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.
New equivalences found between subsampling and ridge regularization methods.
problem Establishing precise structural and risk equivalences between subsampling and ridge regularization.
method Proved structural and risk equivalences between subsample ridge estimators and different ridge regularization levels and subsample aspect ratios.
result Optimally tuned ridge regression exhibits a monotonic prediction risk in the data aspect ratio.
We present an elementary analysis of the dynamical aspects of the GDP / government surplus multiplier with relevance to the assessment of a country's debt repayment policy. We show the (at first) counter intuitive result that in order to reduce the Debt/GDP ratio, countries with high Debt to GDP should go into further …
Multicomponent bilayer structures arise as the ubiquitous plasma membrane in cellular biology and as blends of amphiphilic copolymers used in electrolyte membranes, drug delivery, and emulsion stabilization within the context of synthetic chemistry. We develop the multicomponent functionalized Cahn-Hilliard (mFCH) free…
Importance weighting is a general way to adjust Monte Carlo integration to account for draws from the wrong distribution, but the resulting estimate can be highly variable when the importance ratios have a heavy right tail. This routinely occurs when there are aspects of the target distribution that are not well captur…
We present a reinforcement learning approach for detecting objects within an image. Our approach performs a step-wise deformation of a bounding box with the goal of tightly framing the object. It uses a hierarchical tree-like representation of predefined region candidates, which the agent can zoom in on. This reduces t…
It had been believed in the conventional practice that the risk of a bank going bankrupt is lessened in a straightforward manner by transferring the risk of loan defaults. But the failure of American International Group in 2008 posed a more complex aspect of financial contagion. This study presents an extension of the …
We study two aspects of noisy computations during inference. The first aspect is how to mitigate their side effects for naturally trained deep learning systems. One of the motivations for looking into this problem is to reduce the high power cost of conventional computing of neural networks through the use of analog ne…
The systolic ratio of a contact form on a closed three-manifold is the quotient of the square of the shortest period of closed Reeb orbits by the contact volume. We show that every co-orientable contact structure on any closed three-manifold is defined by a contact form with arbitrarily large systolic ratio. This shows…
Aspect-level sentiment classification (ASC) aims at identifying sentiment polarities towards aspects in a sentence, where the aspect can behave as a general Aspect Category (AC) or a specific Aspect Term (AT). However, due to the especially expensive and labor-intensive labeling, existing public corpora in AT-level are…
Let (M,g) be a closed, oriented, Riemannian manifold of dimension m. We call a systole a shortest non-contractible loop in (M,g) and denote by sys(M,g) its length. Let SR(M,g)=vol(M,g)sys(M,g)m be the systolic ratio of (M,g). Denote by SR(k) the supremum of SR(S,g) among the surfaces of fixe…
The paper examines the unexpected losses and risk ratios for co-monotonic alternatives in large portfolios.
problem Understanding the unexpected losses and risk ratios for large portfolios with co-monotonic alternatives.
method Analyzes the asymptotic behavior of unexpected losses and risk ratios for co-monotonic alternatives using monotone cash-additive risk measures and Choquet insurance premia.
result Unexpected losses of large weighted portfolios are of order o(nλn), where λn is the average weight.
Optimal reinsurance balances risk over surplus ratios for risk-adjusted surplus.
problem Balancing risk over surplus ratios in reinsurance contracts.
method Analyzes reinsurance contracts using Value at Risk and expected surplus ratio, derives simplifications for large portfolios, and considers approximations of the optimum portfolio.
result One or two-layer contracts are optimal for both risk-adjusted surplus and risk over expected surplus ratio, but no second layer for large portfolios or below certain reinsurance prices.
This paper introduces a simple and efficient density estimator that enables fast systematic search. To show its advantage over commonly used kernel density estimator, we apply it to outlying aspects mining. Outlying aspects mining discovers feature subsets (or subspaces) that describe how a query stand out from a given…