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 paper models user-advertiser interactions using point processes.
In this paper we pursue the study of formal geometric quantization of non-compact Hamiltonian manifolds. Our main result is the proof that two quantization process coincide. This fact was obtained by Ma and Zhang in the preprint arXiv:0812.3989 by completely different means.
Convolutional Neural Networks are very efficient at processing signals defined on a discrete Euclidean space (such as images). However, as they can not be used on signals defined on an arbitrary graph, other models have emerged, aiming to extend its properties. We propose to review some of the major deep learning model…
We introduce Markov substitute processes, a new model at the crossroad of statistics and formal grammars, and prove its main property : Markov substitute processes with a given support form an exponential family.
Formalizes identifying information to answer key questions about machine learning from uncertain and novel observations.
A new connection in Finsler geometry unifies various types of connections.
DisCoveR efficiently discovers declarative process models from event logs.
In this paper we consider an information theoretic approach for the accounting classification process. We propose a matrix formalism and an algorithm for calculations of information theoretic measures associated to accounting classification. The formalism may be useful for further generalizations and computer-based imp…
Researchers formalize PD and PFI to relate them to data generating process.
We review the geometric formulation of the second Noether's theorem in time-dependent mechanics. The commutation relations between the dynamics on the final constraint manifold and the infinitesimal generator of a symmetry are studied. We show an algorithm for determining a gauge symmetry which is closely related to th…
In this paper we observe that 2-dimensional 0-surgery occurs in natural processes, such as tornado formation and other phenomena reminiscent of hole drilling. Inspired by such phenomena, we introduce new theoretical concepts which enhance the formal definition of 2-dimensional 0-surgery with the observed dynamics. To d…
We investigate the resonance varieties, lower central series ranks, and Chen ranks of the pure virtual braid groups and their upper-triangular subgroups. As an application, we give a complete answer to the 1-formality question for this class of groups. In the process, we explore various connections between the Alexande…
Paper defines XAI concepts using category theory.
In this paper, we extend the formal definition of topological surgery by introducing new notions in order to model natural phenomena exhibiting it. On the one hand, the common features of the presented natural processes are captured by our schematic models and, on the other hand, our new definitions provide the theoret…
A scalable method for heavy-tailed gradients using cheap stochastic sub-processes.
Develops methods for finding counterfactual explanations in sequential decision making.
The paper introduces a non-linear version of the process convolution formalism for building covariance functions for multi-output Gaussian processes. The non-linearity is introduced via Volterra series, one series per each output. We provide closed-form expressions for the mean function and the covariance function of t…
We analyze the probability density function (PDF) of waiting times between financial loss exceedances. The empirical PDFs are fitted with the self-excited Hawkes conditional Poisson process with a long power law memory kernel. The Hawkes process is the simplest extension of the Poisson process that takes into account h…
We propose a family of models that enable predictive estimation of time-varying extreme event probabilities in heavy-tailed and nonlinearly dependent time series. The models are a white noise process with conditionally log-Laplace stochastic volatility. In contrast to other, similar stochastic volatility formalisms, th…
Bayesian inference and Gaussian processes are widely used in applications ranging from robotics and control to biological systems. Many of these applications are safety-critical and require a characterization of the uncertainty associated with the learning model and formal guarantees on its predictions. In this paper w…
We introduce a new unsupervised learning problem: clustering wide-sense stationary ergodic stochastic processes. A covariance-based dissimilarity measure together with asymptotically consistent algorithms is designed for clustering offline and online datasets, respectively. We also suggest a formal criterion on the eff…
In order to satisfy safety conditions, an agent may be constrained from acting freely. A safe controller can be designed a priori if an environment is well understood, but not when learning is employed. In particular, reinforcement learned (RL) controllers require exploration, which can be hazardous in safety critical …
Embeds hyperbolic plane into 3D space with detailed geometric analysis.
We develop an algebraic framework for the description and analysis of financial behaviours, that is, behaviours that consist of transferring certain amounts of money at planned times. To a large extent, analysis of financial products amounts to analysis of such behaviours. We formalize the cumulative interest compliant…
This work proposes a geometric approach to equivariant message passing on Riemannian manifolds.
This paper proposes the Mesh Neural Network (MNN), a novel architecture which allows neurons to be connected in any topology, to efficiently route information. In MNNs, information is propagated between neurons throughout a state transition function. State and error gradients are then directly computed from state updat…
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable and only the price is known. Diffusion theory has many common points with the res…
Nemo improves WS learning pipeline by 20%.
Quantum-enhanced metrology aims to estimate an unknown parameter such that the precision scales better than the shot-noise bound. Single-shot adaptive quantum-enhanced metrology (AQEM) is a promising approach that uses feedback to tweak the quantum process according to previous measurement outcomes. Techniques and form…
In recent years, the interest in leveraging quantum effects for enhancing machine learning tasks has significantly increased. Many algorithms speeding up supervised and unsupervised learning were established. The first framework in which ways to exploit quantum resources specifically for the broader context of reinforc…
Modern approaches to stock pricing in quantitative finance are typically founded on the 'Black-Scholes model' and the underlying 'random walk hypothesis'. Empirical data indicate that this hypothesis works well in stable situations but, in abrupt transitions such as during an economical crisis, the random walk model fa…
Dependent nonparametric processes extend distributions over measures, such as the Dirichlet process and the beta process, to give distributions over collections of measures, typically indexed by values in some covariate space. Such models are appropriate priors when exchangeability assumptions do not hold, and instead …
This paper formalizes state similarity metrics for reinforcement learning.
Establishes Poincaré's lemma for formal manifolds.
We derive the optimal investment decision in a project where both demand and investment costs are stochastic processes, eventually subject to shocks. We extend the approach used in Dixit and Pindyck (1994), chapter 6.5, to deal with two sources of uncertainty, but assuming that the underlying processes are no longer ge…
A scalable method for heavy-tailed data using robust aggregation.
The Continuous-Time Random Walk (CTRW) formalism can be adapted to encompass stochastic processes with memory. In this article we will show how the random combination of two different unbiased CTRWs can give raise to a process with clear drift, if one of them is a CTRW with memory. If one identifies the other one as no…
This paper solves steady-state planning for multichain MDPs.
In many applications that involve processing high-dimensional data, it is important to identify a small set of entities that account for a significant fraction of detections. Rather than formalize this as a clustering problem, in which all detections must be grouped into hard or soft categories, we formalize it as an i…
This paper formalizes AI safety using hypothesis testing in GenAI.
Foundations laid for formal manifolds in differential geometry.
New method removes specific training data influence from neural networks.
In machine learning (ML) security, attacks like evasion, model stealing or membership inference are generally studied in individually. Previous work has also shown a relationship between some attacks and decision function curvature of the targeted model. Consequently, we study an ML model allowing direct control over t…
Explores local structure of morphisms and formal submanifolds in formal manifolds theory.
Study non-formal pseudo-differential operators over formal ones.
The isotropy action on certain symmetric spaces is shown to be equivariantly formal.
The standard Black-Scholes theory of option pricing is extended to cope with underlying return fluctuations described by general probability distributions. A Langevin process and its related Fokker-Planck equation are devised to model the market stochastic dynamics, allowing us to write and formally solve the generaliz…
Strong formal properties for toric and homogeneous Kähler manifolds.