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.
Informer improves financial market prediction accuracy with global time stamp features.
An edge tessellation is a tiling of the plane generated by reflecting a polygon in its edges. We prove that a polygon generating an edge tessellation is one the following eight types: a rectangle; an equilateral, 60-right, isosceles right, or 120-isosceles triangle; a 120-rhombus; a 60-90-120 kite; or a regular hexagon…
Many real-world applications involve multivariate, geo-tagged time series data: at each location, multiple sensors record corresponding measurements. For example, air quality monitoring system records PM2.5, CO, etc. The resulting time-series data often has missing values due to device outages or communication errors. …
BayOTIDE tackles imputation of irregularly sampled multivariate time series with uncertainty quantification.
In this paper, we consider a new low-quality label learning problem: learning time series detection models from temporally imprecise labels. In this problem, the data consist of a set of input time series, and supervision is provided by a sequence of noisy time stamps corresponding to the occurrence of positive class e…
Study optimizes market making in Chinese stock market with stochastic control and scenario analysis.
New method selects features for big data efficiently.
RPE detects anomalies robustly in time-series data.
CLPF models continuous time-series data with improved representational power and variational approximations.
We document and analyze the empirical facts concerning one of the clearest evidence of speculation in financial trading as observed in the postage collection stamp market. We unravel some of the mechanisms of speculative behavior which emphasize the role of fancy and collective behavior. In our conclusion, we propose a…
In multi-temporal SAR interferometry (MT-InSAR), persistent scatterer (PS) pixels are used to estimate geophysical parameters, essentially deformation. Conventionally, PS pixels are selected on the basis of the estimated noise present in the spatially uncorrelated phase component along with look-angle error in a tempor…
In a dynamic network, the neighborhood of the vertices evolve across different temporal snapshots of the network. Accurate modeling of this temporal evolution can help solve complex tasks involving real-life social and interaction networks. However, existing models for learning latent representation are inadequate for …
In this paper, we develop the continuous time dynamic topic model (cDTM). The cDTM is a dynamic topic model that uses Brownian motion to model the latent topics through a sequential collection of documents, where a "topic" is a pattern of word use that we expect to evolve over the course of the collection. We derive an…
Deep learning shows ETF imbalances are more informative than market imbalances.
We present a probabilistic language model for time-stamped text data which tracks the semantic evolution of individual words over time. The model represents words and contexts by latent trajectories in an embedding space. At each moment in time, the embedding vectors are inferred from a probabilistic version of word2ve…
Hybrid approach for large-scale network synchronization using KF and PTP.
Estimating the travel time of a path is of great importance to smart urban mobility. Existing approaches are either based on estimating the time cost of each road segment which are not able to capture many cross-segment complex factors, or designed heuristically in a non-learning-based way which fail to utilize the exi…
We consider the problem of reconstructing the dynamic state matrix of transmission power grids from time-stamped PMU measurements in the regime of ambient fluctuations. Using a maximum likelihood based approach, we construct a family of convex estimators that adapt to the structure of the problem depending on the avail…
New method decomposes local projections to reveal historical drivers of estimates.
We present the Wright-Fisher Indian buffet process (WF-IBP), a probabilistic model for time-dependent data assumed to have been generated by an unknown number of latent features. This model is suitable as a prior in Bayesian nonparametric feature allocation models in which the features underlying the observed data exhi…
A novel transformer model improves classification of partially ordered sequences.
In this paper, we propose a fully supervised speaker diarization approach, named unbounded interleaved-state recurrent neural networks (UIS-RNN). Given extracted speaker-discriminative embeddings (a.k.a. d-vectors) from input utterances, each individual speaker is modeled by a parameter-sharing RNN, while the RNN state…
Model-based collaborative filtering analyzes user-item interactions to infer latent factors that represent user preferences and item characteristics in order to predict future interactions. Most collaborative filtering algorithms assume that these latent factors are static, although it has been shown that user preferen…
A neural RNN model adapts time steps for non-stationary time series data.
A new method prunes neural networks faster and more efficiently.
Time-related features improve time series forecasting models.
We present and test a sequential learning algorithm for the short-term prediction of human mobility. This novel approach pairs the Exponential Weights forecaster with a very large ensemble of experts. The experts are individual sequence prediction algorithms constructed from the mobility traces of 10 million roaming mo…
The study combines social interaction data into a single network, identifying stable groups of chimpanzees.
The last decades have not only been characterized by an explosive growth of data, but also an increasing appreciation of data as a valuable resource. Their value comes with the ability to extract meaningful patterns that are of economic, societal or scientific relevance. A particular challenge is the identification of …
Framework for continuous-time network data representation learning.
Predicting the next position of movable objects has been a problem for at least the last three decades, referred to as trajectory prediction. In our days, the vast amounts of data being continuously produced add the big data dimension to the trajectory prediction problem, which we are trying to tackle by creating a λ-A…
Paper introduces efficient methods for probabilistic querying of event sequences.
ChatGPT snapshots predict future stock returns.
New method learns cell trajectories and network interactions from single-cell data.
MPE models traffic trajectory data to predict next locations.
The paper tackles AI advice giving by considering adherence levels and defer options.
This paper introduces the factorial marked temporal point process model and presents efficient learning methods. In conventional (multi-dimensional) marked temporal point process models, event is often encoded by a single discrete variable i.e. a marker. In this paper, we describe the factorial marked point processes w…
Post-estimation smoothing improves prediction accuracy with structural indices.
Word meaning changes over time, depending on linguistic and extra-linguistic factors. Associating a word's correct meaning in its historical context is a central challenge in diachronic research, and is relevant to a range of NLP tasks, including information retrieval and semantic search in historical texts. Bayesian m…
Matrix profile has been recently proposed as a promising technique to the problem of all-pairs-similarity search on time series. Efficient algorithms have been proposed for computing it, e.g., STAMP, STOMP and SCRIMP++. All these algorithms use the z-normalized Euclidean distance to measure the distance between subsequ…
Detects synchronized behavior in streaming data.
Paper tackles continuous transfer learning with evolving target domains.
The episodic, irregular and asynchronous nature of medical data render them difficult substrates for standard machine learning algorithms. We would like to abstract away this difficulty for the class of time-stamped categorical variables (or events) by modeling them as a renewal process and inferring a probability dens…
In this paper, we study the problem of using representation learning to assist information diffusion prediction on graphs. In particular, we aim at estimating the probability of an inactive node to be activated next in a cascade. Despite the success of recent deep learning methods for diffusion, we find that they often…
Missing values, irregularly collected samples, and multi-resolution signals commonly occur in multivariate time series data, making predictive tasks difficult. These challenges are especially prevalent in the healthcare domain, where patients' vital signs and electronic records are collected at different frequencies an…
Global models outperform local models in forecasting intermittent time series.
A new growth model for dynamic networks using Markovian latent points.
Global methods outperform local in forecasting groups of time series, even in heterogeneous datasets.