Click-through rate~(CTR) prediction, whose goal is to estimate the probability of the user clicks, has become one of the core tasks in advertising systems. For CTR prediction model, it is necessary to capture the latent user interest behind the user behavior data. Besides, considering the changing of the external envir…
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48 results for “interest”
Study examines time-varying betas and their volatility in bank interest income and expense margins.
problem Understanding the variability of bank betas and their impact on net interest margins.
method Used state-space methods to estimate time-varying betas and conditional volatility.
result Substantial variation in interest income and expense betas, leading to varying net interest margin coefficients.
MRIF models dynamic user interests at multiple temporal-ranges.
problem Capturing dynamic and multi-resolution user interests in recommendation.
method Multi-resolution Interest Fusion (MRIF) model that considers both temporal-ranges and drifts in user interests.
result MRIF outperforms state-of-the-art recommendation methods consistently.
Interest Rates and Inflationecon.GN
This article is an extension of the work of one of us (Coopersmith, 2011) in deriving the relationship between certain interest rates and the inflation rate of a two component economic system. We use the well-known Fisher relation between the difference of the nominal interest rate and its inflation adjusted value to e…
There are more than eight hundred interest rates published in China bond market every day. Which are the benchmark interest rates that have broad influences on most interest rates is a major concern for economists. In this paper, multi-variable Granger causality test is developed and applied to construct a directed net…
We give a rough sketch of the Judaic, Greek, Islamic and Christian positions in the matter of interest prohibition during the last few millennia and discuss the way in which interest prohibition is dealt with in Islamic finance, the problems with authority-based arguments for interest prohibition, and the prospects of …
Interest prohibition theory concerns theoretical aspects of interest prohibition. We attempt to lay down some aspects of interest prohibition theory wrapped in a larger framework of informal logic. The reason for this is that interest prohibition theory has to deal with a variety of arguments which is so wide that a li…
It is argued that arguments for strict prohibition of interests must be based on the use of arguments from authority. This is carried out by first making a survey of so-called dialectical roots for interest prohibition and then demonstrating that for at least one important positive interest bearing financial product, t…
The currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk is uninhibited and the …
This research improves DeFi interest rates using a PID control system.
problem Lack of adaptive interest rates in DeFi money markets.
method Introduces a time-weighted PID control system for interest rate management.
result Adaptive interest rates improve risk mitigation and market utilization.
New method learns temporal abstractions by defining interest functions.
problem Learning temporal abstractions with limited, variable durations.
method Introduced interest functions to define initiation sets, enabling gradient-based learning.
result Demonstrated effectiveness in discrete and continuous environments.
Model analyzes debt recycling strategies under various fiscal regimes and jurisdictions.
problem Understanding debt recycling dynamics and their impact on repayment times and equity growth.
method Developed a calibrated model incorporating mortgage interest rates, borrowing costs, and tax shields.
result Introducing positive interest rates without tax shields contracts success regions and lengthens repayment times, but tax shields partially reverse these effects.
Interest rates mappingq-fin.ST
The present study deals with the analysis and mapping of Swiss franc interest rates. Interest rates depend on time and maturity, defining term structure of the interest rate curves (IRC). In the present study IRC are considered in a two-dimensional feature space - time and maturity. Geostatistical models and machine le…
Industrial recommender systems usually consist of the matching stage and the ranking stage, in order to handle the billion-scale of users and items. The matching stage retrieves candidate items relevant to user interests, while the ranking stage sorts candidate items by user interests. Thus, the most critical ability i…
Study proposes optimal risk-aware interest rates for crypto lending protocols.
problem Determining optimal interest rates for decentralized lending protocols to maximize profit and minimize risk.
method Agent-based model, Riccati-type ODEs for linear behaviors, Monte-Carlo estimator and deep learning for nonlinear behaviors.
result Calibrated model shows superior risk-adjusted performance compared to industry-standard interest rate models.
A long user history inevitably reflects the transitions of personal interests over time. The analyses on the user history require the robust sequential model to anticipate the transitions and the decays of user interests. The user history is often modeled by various RNN structures, but the RNN structures in the recomme…
Enhances valuation of variable annuities with stochastic interest rate models.
problem Valuation and optimal surrender strategies for variable annuities in Lévy models.
method Hybrid numerical method combining tree methods for interest rate modeling and finite difference techniques for asset price.
result Influence of stochastic interest rates on surrender decisions and contract design.
