The paper tackles restless bandits with limited observation, proposing a method to analyze and approximate their optimal strategies.
problem Restless bandits with limited observation.
method General probabilistic model, PCL analysis, and approximation process.
result The proposed method can transform the problem into a finite-state problem, enabling the use of existing algorithms.
New taxonomy reveals different detection limits for various types of fraud.
problem Existing fraud detection treats all fraud as the same, ignoring its diverse forms.
method Introduced an observation-mechanism taxonomy with five fraud classes.
result Separate estimation by fraud class outperforms pooled estimation.
Study shows observability for Schrödinger equations on product manifolds with specific conditions.
problem Observability of Schrödinger equations on product manifolds with product metrics.
method Proof of observability in finite time on open subsets satisfying Vertical Geometric Control Condition, under gap condition on spectrum of F(g).
result Observability on ω for the Schrödinger equation is strictly weaker than Geometric Control Condition on product of spheres.
Proposes a sensitivity framework to handle limited overlap in causal inference.
problem Limited overlap between treated and control groups in observational studies.
method Sensitivity framework based on worst-case confidence bounds on bias introduced by trimming.
result Protects against spurious findings by quantifying uncertainty in regions with limited overlap.
The paper creates nonparametric confidence bands for band-limited functions.
problem Estimating confidence bands for band-limited functions with finite samples and unknown noise.
method Uses Paley-Wiener reproducing kernel Hilbert spaces and gradient-perturbation methods.
result Non-asymptotic guarantees for confidence regions without assuming a parametric model.
Framework uses physics knowledge to improve spatiotemporal prediction with limited data.
problem Challenges in modeling physical systems with limited real-world data.
method Physics-aware meta-learning with auxiliary tasks, incorporating PDE-independent spatial and temporal modules.
result Framework outperforms in spatiotemporal prediction tasks with limited data.
Study uses surrogate data to improve treatment effect estimation with scarce outcome data.
problem Limited outcome data hinders estimating treatment effects.
method Uses abundant surrogate data to estimate treatment effects without stringent assumptions.
result Improves precision of treatment effect estimation.
A new algorithm for resource-aware multi-armed bandits minimizes regret.
problem Optimizing resource usage in a multi-armed bandit problem with censored observations.
method UCB-inspired online learning algorithm with theoretical regret analysis.
result The proposed algorithm outperforms standard multi-armed bandit algorithms in simulations.
The paper establishes a central limit theorem for estimating the influence parameter in a partially observed Hawkes process system.
problem Estimating the influence parameter in a partially observed Hawkes process system.
method Central limit theorem applied to an estimator of the influence parameter in a partially observed system of Hawkes processes.
result Establishes a central limit theorem for the estimator of the influence parameter under the subcritical condition.
We derive a continuous time model for the joint evolution of the mid price and the bid-ask spread from a multiscale analysis of the whole limit order book (LOB) dynamics. We model the LOB as a multiclass queueing system and perform our asymptotic analysis using stylized features observed empirically. We argue that in t…
Observational data is increasingly used as a means for making individual-level causal predictions and intervention recommendations. The foremost challenge of causal inference from observational data is hidden confounding, whose presence cannot be tested in data and can invalidate any causal conclusion. Experimental dat…
A Hawkes process with state-dependent factor models order flows in limit order books.
problem Modeling order flows in limit order books for better market prediction.
method A Hawkes process with a state-dependent factor for conditional intensity estimation.
result State-dependent formulations improve the fit of LOB models to financial data.
New method uses neural networks to identify sources from limited data in complex systems.
problem Identifying sources from noisy and limited data in high-dimensional systems.
method Calibrating deep neural network surrogates to ensemble simulations and using Bayesian optimization for source identification.
result Reliable source identification with uncertainty quantification using limited data and auxiliary processes.
We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orders and the time to cancel (TTC) for canceled ones in a double auction market. We find that the distribution of all three quantities decays a…
We propose a method to model multi-agent behaviors with limited observation and mechanical constraints.
problem Modeling real-world multi-agent behaviors with limited observation and mechanical constraints.
method Decentralized generative models with partial observation and mechanical constraints based on hierarchical variational recurrent neural networks.
result Our method effectively models and predicts biologically plausible behaviors with minimal constraint violations.
