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.
This paper improves bond market making by adjusting hit-ratios for client flow quality.
Study bond market making with hit-ratio target using optimal control and HJB equations.
The paper improves competitive and dynamic regret bounds for smoothed online learning.
We study online convex optimization in a setting where the learner seeks to minimize the sum of a per-round hitting cost and a movement cost which is incurred when changing decisions between rounds. We prove a new lower bound on the competitive ratio of any online algorithm in the setting where the costs are -strong…
We study online optimization in a setting where an online learner seeks to optimize a per-round hitting cost, which may be non-convex, while incurring a movement cost when changing actions between rounds. We ask: \textit{under what general conditions is it possible for an online learner to leverage predictions of futur…
Estimates on Einstein manifolds improve Brownian motion behavior and curvature limits.
Support Vector Machines (SVMs) can solve structured multi-output learning problems such as multi-label classification, multiclass classification and vector regression. SVM training is expensive especially for large and high dimensional datasets. The bottleneck of the SVM training often lies in the kernel value computat…
Paper tackles online optimization with memory and competitive control.
New formulas forecast fractional Brownian motion for financial trading.
Trading strategies that were profitable in the past often degrade with time. Since unlucky streaks can also hit "healthy" strategies, how can one detect that something truly worrying is happening? It is intuitive that a drawdown that lasts too long or one that is too deep should lead to a downward revision of the assum…
In this work, we attempt to solve the Hit Song Science problem, which aims to predict which songs will become chart-topping hits. We constructed a dataset with approximately 1.8 million hit and non-hit songs and extracted their audio features using the Spotify Web API. We test four models on our dataset. Our best model…
Minimal hitting time on origami equals diophantine type for certain slopes.
Record companies invest billions of dollars in new talent around the globe each year. Gaining insight into what actually makes a hit song would provide tremendous benefits for the music industry. In this research we tackle this question by focussing on the dance hit song classification problem. A database of dance hit …
Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of pri…
In this study we prove the existence of statistical arbitrage opportunities in the Black-Scholes framework by considering trading strategies that consists of borrowing from the risk free rate and taking a long position in the stock until it hits a deterministic barrier level. We derive analytical formulas for the expec…
We study Smoothed Online Convex Optimization, a version of online convex optimization where the learner incurs a penalty for changing her actions between rounds. Given a lower bound on the competitive ratio of any online algorithm, where is the dimension of the action space, we ask under what conditio…
Paper analyzes Hit-and-Run's convergence rates and applies similar methods to randomized Kaczmarz.
In this paper, we investigate the cooling-off effect (opposite to the magnet effect) from two aspects. Firstly, from the viewpoint of dynamics, we study the existence of the cooling-off effect by following the dynamical evolution of some financial variables over a period of time before the stock price hits its limit. S…
The hitting measure is singular and has dimension less than 1 for cocompact Fuchsian groups.
Researchers prove hitting measure singularity for most Fuchsian and Kleinian groups.
New method improves Bayesian optimization by considering budget and prior quality.
KANEL combines models for early hit enrichment in virtual screening.
Large unweighted directed graphs are commonly used to capture relations between entities. A fundamental problem in the analysis of such networks is to properly define the similarity or dissimilarity between any two vertices. Despite the significance of this problem, statistical characterization of the proposed metrics …
Stochastic gradient Langevin dynamics (SGLD) is a fundamental algorithm in stochastic optimization. Recent work by Zhang et al. [2017] presents an analysis for the hitting time of SGLD for the first and second order stationary points. The proof in Zhang et al. [2017] is a two-stage procedure through bounding the Cheege…
ConfHit provides valid guarantees for generative models without oracle access.
We empirically investigated the relationships between the degree of efficiency and the predictability in financial time-series data. The Hurst exponent was used as the measurement of the degree of efficiency, and the hit rate calculated from the nearest-neighbor prediction method was used for the prediction of the dire…
One of the most important problems of data processing in high energy and nuclear physics is the event reconstruction. Its main part is the track reconstruction procedure which consists in looking for all tracks that elementary particles leave when they pass through a detector among a huge number of points, so-called hi…
In this paper we consider finite volume hyperbolic manifolds X with non-empty totally geodesic boundary. We consider the distribution of the times for the geodesic flow to hit the boundary and derive a formula for the moments of the associated random variable in terms of the orthospectrum. We show that the the first tw…
Model financial default cascades on sparse graphs via hitting times.
This study compares two neural models for financial forecasting, showing their superiority.
High throughput screening of compounds (chemicals) is an essential part of drug discovery [7], involving thousands to millions of compounds, with the purpose of identifying candidate hits. Most statistical tools, including the industry standard B-score method, work on individual compound plates and do not exploit cross…
Paper reconciles different Ricci flow approaches and proves weak solutions.
Holomorphic map connects Hitchin components to character varieties.
The paper analyzes McKean-Vlasov equations with hitting times, proving global solvability.
New algorithm determines dimensions of hit spaces in polynomial algebra.
A model for hit song prediction can be used in the pop music industry to identify emerging trends and potential artists or songs before they are marketed to the public. While most previous work formulates hit song prediction as a regression or classification problem, we present in this paper a convolutional neural netw…
One of the most important problems of data processing in high energy and nuclear physics is the event reconstruction. Its main part is the track reconstruction procedure which consists in looking for all tracks that elementary particles leave when they pass through a detector among a huge number of points, so-called hi…
The paper simulates Lévy processes and their extremum and hitting time.
In this paper, we study the classical problem of the first passage hitting density of an Ornstein--Uhlenbeck process. We give two complementary (forward and backward) formulations of this problem and provide semi-analytical solutions for both. The corresponding problems are comparable in complexity. By using the method…
SurvSurf predicts first hitting times for intermittent events without monotonic violations.
Parrot learns optimal cache replacement policies using imitation learning.
Bayesian learning improves reliability of molecular predictions for hit compound discovery.
The prediction of a stock market direction may serve as an early recommendation system for short-term investors and as an early financial distress warning system for long-term shareholders. Many stock prediction studies focus on using macroeconomic indicators, such as CPI and GDP, to train the prediction model. However…
We prove a generalization of the fundamental inequality of Guivarc'h relating entropy, drift and critical exponent to Gibbs measures on geometrically finite quotients of CAT(-1) metric spaces. For random walks with finite superexponential moment, we show that the equality is achieved if and only if the Gibbs density is…
This study investigates the use of reinforcement learning to guide a general purpose cache manager decisions. Cache managers directly impact the overall performance of computer systems. They govern decisions about which objects should be cached, the duration they should be cached for, and decides on which objects to ev…
We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the 12-year period 1987-1998, …
We study the problem of identity testing of markov chains. In this setting, we are given access to a single trajectory from a markov chain with unknown transition matrix and the goal is to determine whether for some known matrix or where is suitably defined. In r…
The Hitchin component Hit_n(S) of a closed surface S is a preferred component of the character variety X_PSL_n(R)(S) consisting of homomorphisms from the fundamental group pi_1(S) to the Lie group PSL_n(R)(S), whose elements enjoy remarkable geometric and dynamical properties. We consider a certain type of deformations…