Improved decision tree split selection to enhance accuracy in unbalanced datasets.
problem Bias in decision tree split selection, especially for unbalanced datasets.
method Proposed an updated gain ratio to correct bias and improve split selection.
result The updated gain ratio leads to better predictive accuracy in unbalanced datasets.
The gain-loss ratio is known to enjoy very good properties from a normative point of view. As a confirmation, we show that the best market gain-loss ratio in the presence of a random endowment is an acceptability index and we provide its dual representation for general probability spaces. However, the gain-loss ratio w…
Study finds no consistent return predictability using payout ratios across 16 countries.
problem Return predictability using payout ratios in various markets.
method Analysis of 16 developed countries' bond, equity, and housing markets using payout-price ratios.
result No consistent in-sample and out-of-sample performance with positive utility gain.
Study asset pricing with reference-dependent preferences, finding matching equity premia.
problem Understanding asset pricing under reference-dependent preferences.
method Discrete-time consumption-based capital asset pricing model with reference-dependent preferences.
result Models can generate equity premia matching empirical estimates, showing procyclical price-dividend ratio and countercyclical equity premium.
New guarantees for adaptive combinatorial maximization with various objectives.
problem Maximizing under cardinality constraints and minimum cost coverage in adaptive settings.
method Bayesian approach with comprehensive approximation guarantees for various utility functions.
result Maximal gain ratio is a new parameter that provides stronger approximation guarantees than greedy policies.
Omega ratio is shown to be equivalent to Sharpe ratio under certain distributional assumptions.
problem Comparing Omega ratio to Sharpe ratio as performance indicators.
method Computation and analysis of Omega ratio for normal distribution and proof for elliptic distributions.
result Omega ratio is equivalent to Sharpe ratio for returns with elliptic distributions.
We note a simple mechanism that may at least partially resolve several outstanding economic puzzles, including why the cyclically adjusted price to earnings ratio of the S&P 500 index has been oddly high for the past two decades, why gains to capital have outpaced gains to wages, and the persistence of the equity premi…
Proposes GIR for better alpha evaluation under model misspecification.
problem Alpha-based performance evaluation fails to capture correlated residuals.
method Derives GIR as alphas scaled by residual covariance matrix inverse square root.
result GIR robust to various model misspecifications and produces stable returns.
The construction of efficient and effective decision trees remains a key topic in machine learning because of their simplicity and flexibility. A lot of heuristic algorithms have been proposed to construct near-optimal decision trees. ID3, C4.5 and CART are classical decision tree algorithms and the split criteria they…
Investors can enhance their portfolios by strategically using LETFs, especially with dynamic strategies.
problem Unsuitability of passive or static approaches to LETFs leads to undesirable risk-return profiles.
method Demonstrated the effectiveness of simple dynamic strategies in exploiting favorable Omega ratio dynamics.
result Dynamic strategies can exploit the compounding effect of LETFs, improving risk-return profiles.
The study examines how class imbalance affects precision-recall curves.
problem Understanding how precision changes with class imbalance ratios.
method Analyzes the relationship between precision, class imbalance ratio, and true/false positive rates.
result Predicts changes in precision-recall curves and other measures with class imbalance ratios.
Improved stock market valuation using modified dividend-price ratio.
problem Stationary assumption failure in classical dividend-price ratio.
method Multivariate regressions, dynamic econometric procedure, modified dividend-price ratio (mdp).
result Enhanced forecasting results over classical dividend-price ratio.
New formulas forecast fractional Brownian motion for financial trading.
problem Forecasting financial log-prices following fractional Brownian motion.
method Theoretical formulas for accuracy metrics in fBm forecasting.
result Optimal trading strategies in fBm framework identified.
Study analyzes Nifty 50 returns over 34 years, showing P/E ratio predicts long-term gains.
problem Understanding equity return dynamics in the Indian market over various horizons.
method Unified, distribution-aware, complexity-informed framework using 34 years of Nifty 50 data.
result P/E ratio probabilistically maps return distributions across different investment horizons.
A new thompson sampling method controls for time-varying effects.
problem Dynamic experiments in online services with time-varying effects.
method Odds-ratio Thompson Sampling
result The proposed method works robust to time-varying effects.
New star-shaped acceptability indexes generalize existing methods.
problem Generalizing existing acceptability measures.
method Characterizing acceptability indexes through star-shaped risk measures and sets.
result Introducing concrete examples linked to various financial measures.
Investors target specific regions of payoff distributions for portfolio optimization.
problem Optimizing portfolio performance across different return distribution regions.
method Developed a dynamic portfolio-choice framework targeting downside or upside quantiles.
result Policies focused on downside regions provide stronger left-tail protection and higher Sharpe ratios.