We analyze the classical model of compound interest with a constant per-period payment and interest rate. We examine the outstanding balance function as well as the periodic payment function and show that the outstanding balance function is not generally concave in the interest rate, but instead may be initially convex…
Improved neural model for social recommendation by integrating social and interest networks.
problem Data sparsity and lack of higher-order relationships in social recommendation.
method DiffNet++ models neural influence diffusion and interest diffusion in a unified framework using a multi-level attention network.
result Extensive experiments on real-world datasets show the effectiveness of DiffNet++.
This paper examines interest rates and market efficiency in DeFi loanable funds protocols.
problem Equilibrium of supply and demand for loanable funds in DeFi protocols.
method Review of interest rate mechanisms in Compound, Aave, and dYdX; empirical analysis of market efficiency and inter-connectedness.
result Interest rate rules in DeFi protocols do not always equilibrate supply and demand.
The study shows interest rates impact investment and funding negatively but positively on dividend decisions.
problem The effect of interest rates on financial decisions like investment, funding, and dividend.
method Correlation coefficient analysis and descriptive methods.
result Interest rates have a negatively insignificant effect on investment and funding decisions, but positively moderate effect on dividend decisions.
Polynomially parametrize interesting knotted surfaces.
problem Constructing polynomial parametrizations of knotted surfaces.
method Develop polynomial parametrization methods for specific knotted surfaces.
result Examples of polynomial parametrizations for knotted spheres, tori, and planes.
Derives equations for life insurance reserves with interest rate uncertainty.
problem Life insurance reserves with stochastic interest rates.
method Partial differential equations for reserves under stochastic interest rates.
result Explicit solutions for reserves under specific models.
New bandit algorithms adapt to evolving user interests influenced by social circles.
problem Adapting to evolving user interests in recommendation systems.
method Online recommendation algorithms tailored for social influence, based on LinREL and Thompson Sampling.
result Our adaptations maintain asymptotic regret bounds similar to non-social cases.
Proposes DTS framework to predict CTR by tracking user interest evolution over time.
problem Predicting CTR by ignoring dynamic user interest changes over time.
method Integrates time information using ODEs in a neural network to model interest evolution.
result Achieves superior CTR prediction performance compared to existing methods.
Quantum computing speeds up interest rate derivative pricing using LMM.
problem Challenges in pricing interest rate derivatives, especially caps.
method Hybrid classical-quantum approach using quantum amplitude estimation.
result Quantum computing improves convergence in pricing interest rate derivatives.
The paper models stochastic interest rates for life insurance using phase-type distributions.
problem Modeling stochastic interest rates in life insurance with matrix approach.
method Integrates piecewise deterministic interest rates into a Markov jump process framework.
result Explicit formulas for reserves and future payments can be derived.
We generalize a money demand micro-founded model to explain Romanians' recent loss of interest for the euro. We show that the reason behind this loss of interest is a severe decline in the relative degree of the euro liquidity against that of the Romanian leu.
Cluster analysis methods are used to identify homogeneous subgroups in a data set. In biomedical applications, one frequently applies cluster analysis in order to identify biologically interesting subgroups. In particular, one may wish to identify subgroups that are associated with a particular outcome of interest. Con…
Developed unbiased estimators for Heston model with stochastic interest rates.
problem Estimating the Heston model with stochastic interest rates.
method Combined unbiased estimators with the Heston model and developed a semi-exact log-Euler scheme.
result Convergence rate of in the norm for a wide range of models.
On pricing of interest rate derivativescond-mat.stat-mech
At present, there is an explosion of practical interest in the pricing of interest rate (IR) derivatives. Textbook pricing methods do not take into account the leptokurticity of the underlying IR process. In this paper, such a leptokurtic behaviour is illustrated using LIBOR data, and a possible martingale pricing sche…
The paper analyzes insurance risks using stochastic models.
problem Interest rate and variance risks in unit-linked insurance policies.
method General stochastic volatility models and stochastic interest rates are used to price unit-linked life insurance contracts.
result A perfect hedging strategy is provided and compared with the Black-Scholes model.
