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.
Silence on suspicious stock market patterns persists despite lack of plausible explanations.
New benchmark uncovers hidden biases in LLMs that refuse to answer certain queries.
Based on empirical financial time-series, we show that the "silence-breaking" probability follows a super-universal power law: the probability of observing a large movement is inversely proportional to the length of the on-going low-variability period. Such a scaling law has been previously predicted theoretically [R. …
Following the approach of standard filtering theory, we analyse investor-valuation of firms, when these are modelled as geometric-Brownian state processes that are privately and partially observed, at random (Poisson) times, by agents. Tasked with disclosing forecast values, agents are able purposefully to withhold the…
AI agents on social networks rarely engage in extended conversations.
A new property fixes look-ahead bias in backtesting and trading pipelines.
The problem of identifying voice commands has always been a challenge due to the presence of noise and variability in speed, pitch, etc. We will compare the efficacies of several neural network architectures for the speech recognition problem. In particular, we will build a model to determine whether a one second audio…
QSD enhances deep network performance through biologically plausible dropout.
The problem of keyword spotting i.e. identifying keywords in a real-time audio stream is mainly solved by applying a neural network over successive sliding windows. Due to the difficulty of the task, baseline models are usually large, resulting in a high computational cost and energy consumption level. We propose a new…
Sequence discriminative training criteria have long been a standard tool in automatic speech recognition for improving the performance of acoustic models over their maximum likelihood / cross entropy trained counterparts. While previously a lattice approximation of the search space has been necessary to reduce computat…
Model analyzes how firms balance full disclosure with selective disclosure to maintain a good reputation.
We simplify information measure computation using learned features.
A new framework for information theory considers computational constraints.
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies based on the additional information. In this model market participants have access t…
We study a simple model of an asset market with informed and non-informed agents. In the absence of non-informed agents, the market becomes information efficient when the number of traders with different private information is large enough. Upon introducing non-informed agents, we find that the latter contribute signif…
New method quantifies redundant information using information bottleneck.
This paper reviews information theory in open-world machine learning.
Review of information plane analyses in neural networks, highlighting mixed results and methodological challenges.
Information geometry offers new tools for statistical analysis.
Information theory provides a mathematical foundation to measure uncertainty in belief. Belief is represented by a probability distribution that captures our understanding of an outcome's plausibility. Information measures based on Shannon's concept of entropy include realization information, Kullback-Leibler divergenc…
In this paper, we present a new approach to interpret deep learning models. By coupling mutual information with network science, we explore how information flows through feedforward networks. We show that efficiently approximating mutual information allows us to create an information measure that quantifies how much in…
Before the massive spread of computer technology, information was far from complex. The development of technology shifted the paradigm: from individuals who faced scarce and costly information to individuals who face massive amounts of information accessible at low costs. Nowadays we are living in the era of big data a…
In financial markets valuable information is rarely circulated homogeneously, because of time required for information to spread. However, advances in communication technology means that the 'lifetime' of important information is typically short. Hence, viewed as a tradable asset, information shares the characteristics…
Introduces relative information gain for improving Gaussian process regression rates.
This paper uses information theory to improve risk modeling in big data.
In information theory, Fisher information and Shannon information (entropy) are respectively used to quantify the uncertainty associated with the distribution modeling and the uncertainty in specifying the outcome of given variables. These two quantities are complementary and are jointly applied to information behavior…
Investors pay for additional asset information based on utility maximization.
New method detects information leakage using approximate Bayes predictor.
Market strategies minimize Fisher information to minimize risk.
New approach quantifies overfitting in high-dimensional regression.
Unified notation simplifies information-theoretic concepts in machine learning.
Study optimal portfolios for traders with asymmetric information and delay.
Strategic brokers exploit private information in broker-mediated markets, affecting informed traders' performance.
Proposes a new method to enhance neural learning by maximizing information gain.
Mirror descent linked to information ratio via Bayesian regret bounds.
Study shows changes in information sharing between Bitcoin markets during 2017 crash.
Study on optimal information acquisition in Kyle model with entropy cost.
Study on information evolution in interactive decision making using multi-armed bandits.
Study reveals mutual information is crucial for understanding algorithm performance in stochastic convex optimization.
We create a formal framework for the design of informative securities in prediction markets. These securities allow a market organizer to infer the likelihood of events of interest as well as if he knew all of the traders' private signals. We consider the design of markets that are always informative, markets that are …
The paper proposes methods to extract and analyze individual variable information from complex dependencies.
There are (at least) three approaches to quantifying information. The first, algorithmic information or Kolmogorov complexity, takes events as strings and, given a universal Turing machine, quantifies the information content of a string as the length of the shortest program producing it. The second, Shannon information…
We model continuous-time information flows generated by a number of information sources that switch on and off at random times. By modulating a multi-dimensional Lévy random bridge over a random point field, our framework relates the discovery of relevant new information sources to jumps in conditional expectation mart…
Identifying features that leak information about sensitive attributes is a key challenge in the design of information obfuscation mechanisms. In this paper, we propose a framework to identify information-leaking features via information density estimation. Here, features whose information densities exceed a pre-defined…
Proposes indifference pricing to estimate weak information value.
The background for the general mathematical link between utility and information theory investigated in this paper is a simple financial market model with two kinds of small traders: less informed traders and insiders, whose extra information is represented by an enlargement of the other agents' filtration. The expecte…
The paper introduces submodular information measures for machine learning applications.
In modern recommender systems, both users and items are associated with rich side information, which can help understand users and items. Such information is typically heterogeneous and can be roughly categorized into flat and hierarchical side information. While side information has been proved to be valuable, the maj…