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arXiv research

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.

168,695 papers · 148 categories

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4591136181 · May 202619922001200920172026
48 results for fixed-weight risk

Propose an XMSE-aware mixed estimator for EB that interpolates between ML and EB shrinkage.

problem Kernel-based EB estimation may be worse than ML when the kernel is poorly aligned with the true parameter.
method An XMSE-aware mixed estimator that interpolates between ML and EB shrinkage.
result Fixed-weight XMSE is a scalar quadratic, yielding a closed-form oracle mixing weight that is no worse than both ML and the base EB estimator at the XMSE scale.

Transformers can emulate various algorithms by prompting, proving universality.

problem How to emulate algorithms using fixed-weight Transformers.
method Two modes of in-context algorithm emulation: task-specific and prompt-programmable. Constructing prompts that encode algorithm parameters into token representations.
result Fixed-weight Transformers can emulate a broad class of algorithms via prompts.

We construct the first examples of families of bad Riemannian orbifolds which are isospectral with respect to the Laplacian but not isometric. In our case these are particular fixed weighted projective spaces equipped with isospectral metrics obtained by a generalization of Schüth's version of the torus method.

2010-04-08abs ↗pdf ↗

NTK-SAP improves neural network pruning by aligning training dynamics.

problem Improving neural network pruning to reduce training time and memory.
method Prune connections based on the spectrum of the Neural Tangent Kernel (NTK), using multiple random weight realizations and random inputs.
result Empirically, NTK-SAP achieves better performance than all baselines on multiple datasets.

Graph classification receives a great deal of attention from the non-Euclidean machine learning community. Recent advances in graph coarsening have enabled the training of deeper networks and produced new state-of-the-art results in many benchmark tasks. We examine how these architectures train and find that performanc…

2019-05-12abs ↗pdf ↗

Paper derives inequalities for eigenvalues of Witten-Laplacian under fixed volume constraint.

problem Eigenvalue inequalities of Witten-Laplacian on bounded domains.
method Rearrangement technique and trial functions under fixed weighted volume constraint.
result Several isoperimetric inequalities for eigenvalues of Witten-Laplacian.

Compact character varieties of punctured spheres are proven.

problem Compact relative SO0(2,q)\mathrm{SO}_0(2,q)-character varieties of punctured spheres.
method Non-abelian Hodge correspondence and Geometric Invariant Theory (GIT).
result Proves the existence of compact, totally non-hyperbolic character varieties.

This paper optimizes portfolio selection by penalizing tracking error, improving Sharpe ratio.

problem Optimizing portfolio allocation with a penalty for deviation from a reference portfolio.
method Formulated as a McKean-Vlasov control problem, provides explicit solutions and asymptotic expansions.
result The penalized portfolio strategy outperforms standard mean-variance and reference portfolios in most cases.

Reservoir Computing (RC) refers to a Recurrent Neural Networks (RNNs) framework, frequently used for sequence learning and time series prediction. The RC system consists of a random fixed-weight RNN (the input-hidden reservoir layer) and a classifier (the hidden-output readout layer). Here we focus on the sequence lear…

2017-06-24abs ↗pdf ↗

The study examines stable regions in weighted manifolds with boundary properties.

problem Studying stable regions in weighted manifolds with boundary properties.
method Using deformations constructed from parallel vector fields tangent to the boundary, the study deduces rigidity properties for stable sets.
result The classification of stable sets in some Riemannian cylinders and uniqueness results for minimizers.

Retrieving the most similar objects in a large-scale database for a given query is a fundamental building block in many application domains, ranging from web searches, visual, cross media, and document retrievals. State-of-the-art approaches have mainly focused on capturing the underlying geometry of the data manifolds…

2018-03-14abs ↗pdf ↗

We present a meta-learning approach for adaptive text-to-speech (TTS) with few data. During training, we learn a multi-speaker model using a shared conditional WaveNet core and independent learned embeddings for each speaker. The aim of training is not to produce a neural network with fixed weights, which is then deplo…

2018-09-27abs ↗pdf ↗

We propose to execute deep neural networks (DNNs) with dynamic and sparse graph (DSG) structure for compressive memory and accelerative execution during both training and inference. The great success of DNNs motivates the pursuing of lightweight models for the deployment onto embedded devices. However, most of the prev…

2018-10-01abs ↗pdf ↗

Annealed Entropic Allocation improves ranking and selection by mitigating hard switching and improving finite-budget discrimination.

problem Sequential budget allocation in ranking and selection
method Annealed weighted soft-min framework
result Surrogate converges uniformly to the hard minimum, soft-min weights concentrate on active challengers, and target allocation map is continuous.

Recently, reinforcement learning models have achieved great success, completing complex tasks such as mastering Go and other games with higher scores than human players. Many of these models collect considerable data on the tasks and improve accuracy by extracting visual and time-series features using convolutional neu…

2019-07-18abs ↗pdf ↗

New methods train neural networks without changing weights, achieving similar or higher performance.

problem Training neural networks efficiently with randomly initialized weights.
method Switching connections on and off, flipping weights' signs, minimizing changed connections.
result Achieves similar or higher performance with less computational cost than training all weights.

