Research
On-device research index

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.

169,341 papers · 148 categories

Trend · papers per month

0.3%0.6%1.0%1.3% · Nov 200019922001200920182026
48 results for gathering

BED-LLM uses Bayesian experimental design to improve LLMs' information gathering.

problem Improving LLMs' ability to gather information adaptively.
method Iteratively choosing questions to maximize expected information gain using a probabilistic model.
result BED-LLM achieves substantial performance gains compared to other adaptive design strategies.

In this article we propose a generalisation of the recent work of Gatheral and Jacquier on explicit arbitrage-free parameterisations of implied volatility surfaces. We also discuss extensively the notion of arbitrage freeness and Roger Lee's moment formula using the recent analysis by Roper. We further exhibit an arbit…

2012-10-26abs ↗pdf ↗

In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in Gatheral's book and the large-time asymptotic of the Heston implied volatility agree algebraically, thus confirming a conjecture from Gatheral as well as providing a simpler expression for th…

2010-02-18abs ↗pdf ↗

Investment tool predicts higher returns for Madrid real estate units.

problem Determining which real estate units have higher returns to investment in Madrid.
method Data collection from Idealista.com, descriptive statistics, return index, machine learning algorithms.
result Introduction of machine learning algorithms for rental real estate price prediction.

Robots gather information resiliently despite failures and attacks.

problem Resilient information gathering in adversarial or failure-prone environments.
method First scalable algorithm for minimal communication, system-wide resiliency, and provable approximation performance.
result Algorithm ensures optimal or near-optimal solutions for any number of failures and attacks.

Modified model prevents volatility from approaching zero.

problem Volatility in the Gatheral model can approach zero, making it statistically indistinguishable.
method Proposed a modified model with Skorokhod reflection to prevent volatility from approaching zero.
result The modified model prevents volatility from approaching zero, preserving the model's flexibility.

Study benchmarks label noise detection methods, identifying best practices.

problem Label noise in real-world datasets affects model performance and evaluation reliability.
method Decomposed detection methods into label agreement, aggregation, and information gathering components; introduced a unified benchmark task and novel metric.
result In-sample probability aggregation with logit margin label agreement function achieves best results across scenarios.

Paper simplifies complex AI exploration by predicting future rewards.

problem Training machines to optimally gather complex information.
method Developed a denser reward structure using cross-value to decouple exploration and exploitation.
result Demonstrated successful learning of challenging tasks without shaping or bonuses.

Formula adjusts steady-state models for control confounding.

problem Learning steady-state models from operational data can be flawed due to control confounding.
method Derives a formula to adjust for control confounding using structural dynamical causal models.
result Estimates a causal steady-state model from closed-loop operational data.

Proposes a max-utility arm selection strategy for reducing cumulative regret in sequential query recommendations.

problem Reduces cumulative regret in sequential query recommendations for closed loop interactive learning settings.
method Proposes a max-utility arm selection strategy based on the maximum utility of arms.
result Improves cumulative regret substantially compared to baseline algorithms and random selection.

Foundation models struggle with multi-turn exploration but can learn through regular summaries.

problem Foundation models struggle with multi-turn exploration in dynamic environments.
method Implemented a text-based version of the Alchemy environment to test multi-trial learning. Prompting models to summarize their observations at regular intervals enabled them to improve across trials and adapt to changes.
result Foundation models can improve through regular summaries, enabling multi-trial learning and adaptation.

Mounting evidences are being gathered suggesting that income and wealth distribution in various countries or societies follow a robust pattern, close to the Gibbs distribution of energy in an ideal gas in equilibrium, but also deviating significantly for high income groups. Application of physics models seem to provide…

2007-03-21abs ↗pdf ↗

Study confirms rough volatility in financial data, independent of microstructure noise.

problem Characterizing volatility in financial markets, especially rough volatility.
method Used range-based volatility estimators to confirm findings from fractional behavior.
result Log-volatility behaves like fractional Brownian motion with an even lower Hurst exponent.

There are two schools of thought regarding market impact modeling. On the one hand, seminal papers by Almgren and Chriss introduced a decomposition between a permanent market impact and a temporary (or instantaneous) market impact. This decomposition is used by most practitioners in execution models. On the other hand,…

2013-05-02abs ↗pdf ↗

We introduce a probabilistic model of labor markets for university graduates, in particular, in Japan. To make a model of the market efficiently, we take into account several hypotheses. Namely, each company fixes the (business year independent) number of opening positions for newcomers. The ability of gathering newcom…

2013-09-20abs ↗pdf ↗

Bayesian BIC for multi-trial data improves VAR model order selection.

problem Optimal VAR model order selection for multi-trial event-based data.
method Derive and apply Bayesian Information Criterion (BIC) for multi-trial ensemble data.
result Multi-trial BIC successfully recovers real model order and estimates small model order.

Aims to improve personalized treatment decisions through Bayesian experimental design.

problem Evaluating and improving personalized treatment decisions in contexts like customer service.
method Model-agnostic Bayesian Experimental Design to efficiently gather data and avoid highly sub-optimal treatments.
result Our method achieves superior performance in evaluating and improving treatment decisions compared to traditional approaches.

Increasingly, a huge amount of statistics have been gathered which clearly indicates that income and wealth distributions in various countries or societies follow a robust pattern, close to the Gibbs distribution of energy in an ideal gas in equilibrium. However, it also deviates in the low income and more significantl…

2007-09-11abs ↗pdf ↗

Study optimizes scoring rules for incentivizing agent's information gathering in online settings.

problem Optimizing incentives for agents to acquire information in online settings.
method Designing a sample-efficient algorithm that tailors the UCB algorithm to the strategic agent's model.
result Achieves sublinear T2/3T^{2/3}-regret after TT iterations, independent of the number of states.

Distributed, online data mining systems have emerged as a result of applications requiring analysis of large amounts of correlated and high-dimensional data produced by multiple distributed data sources. We propose a distributed online data classification framework where data is gathered by distributed data sources and…

2013-07-02abs ↗pdf ↗

This paper compiles formulas involving differential operators and interior products.

problem Scattered identities in differential geometry involving various operators.
method Compilation and extension of formulas using the Schouten-Nijenhuis bracket and interior product.
result New formulas involving the de Rham codifferential and interior product.

Optimization of very expensive black-box functions requires utilization of maximum information gathered by the process of optimization. Model Guided Sampling Optimization (MGSO) forms a more robust alternative to Jones' Gaussian-process-based EGO algorithm. Instead of EGO's maximizing expected improvement, the MGSO use…

2015-08-31abs ↗pdf ↗