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.
The excited states of polyatomic systems are rather complex, and often exhibit meta-stable dynamical behaviors. Static analysis of reaction pathway often fails to sufficiently characterize excited state motions due to their highly non-equilibrium nature. Here, we proposed a time series guided clustering algorithm to ge…
We study statistical aspects of state-dependent Hawkes processes, which are an extension of Hawkes processes where a self- and cross-exciting counting process and a state process are fully coupled, interacting with each other. The excitation kernel of the counting process depends on the state process that, reciprocally…
In Levin-Wen (LW) models, a wide class of exactly solvable discrete models, for two dimensional topological phases, it is relatively easy to describe only single fluxon excitations, but not the charge and dyonic as well as many-fluxon excitations. To incorporate charged and dyonic excitations in (doubled) topological p…
We prove sharp pointwise decay estimates for critical Dirac equations on Rn with n≥2. They appear for instance in the study of critical Dirac equations on compact spin manifolds, describing blow-up profiles, and as effective equations in honeycomb structures. For the latter case, we find excited state…
We consider a self-exciting counting process, the parameters of which depend on a hidden finite-state Markov chain. We derive the optimal filter and smoother for the hidden chain based on observation of the jump process. This filter is in closed form and is finite dimensional. We demonstrate the performance of this fil…
New self-exciting random evolutions (SEREs) for modeling traffic and transport processes.
problem Modeling self-exciting and clustering effects in traffic and transport processes.
method Introducing a new process based on a superposition of a Markov chain and a Hawkes process, and constructing self-exciting random evolutions (SEREs).
result Developed new models and limit theorems for SEREs, including averaging and diffusion approximation.
GAttNHP predicts future events in temporal knowledge graphs by encoding long-range dependencies and handling mutual excitation.
problem Forecasting future events in temporal knowledge graphs due to long-range dependencies, mutual excitation, and heavy-tailed inter-arrival times.
method GAttNHP uses a self-attention encoder, semantic soft-grouping, and NCQ regression to address these issues.
result GAttNHP improves entity and time prediction on six benchmark TKG datasets compared to state-of-the-art baselines.
First-passage times in random walks have a vast number of diverse applications in physics, chemistry, biology, and finance. In general, environmental conditions for a stochastic process are not constant on the time scale of the average first-passage time, or control might be applied to reduce noise. We investigate mome…
A new method for pricing derivatives using self-exciting dynamics and finite-difference transforms.
problem Pricing derivatives with accumulated marks using a self-exciting marked point process.
method Derive discounted pricing equation as a PIDE, transform to one-dimensional PIDEs, use Laplace/Fourier transform, approximate jump term, solve using finite difference scheme.
result Efficiently price derivatives with accumulated marks using a novel finite-difference and transform approach.
Neural networks are based on a simplified model of the brain. In this project, we wanted to relax the simplifying assumptions of a traditional neural network by making a model that more closely emulates the low level interactions of neurons. Like in an RNN, our model has a state that persists between time steps, so tha…
Gravitational interactions of higher spin fields are generically plagued by inconsistencies. We present a simple framework that couples higher spins to a broad class of gravitational backgrounds (including Ricci flat and Einstein) consistently at the classical level. The model is the simplest example of a Yang--Mills d…
The state-of-the-art in text-to-speech synthesis has recently improved considerably due to novel neural waveform generation methods, such as WaveNet. However, these methods suffer from their slow sequential inference process, while their parallel versions are difficult to train and even more expensive computationally. …
Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an exogenous part and two endogenous processes reflecting the self-excitation and cross-e…
In this paper, we examine Kitaev's lattice model for an arbitrary complex, semisimple Hopf algebra. We prove that this model gives the same topological invariants as Turaev-Viro theory. Using the description of Turaev-Viro theory as an extended TQFT, we prove that the excited states of the Kitaev model correspond to Tu…
Neurons and networks in the cerebral cortex must operate reliably despite multiple sources of noise. To evaluate the impact of both input and output noise, we determine the robustness of single-neuron stimulus selective responses, as well as the robustness of attractor states of networks of neurons performing memory ta…
Motor control is a set of time-varying muscle excitations which generate desired motions for a biomechanical system. Muscle excitations cannot be directly measured from live subjects. An alternative approach is to estimate muscle activations using inverse motion-driven simulation. In this article, we propose a deep rei…
The Hawkes process is a simple point process, whose intensity function depends on the entire past history and is self-exciting and has the clustering property. The Hawkes process is in general non-Markovian. The linear Hawkes process has immigration-birth representation. Based on that, Fierro et al. recently introduced…
Introduction: Machine learning provides fundamental tools both for scientific research and for the development of technologies with significant impact on society. It provides methods that facilitate the discovery of regularities in data and that give predictions without explicit knowledge of the rules governing a syste…
Develops a goodness-of-fit test for self-exciting processes.
problem Quantifying how well generative models capture self-exciting point processes.
method Connects to Quasi-maximum-likelihood estimator (QMLE) theory and develops a non-parametric self-normalizing statistic, the Generalized Score (GS) statistics.
result Validates the proposed GS test's good performance through numerical simulation and real-data experiments.
We introduce a new measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes are due to endogenous feedback processes, as opposed to exogenous news. For this, we calibrate the self-excited conditional Poisson Hawkes model, whi…
In this paper we consider a mean-field model of interacting diffusions for the monetary reserves in which the reserves are subjected to a self- and cross-exciting shock. This is motivated by the financial acceleration and fire sales observed in the market. We derive a mean-field limit using a weak convergence analysis …
We present a scalable approach to performing approximate fully Bayesian inference in generic state space models. The proposed method is an alternative to particle MCMC that provides fully Bayesian inference of both the dynamic latent states and the static parameters of the model. We build up on recent advances in compu…