In this paper, we consider the streaming memory-limited matrix completion problem when the observed entries are noisy versions of a small random fraction of the original entries. We are interested in scenarios where the matrix size is very large so the matrix is very hard to store and manipulate. Here, columns of the o…
Efficiently learns Ising model parameters with limited statistics.
problem Learning Ising model parameters with limited sample configurations.
method Examines trade-offs between computation and observation, using Ising model as example.
result Reconstructs model parameters with statistics up to order O(γ) for ℓ1 width γ. Paper improves neural ODEs for forecasting non-Markovian processes.
problem Forecasting irregularly observed time series with incomplete data.
method Path-dependent Neural Jump ODEs with signature transform.
result Path-dependent NJ-ODE outperforms original framework in non-Markovian data.
We consider arbitrage free valuation of European options in Black-Scholes and Merton markets, where the general structure of the market is known, however the specific parameters are not known. In order to reflect this subjective uncertainty of a market participant, we follow a Bayesian approach to option pricing. Here …
Improved cumulative regret for sequence prediction with limited expert advice.
problem Minimizing cumulative regret in sequence prediction with limited information.
method Convex combination of experts with limited observation, achieving constant regret.
result Strategies achieve constant regret independent of the horizon T, improving over standard bounds.
We present results about financial market observables, specifically returns and traded volumes. They are obtained within the current nonextensive statistical mechanical framework based on the entropy Sq=k1−q1−i=1∑Wpiq(q∈ℜ) ($S_{1} \equiv S_{BG}=-k\sum\limits_{i=1}^{W}p_{i} \l…
I consider the problem of the optimal limit order price of a financial asset in the framework of the maximization of the utility function of the investor. The analytical solution of the problem gives insight on the origin of the recently empirically observed power law distribution of limit order prices. In the framewor…
In this paper we present a novel approach to the determination of fat tails in financial data by studying the information contained in the limit order book. In an order-driven market buyers and sellers may submit limit orders, which are executed when the price touches a pre-specified lower, respectively higher, limit-p…
Paper explores statistical and computational limits of estimating low-rank Gaussian mixtures.
problem Estimating low-rank matrix-variate observations with optimal statistical and computational limits.
method Low-rank Gaussian mixture model (LrMM) and minimax lower bounds.
result Minimax optimality of maximum likelihood estimator and spectral aggregation method.
SIMPGEN improves SWOT SSH data interpretation by removing noise and preserving fine-scale features.
problem Noisy data and limited fine-scale observations in oceanic processes.
method Simulation-Informed Metric and Prior for Generative Ensemble Networks (SIMPGEN) combining real SWOT observations with simulated reference data.
result SIMPGEN effectively removes noise, preserving fine-scale features better than existing neural methods.
Theoretical limits show experimental data can falsify but not validate causal estimates from observational studies.
problem Fundamental limits on validating causal estimates using experimental data in observational studies.
method Impossible inference framework, Gaussian Process based approach.
result Experimental data can falsify but not validate causal estimates from observational studies.
Graph neural networks learn PDEs from sparse, irregular data.
problem Learning PDEs from irregularly spaced data.
method Continuous-time differential model with graph neural networks for arbitrary discretizations.
result Efficient inference with continuous-time adjoint method.
We generalize the observable diameter and the separation distance for metric measure spaces to those for pyramids, and prove some limit formulas for these invariants for a convergent sequence of pyramids. We obtain various applications of our limit formulas as follows. We have a criterion of the phase transition proper…
Improves estimation of financial market models using limited data.
problem Limited data and computational constraints in estimating financial market models.
method Analyzed ergodic properties of moment functions and used Monte Carlo experiments.
result Understanding ergodic properties can improve estimation of financial market models.
Study finds exact limits for sparse regression with fewer observations than usual.
problem Understanding sparse linear regression with sublinear sparsity.
method Adaptive interpolation method and modified AMP algorithm.
result Exact asymptotic expressions for mutual information and MMSE in sublinear sparsity.
Learning a model of dynamics from high-dimensional images can be a core ingredient for success in many applications across different domains, especially in sequential decision making. However, currently prevailing methods based on latent-variable models are limited to working with low resolution images only. In this wo…
Stein showed that the multivariate sample mean is outperformed by "shrinking" to a constant target vector. Ledoit and Wolf extended this approach to the sample covariance matrix and proposed a multiple of the identity as shrinkage target. In a general framework, independent of a specific estimator, we extend the shrink…
The paper explores how to learn from incomplete online social networks.
problem Learning from partially observed networks via node querying.
method Developed algorithms NOL* for sequential node querying to maximize network observability.
result It is possible to sequentially learn which nodes to query for maximal network observability.
