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.
New method for dynamic valuation in markets with random endowments.
The study constructs Yamabe operators on OC manifolds and proves their properties.
The paper analyzes risk estimation methods and derives bounds for OCE risk.
We propose a one-class neural network (OC-NN) model to detect anomalies in complex data sets. OC-NN combines the ability of deep networks to extract a progressively rich representation of data with the one-class objective of creating a tight envelope around normal data. The OC-NN approach breaks new ground for the foll…
The paper studies risk-sensitive learning schemes and provides learning bounds for empirical OCE minimizers.
Proposed SMO algorithm for OC-SVM+ significantly outperforms non-sequential algorithms.
It is important to identify the change point of a system's health status, which usually signifies an incipient fault under development. The One-Class Support Vector Machine (OC-SVM) is a popular machine learning model for anomaly detection and hence could be used for identifying change points; however, it is sometimes …
New multivariate risk measures improve on univariate OCE methods.
A new method uses active learning to monitor industrial processes more accurately.
P-OCS detects OOD samples in a low-dimensional subspace, outperforming existing methods.
Optimized portfolio management with dynamic market regimes using RL and OC learning.
One-class Classification (OCC) is an area of machine learning which addresses prediction based on unbalanced datasets. Basically, OCC algorithms achieve training by means of a single class sample, with potentially some additional counter-examples. The current OCC models give satisfaction in terms of performance, but th…
This work models GHG offset credit markets to find optimal strategies for market participants.
Quantization can improve the execution latency and energy efficiency of neural networks on both commodity GPUs and specialized accelerators. The majority of existing literature focuses on training quantized DNNs, while this work examines the less-studied topic of quantizing a floating-point model without (re)training. …
Novel framework for Bayesian neural networks incorporating task-specific constraints.
Bayesian neural network (BNN) priors are defined in parameter space, making it hard to encode prior knowledge expressed in function space. We formulate a prior that incorporates functional constraints about what the output can or cannot be in regions of the input space. Output-Constrained BNNs (OC-BNN) represent an int…
Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable. In this article we study when this hurdle can be overcome for the so-called optimized certainty equivalent risk measure (OCE) -- including t…
This work addresses time inconsistency in risk measures and develops a dynamic programming principle for risk minimization problems.
Computes invariants distinguishing between immersions and embeddings of doodles and blobs on surfaces.
The one-class kernel spectral regression (OC-KSR), the regression-based formulation of the kernel null-space approach has been found to be an effective Fisher criterion-based methodology for one-class classification (OCC), achieving state-of-the-art performance in one-class classification while providing relatively hig…
We investigate anomaly detection in an unsupervised framework and introduce Long Short Term Memory (LSTM) neural network based algorithms. In particular, given variable length data sequences, we first pass these sequences through our LSTM based structure and obtain fixed length sequences. We then find a decision functi…
One-class support vector machine (OC-SVM) for a long time has been one of the most effective anomaly detection methods and extensively adopted in both research as well as industrial applications. The biggest issue for OC-SVM is yet the capability to operate with large and high-dimensional datasets due to optimization c…
Study risk-sensitive reinforcement learning with optimized certainty equivalents.
Online method selects candidates from data streams, ensuring irreversible decisions.
Recent exploration of optimal individualized decision rules (IDRs) for patients in precision medicine has attracted a lot of attention due to the heterogeneous responses of patients to different treatments. In the existing literature of precision medicine, an optimal IDR is defined as a decision function mapping from t…
EggNet reconstructs particle tracks from hits using evolving graph attention networks.
This note reviews some of the recent work on biharmonic conformal maps (see \cite{OC}, Chapter 11, for a detailed survey). It will be focused on biharmonic conformal immersions and biharmonic conformal maps between manifolds of the same dimension and their links to isoparametric functions and Yamabe type equations, tho…
The kernel null-space technique and its regression-based formulation (called one-class kernel spectral regression, a.k.a. OC-KSR) is known to be an effective and computationally attractive one-class classification framework. Despite its outstanding performance, the applicability of kernel null-space method is limited d…
We provide single-model estimates of aleatoric and epistemic uncertainty for deep neural networks. To estimate aleatoric uncertainty, we propose Simultaneous Quantile Regression (SQR), a loss function to learn all the conditional quantiles of a given target variable. These quantiles can be used to compute well-calibrat…
New method guides pretrained diffusion models without additional training.
Study tackles criterion collapse in learning criteria, showing conditions for loss minimization.
Study explores reinforcement learning in a complex game environment, analyzing rule inference and policy learning.
This study improves tail risk forecasting by integrating overnight information into semi-parametric models.
We introduce and study a novel model-selection strategy for Bayesian learning, based on optimal transport, along with its associated predictive posterior law: the Wasserstein population barycenter of the posterior law over models. We first show how this estimator, termed Bayesian Wasserstein barycenter (BWB), arises na…
This paper shows how forward rate interpolations are equivalent to discount factor interpolations in yield curve construction.
Paper explores volatility swaps in rough volatility models.
Develops a new class of forward performance processes for investment pools.
We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential Lévy models. This expansion applies to both small and large maturities and is based solely on the p…
Godin introduced the categories of open closed fat graphs and admissible fat graphs as models of the mapping class group of open closed cobordism. We use the contractibility of the arc complex to give a new proof of Godin's result that is a model of the mapping class group of open-close…
This paper studies robust forward investment and consumption preferences within a zero-volatility context. Different from previous works, we consider an incomplete financial market model due to general investment portfolio constraints. We provide a new PDE characterization and a novel semi-explicit saddle-point constru…
We describe a model for evolving commodity forward prices that incorporates three important dynamics which appear in many commodity markets: mean reversion in spot prices and the resulting Samuelson effect on volatility term structure, decorrelation of moves in different points on the forward curve, and implied volatil…
Demographic projections of future mortality rates involve a high level of uncertainty and require stochastic mortality models. The current paper investigates forward mortality models driven by a (possibly infinite dimensional) Wiener process and a compensated Poisson random measure. A major innovation of the paper is t…
In a Markovian stochastic volatility model, we consider financial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indifference valuation is first addressed and a number of properties are proved and discussed. Special attention is given to the c…
The paper analyzes investment and consumption strategies under uncertain market conditions.
Cubic regularization (CR) is an optimization method with emerging popularity due to its capability to escape saddle points and converge to second-order stationary solutions for nonconvex optimization. However, CR encounters a high sample complexity issue for finite-sum problems with a large data size. %Various inexact …
Generic model for commodity derivatives pricing.
We propose a multi-factor polynomial framework to model and hedge long-term electricity contracts with delivery period. This framework has several advantages: the computation of forwards, risk premium and correlation between different forwards are fully explicit, and the model can be calibrated to observed electricity …
This paper deals with forward performances of HARA type. Precisely, for a market model in which stock price processes are modeled by a locally bounded -dimensional semimartingale, we elaborate a complete and explicit characterization for this type of forward utilities. Furthermore, the optimal portfolios for each of…