Proposes CLUB for reliable MI minimization in high dimensions.
problem Estimating and minimizing mutual information in high-dimensional spaces.
method Contrastive Log-ratio Upper Bound (CLUB) for MI minimization.
result CLUB provides reliable estimation of mutual information.
A novel kernel-based test detects equality versus singularity of two probability measures.
problem Detecting equality versus singularity of two probability distributions.
method Combines kernel mean and kernel covariance embeddings to construct a likelihood ratio test statistic.
result The test statistic satisfies a '0/\infty' law, vanishing under the null and diverging under the alternative.
DeepCTRL integrates rules into deep learning models, allowing flexible control at inference.
problem Lack of flexibility in incorporating rules into deep learning models.
method Integrates rule representations into deep neural networks, enabling flexible control at inference.
result Improves rule verification ratio and accuracy gains at downstream tasks.
This paper improves multichannel speech enhancement using complex ratio masking and channel-attention.
problem Limited performance of deep learning methods in multichannel speech enhancement.
method Introduces complex ratio masking and channel-attention mechanism inside a U-Net architecture.
result Demonstrates superior performance on the CHiME-3 dataset.
Diversified risk parity strategies outperform equally-weighted portfolios in various asset universes.
problem Finding optimal portfolio allocations that balance risk and reward.
method Integrates various reward-risk measures and generic allocation rules into diversified risk parity.
result Diversified reward-risk parity strategies exhibit higher average returns, Sharpe ratios, and Calmar ratios compared to equally-weighted risk portfolios.
Improves DRL for long-term causal inference with semiparametric methods.
problem Efficient inference for policy values in nonparametric MDPs with stringent conditions.
method Semiparametric Double Reinforcement Learning (DRL) with superefficient nonparametric estimators.
result Relaxes overlap conditions and reduces high-dimensional density-ratio estimation.
Transformers for binary decisions are sensitive to evidence order, leading to unreliable outcomes.
problem Order sensitivity in Transformers for binary decisions leads to unreliable outcomes.
method Formalized an expectation-realization gap and developed QMV and EDFL bounds.
result Uniform permutation mixtures reduce dispersion and improve reliability.
This paper shows how to carry out efficient asymptotic variance reduction when estimating volatility in the presence of stochastic volatility and microstructure noise with the realized kernels (RK) from [Barndorff-Nielsen et al., 2008] and the quasi-maximum likelihood estimator (QMLE) studied in [Xiu, 2010]. To obtain …
A new algorithm STE for model-based RL improves learning rates.
problem Sparse rewards and computational intractability of estimating information gain.
method Developed a novel algorithm based on Stein Information Directed Exploration (STE)E.
result Achieves sublinear Bayesian regret, outperforming prior approaches.
Improved forecasting of investment dynamics across heterogeneous panels using a two-stage model.
problem Forecasting investment dynamics in heterogeneous panels with varying dynamics.
method Two-stage architecture: global pooled AR(1) for shared persistence, local models for residual dynamics.
result Significant improvement in out-of-sample R 2 R^2 R 2 from 0.630 to 0.677, with a gain of 0.047. Improved deep learning performance in financial markets by using rank space.
problem High volatility and low signal-to-noise ratio in equity market dynamics.
method Transformed equity market data from name space to rank space, enabling better learning by DNNs.
result DNNs achieve superior performance in statistical arbitrage in rank space compared to name space.
MEC-Cox: A Machine-Learning-Assisted Generalized Entropy Calibration Method for Estimating ATT Marginal Hazard-Ratio
problem Estimating ATT marginal hazard-ratio in externally controlled survival trials
method Machine-learning-assisted generalized entropy calibration for IPW Cox regression
result Reduces bias, increases efficiency, and improves coverage
Deep learning models improve stock market portfolio returns.
problem Optimizing portfolio returns using deep learning methods.
method Deep neural networks (feedforward and LSTM) applied to stock market excess returns forecasting.
result Deep learning models deliver significant gains in portfolio certainty equivalent returns and Sharpe ratios.
ADAPT method controls balance between sparse generator and discriminator in GANs.
problem High computational complexity in GANs training.
method Balanced Dynamic Sparse Training (ADAPT) method.
result ADAPT method achieves a good trade-off between performance and computational cost.
New method boosts BOED using SBI and neural likelihood.
problem Maximizing EIG in BOED with intractable likelihood.
method Neural likelihood estimation, multi-start gradient ascent.
result Significantly improved BOED performance over state-of-the-art.