The paper introduces a portfolio construction method using Black-Litterman model and factors.

problem Developing an efficient portfolio construction method using Black-Litterman model and factors.
method The method involves selecting 20 factors based on global market, asset class, and stock characteristics, applying various weight allocation methods including Black-Litterman model, and incorporating deep learning for dynamic weight updates.
result The model using Black-Litterman and deep learning outperforms other weight allocation schemes.

This paper shows neural networks can solve complex graph problems efficiently.

problem Solving exact maximum flow computation and minimum spanning tree problems.
method Introduces Max-Affine Arithmetic Programs and shows equivalence to neural networks.
result Two combinatorial optimization problems can be solved with polynomial-size neural networks.

Scattering networks are a class of designed Convolutional Neural Networks (CNNs) with fixed weights. We argue they can serve as generic representations for modelling images. In particular, by working in scattering space, we achieve competitive results both for supervised and unsupervised learning tasks, while making pr…

2018-09-17abs ↗pdf ↗

AlphaForge mines and dynamically combines alpha factors for better investment performance.

problem Inconsistency and inflexibility of fixed factor weights in alpha factor mining.
method Generative-predictive neural network for factor generation and dynamic weight adjustment.
result Demonstrated superior performance in formulaic alpha factor mining and portfolio returns.

Optimal model averaging for conditional generative models improves performance across various data types.

problem Multiple plausible generators for conditional distributions can vary in performance.
method Sample-based maximum mean discrepancy, static model averaging, and mixture-of-experts model averaging.
result MoEMA improves over competing baselines across various data types.

Estimates TV distance between autoregressive models under different access models.

problem Estimating the total variation distance between two autoregressive distributions.
method Three access models: sample access, logit access, and noisy logit access; provides query complexity for each.
result Improved query complexity for estimating TV distance in autoregressive models.

The condition number predicts efficient information encoding in neural units, aiding model fine-tuning.

problem Efficient information encoding in neural units for various tasks and input modalities.
method Linking the condition number to the log-volume scaling factor and entropy of the output distribution.
result High condition number indicates efficient encoding, reducing overall information transfer.

Paper presents a modular RL framework for Forex trading, addressing limitations of prior studies.

problem Challenges in applying RL to Forex trading, including unrealistic environments, simplified rewards, and restricted action spaces.
method Integrates three components: a friction-aware execution engine, a decomposable reward architecture, and a discrete action interface.
result Empirical evaluation shows strong non-monotonic reward interactions and optimal Sharpe ratio with the full reward configuration.

AutoKE automates embedding physical knowledge into neural networks for complex engineering problems.

problem Complex physical equations in engineering problems.
method AutoKE framework using deep neural networks, equation parsing, automatic differentiation, adaptive weights, and NAS.
result Automatically embeds physical knowledge into neural networks for complex equations efficiently.

Study connects Gaussian processes and regularization for sequence-function mappings.

problem Understanding and interpreting sequence-function maps in biology.
method Relates Gaussian process priors, regularization, and gauge fixing in overparameterized weight space.
result Established the relationship between regularized regression and Gaussian processes in function space.

This paper introduces a new metric to improve the performance of AMMs over centralised exchanges.

problem Lack of a precise metric to compare AMM performance with centralised exchanges.
method Introduces Rebalancing-versus-Rebalancing (RVR) to measure AMM performance more accurately.
result AMMs can offer superior execution and rebalancing efficiency compared to centralised exchanges, even with low fees.

New research explores using exponential activation functions in neural networks, achieving convergence with over-parameterization.

problem Achieving neural network convergence with over-parameterization using exponential activation functions.
method Defined a neural function using an exponential activation function, initialized weights with random Gaussian distributions, and used gradient descent to find optimal weights.
result Gradient descent can find a weight matrix such that the neural function's output is within ε of the labels with high probability.

Develops a new method for risk diversification using dynamic risk measures.

problem Dynamic risk diversification in investment portfolios.
method Introduces dynamic risk contributions and a recursive optimization approach for coherent dynamic distortion risk measures.
result Dynamic risk budgeting strategies can be solved using deep learning.

Study examines risk premium convergence rates in risk sharing contracts.

problem Analyzing risk premium convergence rates in risk sharing contracts.
method Examines the limiting behavior of risk premium associated with Pareto optimal risk sharing contracts under general law-invariant risk measures.
result Risk premium convergence rate is typically n1/2n^{1/2}, not nn.

Optimal risk sharing found for heterogeneous risk attitudes using distortion risk measures.

problem Risk sharing in economies with diverse risk attitudes.
method Modeling preferences with distortion risk measures, using comonotonic and counter-monotonic principles.
result Optimal risk sharing strategies identified based on risk attitudes, reducing the nn-agent problem to a two-agent formulation.

This paper extends risk parity to continuous-time, solving risk budgeting problems.

problem Achieving robust risk across different assets in continuous-time.
method Characterizing risk contributions and solving risk budgeting problems using continuous-time terminal variance.
result Risk contributions and risk budgets can be represented as predictable processes in continuous-time.