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.
A new method detects and removes false trailing balances in credit data.
A framework for analyzing financial systems under scenario constraints.
Predicts clinical events using a landmark approach with machine learning for large biomarker histories.
Click through rate (CTR) prediction is very important for Native advertisement but also hard as there is no direct query intent. In this paper we propose a large-scale event embedding scheme to encode the each user browsing event by training a Siamese network with weak supervision on the users' consecutive events. The …
Event sequence, asynchronously generated with random timestamp, is ubiquitous among applications. The precise and arbitrary timestamp can carry important clues about the underlying dynamics, and has lent the event data fundamentally different from the time-series whereby series is indexed with fixed and equal time inte…
Develops model-free methods for event history analysis and efficient covariate adjustment.
Study examines Bitcoin's price history and identifies recurring events.
The availability of a large amount of electronic health records (EHR) provides huge opportunities to improve health care service by mining these data. One important application is clinical endpoint prediction, which aims to predict whether a disease, a symptom or an abnormal lab test will happen in the future according…
We present a probabilistic model of events in continuous time in which each event triggers a Poisson process of successor events. The ensemble of observed events is thereby modeled as a superposition of Poisson processes. Efficient inference is feasible under this model with an EM algorithm. Moreover, the EM algorithm …
We propose a general framework to describe the impact of different events in the order book, that generalizes previous work on the impact of market orders. Two different modeling routes can be considered, which are equivalent when only market orders are taken into account. One model posits that each event type has a te…
In this paper, we present a framework for fitting multivariate Hawkes processes for large-scale problems both in the number of events in the observed history and the number of event types (i.e. dimensions). The proposed Low-Rank Hawkes Process (LRHP) framework introduces a low-rank approximation of the kernel m…
Market impact is a key concept in the study of financial markets and several models have been proposed in the literature so far. The Transient Impact Model (TIM) posits that the price at high frequency time scales is a linear combination of the signs of the past executed market orders, weighted by a so-called propagato…
A new framework generates high-dimensional event sequences efficiently.
This paper explores neural models to improve modeling of Hawkes process intensity functions.
DynForest predicts event probabilities from longitudinal data, handling endogenous predictors.
Recent progress in applying machine learning for jet physics has been built upon an analogy between calorimeters and images. In this work, we present a novel class of recursive neural networks built instead upon an analogy between QCD and natural languages. In the analogy, four-momenta are like words and the clustering…
This paper treats prediction markets as Bayesian inverse problems to quantify uncertainty and identify event outcomes.
The logic of uncertainty is not the logic of experience and as well as it is not the logic of chance. It is the logic of experience and chance. Experience and chance are two inseparable poles. These are two dual reflections of one essence, which is called co~event. The theory of experience and chance is the theory of c…
Paper analyzes history-based RL methods for MDPs, introduces a theoretical framework and practical algorithm.
Method identifies financial rogue waves close to their onset.
Data of practical interest - such as personal records, transaction logs, and medical histories - are sequential collections of events relevant to a particular source entity. Recent studies have attempted to link sequences that represent a common entity across data sets to allow more comprehensive statistical analyses a…
Asynchronous event sequences are the basis of many applications throughout different industries. In this work, we tackle the task of predicting the next event (given a history), and how this prediction changes with the passage of time. Since at some time points (e.g. predictions far into the future) we might not be abl…
New model captures time and mark inter-dependence in TPPs.
DDP models dynamic comorbidity networks from event data.
We develop a novel algorithm to predict the occurrence of major abdominal surgery within 5 years following Crohn's disease diagnosis using a panel of 29 baseline covariates from the Swedish population registers. We model pseudo-observations based on the Aalen-Johansen estimator of the cause-specific cumulative incidenc…
New method quantifies resilience of electric distribution systems from historical data.
Twitter has provided a great opportunity for public libraries to disseminate information for a variety of purposes. Twitter data have been applied in different domains such as health, politics, and history. There are thousands of public libraries in the US, but no study has yet investigated the content of their social …
Enhances systemic risk analysis by incorporating debt valuation factors.
While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce. We provide here an empirical study of the cross-correlation between all these different events, and their respective i…
Predicts cryptocurrency pump probability using sequence-based neural networks.
It is shown how the generating functional method of De Dominicis can be used to solve the dynamics of the original version of the minority game (MG), in which agents observe real as opposed to fake market histories. Here one again finds exact closed equations for correlation and response functions, but now these are de…
Study differentially private methods for learning Hawkes processes.
Quantum computing speeds up analysis of financial stochastic processes.
Modeling coating degradation with fewer data points.
Imagine a patient in critical condition. What and when should be measured to forecast detrimental events, especially under the budget constraints? We answer this question by deep reinforcement learning (RL) that jointly minimizes the measurement cost and maximizes predictive gain, by scheduling strategically-timed meas…
We propose an online algorithm for cumulative regret minimization in a stochastic multi-armed bandit. The algorithm adds i.i.d. pseudo-rewards to its history in round and then pulls the arm with the highest average reward in its perturbed history. Therefore, we call it perturbed-history exploration (PHE). Th…
Survey of TPPs from Bayesian, neural, and LLM perspectives.
Two machine learning methods detect insider trading from investor activity data.
Develops a framework for modeling set-valued data in continuous-time.
We propose a new online algorithm for cumulative regret minimization in a stochastic linear bandit. The algorithm pulls the arm with the highest estimated reward in a linear model trained on its perturbed history. Therefore, we call it perturbed-history exploration in a linear bandit (LinPHE). The perturbed history is …
Identifying patient characteristics that influence the rate of colorectal polyp recurrence can provide important insights into which patients are at higher risk for recurrence. We used natural language processing to extract polyp morphological characteristics from 953 polyp-presenting patients' electronic medical recor…
This paper predicts stock prices during unusual events like the pandemic.
Paper evaluates deadline-ILS on insider trading contracts, finding it distinguishes signals from noise.
Deep learning models detect nanopore translocation events with high accuracy.
Predicting fine-grained interests of users with temporal behavior is important to personalization and information filtering applications. However, existing interest prediction methods are incapable of capturing the subtle degreed user interests towards particular items, and the internal time-varying drifting attention …
Temporal point process is an expressive tool for modeling event sequences over time. In this paper, we take a reinforcement learning view whereby the observed sequences are assumed to be generated from a mixture of latent policies. The purpose is to cluster the sequences with different temporal patterns into the underl…
Short-term demand forecasting models commonly combine convolutional and recurrent layers to extract complex spatiotemporal patterns in data. Long-term histories are also used to consider periodicity and seasonality patterns as time series data. In this study, we propose an efficient architecture, Temporal-Guided Networ…
Study of Bitcoin User Network structure over 8 years.