This study examines how imbalanced training data affects author name disambiguation.
problem The impact of imbalanced training data on machine learning for author name disambiguation.
method Training three classifiers (Logistic Regression, Naïve Bayes, Random Forest) on multiple labeled datasets with various positive-negative training data ratios.
result Increasing negative training data can improve disambiguation performance but with diminishing returns.
Review of diversification models finds simple rules still best.
problem Testing new diversification models for out-of-sample performance.
method Tested sixteen strategies across six datasets.
result No new models consistently outperform simple diversification rules.
EQ-Net combines LLR estimation and quantization using deep learning.
problem Unified solution for LLR estimation and quantization.
method Two-stage algorithm using LLR compression as a pretext task.
result Achieves state-of-the-art results with gains in efficiency and latency.
Proposes NCMN to remove feature correlation in multiplicative noise.
problem High feature correlation in multiplicative noise reduces network performance.
method Exploits batch normalization to remove correlation effect.
result Significantly improves performance on image classification tasks.
Gen-LRA attacks synthetic data leakage without model knowledge.
problem Auditing synthetic data privacy leakage.
method Generative Likelihood Ratio Attack (Gen-LRA).
result Gen-LRA outperforms other attacks across metrics.
Deep learning model predicts stock price movements based on historical data.
problem Inefficiencies in stock market leading to potential returns above market.
method Inspired by human traders, uses Resnet's skip connections and logits.
result Significant outperformance on both Korean and US stock markets.
Paper develops a robust hedging framework to reduce market risk and uncertainty.
problem Managing uncertainty and risk exposure in portfolio management.
method Combines high-frequency realized variance, covariance measures, and autoregressive models for multi-step volatility forecasting. Uses a box-uncertainty robust optimization scheme to derive a closed-form solution for the robust hedge ratio.
result Robust hedge ratios are more stable and entail lower turnover than standard dynamic hedges, improving downside protection and risk-adjusted performance.
The paper studies optimal investment using acceptability indices to maximize portfolio performance.
problem Optimal investment problem using coherent acceptability indices.
method Numerical algorithm approximating the original problem, dynamic coherent risk measures, set-valued Bellman's principle.
result Acceptability maximization problem reduces to a one-period problem under certain conditions.
ML helps select variables for minimum-variance portfolios, reducing risk and improving performance.
problem Optimizing minimum-variance portfolios with relevant predictors.
method Parameterized minimum-variance portfolio weights using a large pool of firm-level characteristics and their transformations.
result ML-selected predictors lead to lower risk and better performance in minimum-variance portfolios.
New bounds on IDS for RL show how to balance computation and learning efficiency.
problem Understanding and optimizing information-directed sampling (IDS) for reinforcement learning.
method Developed novel information-theoretic tools to bound information ratio and cumulative information gain.
result Derived prior-free Bayesian regret bounds for IDS in tabular finite-horizon MDPs and improved computational efficiency.
Prognostic scores improve logistic regression analysis in RCTs with binary outcomes.
problem Non-collapsibility in logistic regression analysis of RCTs with binary endpoints.
method Prognostic score adjustment using AI predictions to address non-collapsibility.
result Prognostic score adjustment increases power or reduces sample size for estimating conditional odds ratios.
Improved Thompson Sampling for logistic bandits with information-theoretic analysis.
problem Optimizing binary reward probabilities in logistic bandit problems.
method Information-theoretic framework, focusing on the information ratio and minimax measure.
result Bound on Bayesian expected regret of O ( d / α T log ( β T / d ) ) O(d/α\sqrt{T \log(βT/d)}) O ( d / α T log ( β T / d ) ) for logistic bandits. Optimistic search speeds up change point detection in large datasets.
problem Efficiently detecting change points in large-scale data with high computational demands.
method Adaptive logarithmic queries to reduce evaluation complexity.
result Asymptotic minimax optimality and fast localization rates for change point detection.
Decision tree is an important method for both induction research and data mining, which is mainly used for model classification and prediction. ID3 algorithm is the most widely used algorithm in the decision tree so far. In this paper, the shortcoming of ID3's inclining to choose attributes with many values is discusse…
Stacked regressions improve predictive accuracy by combining estimators.
problem Improve predictive accuracy in regression models.
method Analogous to least-squares, learn combination weights by minimizing regularized empirical risk with nonnegativity constraint.
result The stacked estimator has strictly smaller population risk than the best single estimator, especially when signal-to-noise ratio is small.
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of Asset Pricing using the dynamic coherent risk measures. We introduce the dynamic …