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.
Study speculative trading using RL with exploratory framework.
problem Sequential optimal stopping problem over entry and exit times with general utility function and price process.
method Formulated as a sequential optimal stopping problem, solved using Cox processes driven by bounded, non-randomized intensity controls. Characterized randomized control via probability measure over jump intensities and regularized objective function by Shannon's entropy. Established error estimates and convergence of RL objective to value function.
result Closed-form solutions for optimal policy and value function are derived.
The increasing availability of large but noisy data sets with a large number of heterogeneous variables leads to the increasing interest in the automation of common tasks for data analysis. The most time-consuming part of this process is the Exploratory Data Analysis, crucial for better domain understanding, data clean…
In this paper, we propose a new algorithm for exploratory projection pursuit. The basis of the algorithm is the insight that previous approaches used fairly narrow definitions of interestingness / non interestingness. We argue that allowing these definitions to depend on the problem / data at hand is a more natural app…
We study the problem of nonparametric dependence detection. Many existing methods may suffer severe power loss due to non-uniform consistency, which we illustrate with a paradox. To avoid such power loss, we approach the nonparametric test of independence through the new framework of binary expansion statistics (BEStat…
We propose in this paper an exploratory analysis algorithm for functional data. The method partitions a set of functions into K clusters and represents each cluster by a simple prototype (e.g., piecewise constant). The total number of segments in the prototypes, P, is chosen by the user and optimally distributed am…
New method explains high-dimensional sphere data with latent factors.
problem Understanding intricate dependence structure in high-dimensional sphere data.
method Exploratory factor analysis of the projected normal distribution with a fast alternating expectation profile conditional maximization algorithm.
result Uniformly excellent results on various data types, including tweets, brain imaging, and cancer gene expression.
Making sense of a dataset in an automatic and unsupervised fashion is a challenging problem in statistics and AI. Classical approaches for {exploratory data analysis} are usually not flexible enough to deal with the uncertainty inherent to real-world data: they are often restricted to fixed latent interaction models an…
This paper proposes a novel profile likelihood method for estimating the covariance parameters in exploratory factor analysis of high-dimensional Gaussian datasets with fewer observations than number of variables. An implicitly restarted Lanczos algorithm and a limited-memory quasi-Newton method are implemented to deve…
In exploratory data analysis, we are often interested in identifying promising pairwise associations for further analysis while filtering out weaker, less interesting ones. This can be accomplished by computing a measure of dependence on all variable pairs and examining the highest-scoring pairs, provided the measure o…
Social media analytics allows us to extract, analyze, and establish semantic from user-generated contents in social media platforms. This study utilized a mixed method including a three-step process of data collection, topic modeling, and data annotation for recognizing exercise related patterns. Based on the findings,…
The paper extends mean field results to three-layer neural networks using SGD.
problem Understanding the dynamics of training three-layer neural networks with SGD.
method Extending mean field results from two-layer networks to three-layer networks with two hidden layers, using non-linear partial differential equations.
result The distributions of weights in the two hidden layers are independent.
We propose to solve large scale Markowitz mean-variance (MV) portfolio allocation problem using reinforcement learning (RL). By adopting the recently developed continuous-time exploratory control framework, we formulate the exploratory MV problem in high dimensions. We further show the optimality of a multivariate Gaus…
Since time immemorial, people have been looking for ways to organize scientific knowledge into some systems to facilitate search and discovery of new ideas. The problem was partially solved in the pre-Internet era using library classifications, but nowadays it is nearly impossible to classify all scientific and popular…
We present a new application and covering number bound for the framework of "Machine Learning with Operational Costs (MLOC)," which is an exploratory form of decision theory. The MLOC framework incorporates knowledge about how a predictive model will be used for a subsequent task, thus combining machine learning with t…
We introduce an exploratory study on Mutation Validation (MV), a model validation method using mutated training labels for supervised learning. MV mutates training data labels, retrains the model against the mutated data, then uses the metamorphic relation that captures the consequent training performance changes to as…
This describes a statistical technique called "tonsuring" for exploratory data analysis in finance. Instead of rejecting "outlier" data that conflicts with the model, this strips out "inlier" data to get a clearer picture of how the market changes for larger moves.
Accounting frameworks follow stipulations of existing Accounting Theories. This exploratory research sets out to trace the evolution of accounting theories of Charge and Discharge Syndrome and the Corollary of Double Entry. Furthermore, it dives into the theories of Income Determination, garnishing it with areas of div…
As online systems based on machine learning are offered to public or paid subscribers via application programming interfaces (APIs), they become vulnerable to frequent exploits and attacks. This paper studies adversarial machine learning in the practical case when there are rate limitations on API calls. The adversary …
As data collections become larger, exploratory regression analysis becomes more important but more challenging. When observations are hierarchically clustered the problem is even more challenging because model selection with mixed effect models can produce misleading results when nonlinear effects are not included into…