We introduce a variant of (sparse) PCA in which the set of feasible support sets is determined by a graph. In particular, we consider the following setting: given a directed acyclic graph G on p vertices corresponding to variables, the non-zero entries of the extracted principal component must coincide with vertice…
According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk factors. Current study empirically attempts to provide relative solution to this…
The success of modern Artificial Intelligence (AI) technologies depends critically on the ability to learn non-linear functional dependencies from large, high dimensional data sets. Despite recent high-profile successes, empirical evidence indicates that the high predictive performance is often paired with low robustne…
We give improved constants for data dependent and variance sensitive confidence bounds, called empirical Bernstein bounds, and extend these inequalities to hold uniformly over classes of functionswhose growth function is polynomial in the sample size n. The bounds lead us to consider sample variance penalization, a nov…
Binary classification is one of the most common problem in machine learning. It consists in predicting whether a given element belongs to a particular class. In this paper, a new algorithm for binary classification is proposed using a hypergraph representation. The method is agnostic to data representation, can work wi…
The occurrence of aftershocks following a major financial crash manifests the critical dynamical response of financial markets. Aftershocks put additional stress on markets, with conceivable dramatic consequences. Such a phenomenon has been shown to be common to most financial assets, both at high and low frequency. It…
The paper tightens bounds for estimating Schrödinger potentials in unpaired data translation.
problem Estimating Schrödinger potentials in unpaired data translation.
method Using stochastic optimal control and Ornstein-Uhlenbeck process, the paper derives tight bounds on the generalization ability of an empirical risk minimizer.
result The approach achieves almost optimal convergence rates for Gaussian mixtures.
By decomposing asset returns into potential maximum gain (PMG) and potential maximum loss (PML) with price extremes, this study empirically investigated the relationships between PMG and PML. We found significant asymmetry between PMG and PML. PML significantly contributed to forecasting PMG but not vice versa. We furt…
Belief propagation (BP) is a popular method for performing probabilistic inference on graphical models. In this work, we enhance BP and propose self-guided belief propagation (SBP) that incorporates the pairwise potentials only gradually. This homotopy continuation method converges to a unique solution and increases th…
Prospect theory is widely viewed as the best available descriptive model of how people evaluate risk in experimental settings. According to prospect theory, people are risk-averse with respect to gains and risk-seeking with respect to losses, a phenomenon called "loss aversion". Despite of the fact that prospect theory…
The paper identifies the best treatment to maximize NDPO, a key outcome in causal mediation analysis.
problem Identifying the treatment that maximizes the expected natural direct potential outcome (NDPO) in causal mediation analysis.
method Developed a fixed-confidence best-arm identification (BAI) algorithm based on the Track-and-Stop (TaS) framework, using a cutting-set method to solve a semi-infinite optimization problem.
result The proposed algorithm achieves sample-efficient identification with a high-probability correctness guarantee and asymptotic optimality.
We introduce weighted atom-centered symmetry functions (wACSFs) as descriptors of a chemical system's geometry for use in the prediction of chemical properties such as enthalpies or potential energies via machine learning. The wACSFs are based on conventional atom-centered symmetry functions (ACSFs) but overcome the un…
In the absence of explicit regularization, Kernel "Ridgeless" Regression with nonlinear kernels has the potential to fit the training data perfectly. It has been observed empirically, however, that such interpolated solutions can still generalize well on test data. We isolate a phenomenon of implicit regularization for…