Long-range dependence in Interest Rates and Monetary Policyphysics.data-an
This paper studies the dynamics of Brazilian interest rates for short-term maturities. The paper employs developed techniques in the econophysics literature and tests for long-range dependence in the term structure of these interest rates for the last decade. Empirical results suggest that the degree of long-range depe…
Numerical approximation of hybrid Poisson-jump Ait-Sahalia-type interest rate model with delayq-fin.RM
This paper modifies the Ait-Sahalia model to better describe interest rate behaviors.
problem Inadequate specifications of the original Ait-Sahalia model to explain various interest rate phenomena.
method Proposes a modified hybrid Poisson-jump Ait-Sahalia model and uses truncated EM techniques for numerical approximation.
result Validates the modified model using Monte Carlo simulations for bond and barrier option payoffs.
Study uses ML to analyze how interest rates affect fund returns, finding gradient boosting is effective.
problem Understanding how interest rate changes impact fund returns.
method Combines Machine Learning and causal inference, using Double Machine Learning framework.
result Gradient boosting is useful for predicting fund returns, showing a significant negative effect of interest rate increases.
ComiRec framework predicts user interests for personalized recommendations.
problem Predicting user interests from sequential behavior data.
method ComiRec framework captures multiple user interests and balances recommendation accuracy and diversity.
result ComiRec achieves significant improvements over state-of-the-art models in sequential recommendation.
We study the problem of generating interesting endings for stories. Neural generative models have shown promising results for various text generation problems. Sequence to Sequence (Seq2Seq) models are typically trained to generate a single output sequence for a given input sequence. However, in the context of a story,…
By employing the technique of enlargement of filtrations, we demonstrate how to incorporate information about the future trend of the stochastic interest rate process into a financial model. By modeling the interest rate as an affine diffusion process, we obtain explicit formulas for the additional expected logarithmic…
Currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk is uninhibited and the mark…
It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term structure of interest rates, as introduced in 1985, is inadequate for modelling the current market environment with negative short interest rates. Moreover, the diffusion term in the rate dynamics goes to zero when short rates are sma…
Online Peer to Peer Lending (P2PL) systems connect lenders and borrowers directly, thereby making it convenient to borrow and lend money without intermediaries such as banks. Many recommendation systems have been developed for lenders to achieve higher interest rates and avoid defaulting loans. However, there has not b…
Develops European power option pricing under correlated interest rate and asset processes.
problem Pricing European power options under correlated interest rate and asset processes.
method Martingale method and Girsannov transform.
result Derives European power option pricing formulae under two market assumptions.
This paper studies the payoff amounts in simple interest loans without arbitrage.
problem Understanding the payoff amounts in simple interest loans without arbitrage.
method Developed a formula for the payoff amount for simple interest loans, studied within a model of a loan market.
result The sequence of payoff amounts is increasing before a certain critical time and then decreasing.
Study pricing of American put options with stochastic interest rate and finite maturity.
problem Pricing American put options with stochastic interest rate and finite maturity.
method Applied stochastic calculus and Ito's lemma to derive the option value's formula and optimal exercise boundary.
result Existence and parametrisation of the optimal exercise boundary for the Vasicek model.
We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX rates can be performed effciently through the FFT methodology thanks to the affinit…
Performance attribution with respect to interest rates, FX, carry, and residual market risksq-fin.RM
Method to decompose portfolio performance into FX, interest rate, carry, and residual market risks.
problem Understanding the sources of portfolio performance.
method Decomposition of portfolio PnL into four components.
result Demonstrated usefulness of the method through fund performance analysis.
This paper presents empirical evidence using recently developed techniques in econophysics suggesting that the degree of long-range dependence in interest rates depends on the conduct of monetary policy. We study the term structure of interest rates for the US and find evidence that global Hurst exponents change dramat…
Proposes a new model to handle negative interest rates using CIR framework.
problem Negative interest rates and their impact on financial markets.
method Develops a new model based on Cox-Ingersoll-Ross (CIR) framework without shifting market rates.
result The model accurately reproduces market term structures and swaption prices.