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 financial markets using synchronization measures and clustering algorithms.
The sectoral synchronization observed for the Japanese business cycle in the Indices of Industrial Production data is an example of synchronization. The stability of this synchronization under a shock, e.g., fluctuation of supply or demand, is a matter of interest in physics and economics. We consider an economic syste…
Paper tackles joint community detection and phase synchronization in stochastic block models.
KuramotoGNN uses Kuramoto model to prevent over-smoothing in graph neural networks.
NAPLES resolves lead-lag analysis challenges in non-synchronous high-frequency data.
A predictor improves power grid frequency forecasts up to one hour.
Convolutional neural networks (CNN) are widely used for speech emotion recognition (SER). In such cases, the short time fourier transform (STFT) spectrogram is the most popular choice for representing speech, which is fed as input to the CNN. However, the uncertainty principles of the short-time Fourier transform preve…
ShadowSync separates background synchronization for scalable distributed training.
Study on synchronization in financial markets with time delays.
New algorithm uses PSO to optimize DNN training parameters in distributed systems.
Nearly one-half of all trades in financial markets are executed by high-speed, autonomous computer programs -- a type of trading often called high-frequency trading (HFT). Although evidence suggests that HFT increases the efficiency of markets, it is unclear how or why it produces this outcome. Here we create a simple …
A probing scheme is considered with an accessible and controllable qubit, used to probe an out-of equilibrium system consisting of a second qubit interacting with an environment. Quantum spontaneous synchronization between the probe and the system emerges in this model and, by tuning the probe frequency, can occur both…
High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now accounts for nearly one-half of all trades. Although evidence suggests that HFT contributes to the efficiency of markets, there are concerns it…
We build an agent-based model to study how the interplay between low- and high-frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash crashes. In the model, low-frequency agents adopt trading rules based on chronol…
This paper proposes a method for generating speech from filterbank mel frequency cepstral coefficients (MFCC), which are widely used in speech applications, such as ASR, but are generally considered unusable for speech synthesis. First, we predict fundamental frequency and voicing information from MFCCs with an autoreg…
We propose a novel estimation procedure for scale-by-scale lead-lag relationships of financial assets observed at high-frequency in a non-synchronous manner. The proposed estimation procedure does not require any interpolation processing of original datasets and is applicable to those with highest time resolution avail…
Synchronous mini-batch SGD is state-of-the-art for large-scale distributed machine learning. However, in practice, its convergence is bottlenecked by slow communication rounds between worker nodes. A natural solution to reduce communication is to use the \emph{`local-SGD'} model in which the workers train their model i…
Based on iterative optimization and activation function in deep learning, we proposed a new analytical framework of high-frequency trading information, that reduced structural loss in the assembly of Volume-synchronized probability of Informed Trading (), Generalized Autoregressive Conditional Heteroscedasticity …
We introduce tools to capture the dynamics of three different pathways, in which the synchronization of human decision-making could lead to turbulent periods and contagion phenomena in financial markets. The first pathway is caused when stock market indices, seen as a set of coupled integrate-and-fire oscillators, sync…
New method for estimating lead-lag times between non-synchronously observed point processes.
We have analyzed the Indices of Industrial Production (Seasonal Adjustment Index) for a long period of 240 months (January 1988 to December 2007) to develop a deeper understanding of the economic shocks. The angular frequencies estimated using the Hilbert transformation, are almost identical for the 16 industrial secto…
A streaming algorithm estimates quadratic covariation from financial data efficiently.
Deep learning is a popular machine learning technique and has been applied to many real-world problems. However, training a deep neural network is very time-consuming, especially on big data. It has become difficult for a single machine to train a large model over large datasets. A popular solution is to distribute and…
Various alignment problems arising in cryo-electron microscopy, community detection, time synchronization, computer vision, and other fields fall into a common framework of synchronization problems over compact groups such as Z/L, U(1), or SO(3). The goal of such problems is to estimate an unknown vector of group eleme…
Tactile enhanced multimedia is generated by synchronizing traditional multimedia clips, to generate hot and cold air effect, with an electric heater and a fan. This objective is to give viewers a more realistic and immersing feel of the multimedia content. The response to this enhanced multimedia content (mulsemedia) i…
Study limits of circadian synchronization under different light signals.
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend. These empirical asymmetries predict that stock index drops are more common on a…
Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high frequency cojumps. We show that the dynamics of these jumps is described neither …
Large-scale machine learning training, in particular distributed stochastic gradient descent, needs to be robust to inherent system variability such as node straggling and random communication delays. This work considers a distributed training framework where each worker node is allowed to perform local model updates a…
Novel higher-order group synchronization for noisy local measurements on hypergraphs.
New method uses neural networks for accurate angle estimation in noisy conditions.
The paper studies dynamic ranking and translation synchronization from evolving pairwise comparison graphs.
Hybrid approach for large-scale network synchronization using KF and PTP.
We analyze how an observer synchronizes to the internal state of a finite-state information source, using the epsilon-machine causal representation. Here, we treat the case of exact synchronization, when it is possible for the observer to synchronize completely after a finite number of observations. The more difficult …
In this paper, we consider a framework adapting the notion of cointegration when two asset prices are generated by a driftless Itô-semimartingale featuring jumps with infinite activity, observed regularly and synchronously at high frequency. We develop a regression based estimation of the cointegrated relations method …
New method synchronizes graphs with probability measures on rotations.
Study predicts synchronization state of financial time series using cross-recurrence plots.
This paper proposes a general model for synchronized crowding behavior. An order parameter is introduced to quantify the level of synchronization which is shown a function of percentage of agents in reactive state. Further, synchronization is shown to be driven by the most active agents with the highest volatility. A t…
Efficiently estimates rotations with corrupted data.
Study optimizes estimation of orthogonal and rotation matrices from noisy data.
Study shows changes in information sharing between Bitcoin markets during 2017 crash.
Solves complex clustering and rotation synchronization problem.
Spectral method for joint community detection and group synchronization.
Spectral methods achieve near-optimal performance in orthogonal and permutation group synchronization.
Variance reduction (VR) methods boost the performance of stochastic gradient descent (SGD) by enabling the use of larger, constant stepsizes and preserving linear convergence rates. However, current variance reduced SGD methods require either high memory usage or an exact gradient computation (using the entire dataset)…
Networks of coupled dynamical systems provide a powerful way to model systems with enormously complex dynamics, such as the human brain. Control of synchronization in such networked systems has far reaching applications in many domains, including engineering and medicine. In this paper, we formulate the synchronization…
Optimizes web page freshness with limited crawling frequencies.
Machine learning predicts synchronization transitions in unknown systems.