arXiv research

In this paper we study the asymptotic decay of finite time ruin probabilities for an insurance company that faces heavy-tailed claims, uses predictable investment strategies and makes investments in risky assets whose prices evolve according to quite general semimartingales. We show that the ruin problem corresponds to…

The paper simulates Lévy processes and their extremum and hitting time.

Bayesian learning improves reliability of molecular predictions for hit compound discovery.

Study bond market making with hit-ratio target using optimal control and HJB equations.

A new metric based on hitting probabilities for directed graphs and Markov chains.

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, …

Santaló calculated the measures for all positions of a moving line segment in which it lies inside a fixed circle and intersects this circle in one or two points. From these measures he concluded hitting probabilities for a line segment thrown randomly onto an unbounded lattice of circles. In the present paper these re…

New model captures fast price excursions in finance.

We propose a simpler derivation of the probability density function of Feller Diffusion using the Fourier Transform and solving the resulting equation via the Method of Characteristics. We also discuss simulation algorithms and confirm key properties related to hitting time probabilities via the simulation.

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…

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…

Solves financial and non-financial problems using heat potentials.

SurvSurf predicts first hitting times for intermittent events without monotonic violations.

Estimates on Einstein manifolds improve Brownian motion behavior and curvature limits.

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…

Research in psychology and neuroscience has successfully modeled decision making as a process of noisy evidence accumulation to a decision bound. While there are several variants and implementations of this idea, the majority of these models make use of a noisy accumulation between two absorbing boundaries. A common as…

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…

This paper improves bond market making by adjusting hit-ratios for client flow quality.

Paper investigates separating times for general diffusions, providing new insights.

Paper proposes methods to localize sources in WSNs without knowing sensor parameters.

Derives integral representations for a Lévy process and its extremum, hitting time, with fast evaluation.

Paper analyzes Hit-and-Run's convergence rates and applies similar methods to randomized Kaczmarz.

We solve the first-passage problem for the Heston random diffusion model. We obtain exact analytical expressions for the survival and hitting probabilities to a given level of return. We study several asymptotic behaviors and obtain approximate forms of these probabilities which prove, among other interesting propertie…

The hitting measure is singular and has dimension less than 1 for cocompact Fuchsian groups.

We consider a controlled diffusion process $(X_t)_{t\ge 0}$ where the controller is allowed to choose the drift $μ_t$ and the volatility $σ_t$ from a set $\K(x) \subset \R\times (0,\infty)$ when $X_t=x$. By choosing the largest $\fracμ{σ^2}$ at every point in time an extremal process is constructed which is under suita…

Researchers prove hitting measure singularity for most Fuchsian and Kleinian groups.

This project explores several Machine Learning methods to predict movie genres based on plot summaries. Naive Bayes, Word2Vec+XGBoost and Recurrent Neural Networks are used for text classification, while K-binary transformation, rank method and probabilistic classification with learned probability threshold are employe…

The paper improves competitive and dynamic regret bounds for smoothed online learning.

New algorithm for average reward learning with bounded hitting time assumption.

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 …

Mean field game with defaultable agents and systemic risk quantified.

Gibbs sampler mixes quickly for certain smooth distributions.

Let $μ$ be a probability measure on $\text{Out}(F_N)$ with finite first logarithmic moment with respect to the word metric, finite entropy, and whose support generates a nonelementary subgroup of $\text{Out}(F_N)$. We show that almost every sample path of the random walk on $(\text{Out}(F_N),μ)$, when realized in Culle…

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…

Researchers use information geometry to analyze and improve DRWs for node classification.

We show that the family of probability measures on the $n$-dimensional unit sphere, having density proportional to: \[ S^n \ni y \mapsto \frac{1}{|y - x|^{n+α}}, \] satisfies the Curvature-Dimension condition $CD(n-1-\frac{n+α}{4},-α)$, for all $|x| < 1$, $α\geq -n$ and $n\geq 2$. The case $α= 1$ corresponds to the hit…

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…

We analyze an optimal stopping problem with random maturity under a nonlinear expectation with respect to a weakly compact set of mutually singular probabilities $\mathcal{P}$. The maturity is specified as the hitting time to level $0$ of some continuous index process at which the payoff process is even allowed to have…

Model financial default cascades on sparse graphs via hitting times.

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…

This study compares two neural models for financial forecasting, showing their superiority.

We report on results concerning a partially aggregated Stock Flow Consistent (SFC) macroeconomic model in the stationary state where the sectors of banks and firms are aggregated, the sector of households is dis-aggregated, and the probability density function (pdf) of the wealth of households is exogenous, constrained…

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.