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.
Investment and consumption strategies with luxury goods for retirement age.
This study evaluates subgroup analysis methods for time-to-event outcomes in randomized controlled trials.
Machine learning approaches have been effective in predicting adverse outcomes in different clinical settings. These models are often developed and evaluated on datasets with heterogeneous patient populations. However, good predictive performance on the aggregate population does not imply good performance for specific …
We propose an extended public goods interaction model to study the evolution of cooperation in heterogeneous population. The investors are arranged on the well known scale-free type network, the Barabási-Albert model. Each investor is supposed to preferentially distribute capital to pools in its portfolio based on the …
We study consumption behaviour in systems with heterogeneous interacting agents. Two different models are introduced, respectively with long and short range interactions among agents. At any time step an agent decides whether or not to consume a good, doing so if this provides positive utility. Utility is affected by i…
Novel method CHPCA simplifies complex market dynamics.
Develops efficient inference for noise heterogeneity in machine learning models.
Paper analyzes D-SGD convergence with heterogeneous data and proposes topology learning.
A federated learning framework using superquantile aggregation for robust performance across heterogeneous data.
New model corrects bias in crowdsourced ratings for diverse items.
New method quantifies variable importance in causal forests for treatment effect heterogeneity.
This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a possible explanation for the complex dynamics of markets' returns. Scaling and m…
Mixtures-of-Experts (MoE) are conditional mixture models that have shown their performance in modeling heterogeneity in data in many statistical learning approaches for prediction, including regression and classification, as well as for clustering. Their estimation in high-dimensional problems is still however challeng…
Survey of multimodal deep generative models for diverse data types.
New method estimates heterogeneous treatment effects with improved guarantees.
Mixture of Experts (MoE) are successful models for modeling heterogeneous data in many statistical learning problems including regression, clustering and classification. Generally fitted by maximum likelihood estimation via the well-known EM algorithm, their application to high-dimensional problems is still therefore c…
S2M optimizes mining for diverse data subpopulations.
A new Federated Learning approach balances personalization and global training.
This paper uses machine learning to select kernels for machine learning models on various devices.
A common goal in statistics and machine learning is to learn models that can perform well against distributional shifts, such as latent heterogeneous subpopulations, unknown covariate shifts, or unmodeled temporal effects. We develop and analyze a distributionally robust stochastic optimization (DRO) framework that lea…
Model explains capital allocation and wealth distribution dynamics in a frictional economy.
We model the default contagion process in a large heterogeneous financial network under the interventions of a regulator (a central bank) with only partial information which is a more realistic setting than most current literature. We provide the analytical results for the asymptotic optimal intervention policies and t…
R2P method identifies homogeneous and heterogeneous subgroups for better treatment effect estimation.
ie-HGCN addresses HIN challenges by efficiently learning node representations.
We study continuous time Bertrand oligopolies in which a small number of firms producing similar goods compete with one another by setting prices. We first analyze a static version of this game in order to better understand the strategies played in the dynamic setting. Within the static game, we characterize the Nash e…
New spectral clustering method for graphs with uneven node degrees.
Unified analysis of asynchronous-SGD algorithms for distributed learning.
We quantify the benefit of collectivised investment funds, in which the assets of members who die are shared among the survivors. For our model, with realistic parameter choices, an annuity or individual fund requires approximately 20\% more initial capital to provide as good an outcome as a collectivised investment fu…
Study improves choice model accuracy and heterogeneity representation using mixture models.
We present a macroeconomic agent-based model that combines several mechanisms operating at the same timescale, while remaining mathematically tractable. It comprises enterprises and workers who compete in a job market and a commodity goods market. The model is stock-flow consistent; a bank lends money charging interest…
We address the problem of semi-supervised learning in relational networks, networks in which nodes are entities and links are the relationships or interactions between them. Typically this problem is confounded with the problem of graph-based semi-supervised learning (GSSL), because both problems represent the data as …
The paper studies inference in hypergraph β-models with multiple layers.
Federated CTMC model estimates bridge deterioration hazards without sharing raw data.
The paper explores fairness, welfare, and equity in personalized pricing across various applications.
Understanding learning materials (e.g. test questions) is a crucial issue in online learning systems, which can promote many applications in education domain. Unfortunately, many supervised approaches suffer from the problem of scarce human labeled data, whereas abundant unlabeled resources are highly underutilized. To…
Probabilistic generative models can be used for compression, denoising, inpainting, texture synthesis, semi-supervised learning, unsupervised feature learning, and other tasks. Given this wide range of applications, it is not surprising that a lot of heterogeneity exists in the way these models are formulated, trained,…
Forest-based methods estimate heterogeneous treatment effects, blending strengths for better performance.
Prospective display advertising poses a great challenge for large advertising platforms as the strongest predictive signals of users are not eligible to be used in the conversion prediction systems. To that end efforts are made to collect as much information as possible about each user from various data sources and to …
We calculate the optimal solutions of the fully heterogeneous Von Neumann expansion problem with processes and goods in the limit . This model provides an elementary description of the growth of a production economy in the long run. The system turns from a contracting to an expanding phase as in…
TIMME detects Twitter users' ideology from sparse, heterogeneous data.
Trade networks, across which countries distribute their products, are crucial components of the globalized world economy. Their structure is strongly heterogeneous across products, given the different features of the countries which buy and sell goods. By using a diversified pool of indicators from network science and …
A model is presented of the market dynamics to emphasis the effects of increasing returns to scale, including the description of the born and death of the adaptive producers. The evolution of market structure and its behavior with the technological shocks are discussed. Its dynamics is in good agreement with some empir…
Illegal insider trading of stocks is based on releasing non-public information (e.g., new product launch, quarterly financial report, acquisition or merger plan) before the information is made public. Detecting illegal insider trading is difficult due to the complex, nonlinear, and non-stationary nature of the stock ma…
The paper proposes a test to determine the number of latent classes in ordinal categorical data.
We present a novel Neural Embedding Spatio-Temporal (NEST) point process model for spatio-temporal discrete event data and develop an efficient imitation learning (a type of reinforcement learning) based approach for model fitting. Despite the rapid development of one-dimensional temporal point processes for discrete e…
Algorithm mines environment assumptions for cyber-physical systems.
VSAE learns from missing heterogeneous data by modeling latent dependencies.
Crowdsourcing platforms emerged as popular venues for purchasing human intelligence at low cost for large volume of tasks. As many low-paid workers are prone to give noisy answers, a common practice is to add redundancy by assigning multiple workers to each task and then simply average out these answers. However, to fu…