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.
Neural networks learn distance-based representations, not just intensity.
Exact simulation method for market impact estimation under various execution strategies.
Machine Learning models have been shown to be vulnerable to adversarial examples, ie. the manipulation of data by a attacker to defeat a defender's classifier at test time. We present a novel probabilistic definition of adversarial examples in perfect or limited knowledge setting using prior probability distributions o…
Given a stationary point process, an intensity burst is defined as a short time period during which the number of counts is larger than the typical count rate. It might signal a local non-stationarity or the presence of an external perturbation to the system. In this paper we propose a novel procedure for the detection…
Deep neural networks are susceptible to adversarial manipulations in the input domain. The extent of vulnerability has been explored intensively in cases of -bounded and -minimal adversarial perturbations. However, the vulnerability of DNNs to adversarial perturbations with specific statistical properti…
We consider the problem of identifying current coupons for Agency backed To-be-Announced (TBA) Mortgage Backed Securities. In a doubly stochastic factor based model which allows for prepayment intensities to depend upon current and origination mortgage rates, as well as underlying investment factors, we identify the cu…
Study exact community detection in k-community Gaussian mixtures with different intensities.
Adversarial examples are inputs intentionally perturbed with the aim of forcing a machine learning model to produce a wrong prediction, while the changes are not easily detectable by a human. Although this topic has been intensively studied in the image domain, classification tasks in the audio domain have received les…
PARADE generates provably robust adversarial examples for deep networks.
In this paper, we propose an efficient Monte Carlo implementation of non-linear FBSDEs as a system of interacting particles inspired by the ideas of branching diffusion method. It will be particularly useful to investigate large and complex systems, and hence it is a good complement of our previous work presenting an a…
Proposes a new method to improve deep model security against adversarial deformations.
FCNv2 robustness tested under noise and random initial conditions.
Continuous-time Kyle model shows privacy subsidy from noise-perturbed order flow.
Modern weather forecast models perform uncertainty quantification using ensemble prediction systems, which collect nonparametric statistics based on multiple perturbed simulations. To provide accurate estimation, dozens of such computationally intensive simulations must be run. We show that deep neural networks can be …
Geometric focusing affects dispersive estimates for Schrödinger and wave equations.
The existence of adversarial data examples has drawn significant attention in the deep-learning community; such data are seemingly minimally perturbed relative to the original data, but lead to very different outputs from a deep-learning algorithm. Although a significant body of work on developing defensive models has …
Generalised Degrees of Freedom (GDF), as defined by Ye (1998 JASA 93:120-131), represent the sensitivity of model fits to perturbations of the data. As such they can be computed for any statistical model, making it possible, in principle, to derive the number of parameters in machine-learning approaches. Defined origin…
Neural Diffusion Intensity Models simplify Cox processes inference.
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to diverse models of bankruptcy. One "stylized fact" is fundamental for our considerati…
Bayesian approach for inhomogeneous Poisson process intensity estimation.
The risk-neutral option pricing method under GARCH intensity model is examined. The GARCH intensity model incorporates the characteristics of financial return series such as volatility clustering, leverage effect and conditional asymmetry. The GARCH intensity option pricing model has flexibility in changing the volatil…
Method uses deep learning to estimate traffic intensity.
The paper analyzes conditions for solving low-rank matrix recovery problems with noisy measurements.
A new kernel method improves Poisson process intensity estimation.
Study identifies two borrowing patterns in UK payday loan users.
Locally private algorithm improves online federated learning with correlated noise.
Model predicts bid and ask price dynamics with spread-dependent intensities.
This paper discusses properties of a Doubly Stochastic Poisson Process (DSPP) where the intensity process belongs to a class of affine diffusions. For any intensity process from this class we derive an analytical expression for probability distribution functions of the corresponding DSPP. A specification of our results…
We provide analytical pricing formula of corporate defaultable bond with both expected and unexpected default in the case with stochastic default intensity. In the case with constant short rate and exogenous default recovery using PDE method, we gave some pricing formula of the defaultable bond under the conditions tha…
We propose a novel method for automatic pain intensity estimation from facial images based on the framework of kernel Conditional Ordinal Random Fields (KCORF). We extend this framework to account for heteroscedasticity on the output labels(i.e., pain intensity scores) and introduce a novel dynamic features, dynamic ra…
The paper analyzes multivariate Hawkes processes and their induced population processes.
New method models intensity functions on spheres using normalizing flows.
Adversarial examples have emerged as a significant threat to machine learning algorithms, especially to the convolutional neural networks (CNNs). In this paper, we propose two quantization-based defense mechanisms, Constant Quantization (CQ) and Trainable Quantization (TQ), to increase the robustness of CNNs against ad…
New findings allow infinite mean intensity Hawkes processes to be stable.
We introduce a Cox-type model for relative intensities of orders flows in a limit order book. The model assumes that all intensities share a common baseline intensity, which may for example represent the global market activity. Parameters can be estimated by quasi likelihood maximization, without any interference from …
The present paper introduces a jump-diffusion extension of the classical diffusion default intensity model by means of subordination in the sense of Bochner. We start from the bi-variate process of a diffusion state variable driving default intensity and a default indicator process and time change it wi…
Developing a semi-analytical approximation for general default intensity models
New method models MTPP without predefined intensity functions.
We introduce a Markovian single point process model, with random intensity regulated through a buffer mechanism and a self-exciting effect controlling the arrival stream to the buffer. The model applies the principle of the Hawkes process in which point process jumps generate a shot-noise intensity field. Unlike the Ha…
The segmentation of the breast from the chest wall is an important first step in the analysis of breast magnetic resonance images. 3D U-nets have been shown to obtain high segmentation accuracy and appear to generalize well when trained on one scanner type and tested on another scanner, provided that a very similar T1-…
It is well-known from the work of Schönbucher (2005) that the marginal laws of a loss process can be matched by a unit increasing time inhomogeneous Markov process, whose deterministic jump intensity is called local intensity. The Stochastic Local Intensity (SLI) models such as the one proposed by Arnsdorf and Halperin…
A temporal point process is a mathematical model for a time series of discrete events, which covers various applications. Recently, recurrent neural network (RNN) based models have been developed for point processes and have been found effective. RNN based models usually assume a specific functional form for the time c…
For a congruence of straight lines defined by a hypersurface in and a field of reflected directions created by a point source we define the notion of intensity in a tangent direction and introduce elementary symmetric functions of {\it principal intensities}. The problem of exi…
In this paper we consider a reduced-form intensity-based credit risk model with a hidden Markov state process. A filtering method is proposed for extracting the underlying state given the observation processes. The method may be applied to a wide range of problems. Based on this model, we derive the joint distribution …
Generative model evaluates text emotion intensity, outperforming classification.
A novel method for efficiently integrating spatiotemporal point processes.
We consider the intensity-based approach for the modeling of default times of one or more companies. In this approach the default times are defined as the jump times of a Cox process, which is a Poisson process conditional on the realization of its intensity. We assume that the intensity follows the Cox-Ingersoll-Ross …
Locates entanglement in curves using knot intensity distribution.