Semistatic trading strategies can be taken to limits in discrete time.
problem Limits of semistatic trading strategies in discrete time.
method Analysis in full generality for a two-period model, and under a probabilistic condition for multi-period, multi-stock models.
result Pointwise limits of semistatic trading strategies are again semistatic strategies.
Training deep learning models that generalize well to live deployment is a challenging problem in the financial markets. The challenge arises because of high dimensionality, limited observations, changing data distributions, and a low signal-to-noise ratio. High dimensionality can be dealt with using robust feature sel…
The paper sets limits on the accuracy of macroeconomic forecasts based on statistical moments and trade volumes.
problem Uncertainty in predicting macroeconomic variables like prices and returns.
method Defines theoretical lower bounds of uncertainty and upper limits on forecast accuracy based on statistical moments and trade volumes.
result Accuracy of forecasts of probabilities of macroeconomic variables doesn't exceed Gaussian approximations.
The paper develops a method to predict the latent deterioration phase in limit order books before stress is observed.
problem Limit order books can transition rapidly from stable to stressed conditions, making it difficult to detect the latent deterioration phase.
method The paper formalizes a three-regime causal data-generating process and proposes a trigger-based detector combining MAX aggregation of complementary signal channels, a rising-edge condition, and adaptive thresholding.
result The proposed method achieves mean lead-time of +18.6 timesteps with perfect precision and moderate coverage, outperforming classical change-point and microstructure baselines.
Paper tackles HMM learning with unknown missing observation locations.
problem Learning HMMs with missing data locations unknown.
method Proposes reconstruction algorithms without structural assumptions.
result Can reconstruct process dynamics as if missing locations were known.
Proof confirms preservation of projective limits in synthetic differential geometry.
problem Prove preservation of projective limits in synthetic differential geometry.
method Detailed proof using synthetic differential geometry and Cahiers topos.
result Projective limits preserved in synthetic differential geometry.
Meta two-sample testing uses auxiliary data to quickly find powerful tests from limited samples.
problem Challenges in identifying powerful kernels for distinguishing complex distributions with limited data.
method Introduces meta two-sample testing (M2ST) to leverage abundant auxiliary data on related tasks.
result Proposed algorithms improve over baselines and identify powerful tests from scarce observations.
Paper shows limits of Heisenberg manifolds are flat tori.
problem Understanding limits of sub-Riemannian Heisenberg manifolds.
method Analyzes collapsed Gromov--Hausdorff limits of compact Heisenberg manifolds.
result Collapsed limits are isometric to flat tori.
Departing from the observation that the Penrose limit of AdS_3 x S^3 is a group contraction in the sense of Inonu and Wigner, we explore the relation between the symmetric D-branes of AdS_3 x S^3 and those of its Penrose limit, a six-dimensional symmetric plane wave analogous to the four-dimensional Nappi--Witten space…
With the proliferation of algorithmic high-frequency trading in financial markets, the Limit Order Book has generated increased research interest. Research is still at an early stage and there is much we do not understand about the dynamics of Limit Order Books. In this paper, we employ a machine learning approach to i…
The paper examines mass aspects at future null infinity and limits of quasilocal mass.
problem Understanding mass aspects and limits of quasilocal mass at future null infinity.
method Review and extension of Bondi mass and mass loss formula in Bondi-Sachs coordinate system.
result New results about the limit of quasilocal mass of unit spheres at null infinity.
Maximum Likelihood Estimation (MLE) is the bread and butter of system inference for stochastic systems. In some generality, MLE will converge to the correct model in the infinite data limit. In the context of physical approaches to system inference, such as Boltzmann machines, MLE requires the arduous computation of pa…
PINNs solve neuronal parameter and state estimation problems with limited data.
problem Estimating parameters and hidden state variables from noisy partial data in multiscale neuronal models.
method Physics-informed neural networks (PINNs) for joint state and parameter estimation.
result PINNs deliver robust and accurate parameter inference and state reconstruction, even with limited data.
Study on order book dynamics with uniform catastrophes, explaining volatility and trends.
problem Understanding volatility and trends in financial markets with different types of liquidity.
method Stochastic models and population processes with uniform catastrophes.
result Law of large numbers, central limit theorem, and large deviations proved for the model.
A novel Hawkes Process model captures order sizes in LOBs, improving fit quality and market impact studies.
problem Capturing the variability in order sizes in Limit Order Books (LOBs).
method Compound Hawkes Process with time-varying parameters and non-parametric calibration.
result Improved fit quality and empirical market impact function replication.