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arXiv research

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.

168,657 papers · 148 categories

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3517021,0531,404 · Jun 202019922001200920172026
48 results for linear-fractional models

Method predicts LFSM increments from past observations using codifference.

problem Forecasting LFSM increments from discrete-time observations.
method Uses codifference for serial dependence, with conditional expectation or projection for α>1α>1 or α<2α<2.
result Method shows promising performance in forecasting volatilities, capturing kurtosis and serial dependence.

A method for finding most influential sets reduces a complex problem to a sequence of simpler top-kk problems.

problem Identifying most influential subsets in complex models.
method Reduces the problem to a sequence of top-kk problems using Dinkelbach's method.
result The method returns a globally optimal set for the univariate ratio objective, including partial linear models.

New classifiers ensure fairness by adjusting a base classifier's operating characteristics.

problem Ensuring fairness in binary classification with multiple group constraints.
method Intervening directly on a base classifier's operating characteristics using group-wise ROC convex hulls and post-processing.
result Methods satisfy multiple fairness constraints (DP, EO, PP) with minimal interventions and near-oracle accuracy.

New framework for fair classification in adversarial settings with provable guarantees.

problem Fairness in classification with adversarial perturbations of protected attributes.
method Optimization framework for learning fair classifiers with provable guarantees.
result Near-tightness of accuracy and fairness guarantees for multiple protected attributes and various hypothesis classes.

Deep learning improves Hurst parameter estimation for fractional processes.

problem Estimating the Hurst parameter in fractional stochastic processes.
method Training Long Short-Term Memory (LSTM) networks on extensive datasets of fBm, fOU, and lfsm processes.
result LSTM outperforms traditional methods in fBm and fOU processes but has limited accuracy on lfsm.

For each n>0n > 0 there is a one complex parameter family of homeomorphisms of the circle consisting of linear fractional transformations `conjugated by zznz \to z^n'. We show that these families are free of relations, which determines the structure of `the group of homeomorphisms of finite type'. We also discuss a numbe…

2014-08-23abs ↗pdf ↗

H. Sato introduced a Schwarzian derivative of a contactomorphism of three-dimensional Euclidean space and with T. Ozawa described its basic properties. In this note their construction is extended to all odd dimensions and to non-flat contact projective structures. The contact projective Schwarzian derivative of a conta…

2004-05-19abs ↗pdf ↗

Continuous time random walks impose a random waiting time before each particle jump. Scaling limits of heavy tailed continuous time random walks are governed by fractional evolution equations. Space-fractional derivatives describe heavy tailed jumps, and the time-fractional version codes heavy tailed waiting times. Thi…

2008-09-09abs ↗pdf ↗

We construct a local action of the group of rational maps from S2S^2 to GL(n,C)GL(n,C) on local solutions of flows of the ZS-AKNS sl(n,C)sl(n,C)-hierarchy. We show that the actions of simple elements (linear fractional transformations) give local Bäcklund transformations, and we derive a permutability formula from different fact…

1998-05-18abs ↗pdf ↗

Given a binary prediction problem, which performance metric should the classifier optimize? We address this question by formalizing the problem of Metric Elicitation. The goal of metric elicitation is to discover the performance metric of a practitioner, which reflects her innate rewards (costs) for correct (incorrect)…

2018-06-05abs ↗pdf ↗

We study time-like surfaces in the three-dimensional Minkowski space with diagonalizable second fundamental form. On any time-like W-surface we introduce locally natural principal parameters and prove that such a surface is determined uniquely (up to motion) by a special invariant function, which satisfies a natural no…

2011-05-18abs ↗pdf ↗

Framework for fair classification with noisy protected attributes and provable guarantees.

problem Fair classification with noisy protected attributes.
method Optimization framework for linear and linear-fractional fairness constraints, handling multiple non-binary attributes.
result Provably fair classifier with minimal accuracy loss, even with large noise.

The only finite nonabelian simple group acting on a homology 3-sphere - necessarily non-freely - is the dodecahedral group A5PSL(2,5)\Bbb A_5 \cong {\rm PSL}(2,5) (in analogy, the only finite perfect group acting freely on a homology 3-sphere is the binary dodecahedral group A5SL(2,5)\Bbb A_5^* \cong {\rm SL}(2,5)). In the present pa…

2005-07-08abs ↗pdf ↗

We show that the only finite nonabelian simple groups which admit a locally linear, homologically trivial action on a closed simply connected 4-manifold MM (or on a 4-manifold with trivial first homology) are the alternating groups A5A_5, A6A_6 and the linear fractional group PSL(2,7) (we note that for homologically n…

2008-03-31abs ↗pdf ↗

Solves steering problem with continuous time, Hilbert-Schmidt cost, and matrix ODEs.

problem Fixed horizon linear quadratic covariance steering in continuous time with a specific terminal cost.
method Formulates necessary conditions as a coupled matrix ODE two-point boundary value problem, designs a matricial recursive algorithm, and proves convergence.
result Proposes and proves the convergence of a matricial recursive algorithm for solving the steering problem.

A framework integrates machine learning with robust control for safer, more reliable systems.

problem Combining machine learning with robust control for systems with stringent safety and reliability requirements.
method Integrates Gaussian Process Regression and state-of-the-art robust controller synthesis within a framework that provides rigorous guarantees.
result Demonstrated improved performance with more data while maintaining rigorous guarantees.

The study connects fairness constraints with optimal transport to derive new insights in classification.

problem Ensuring fairness in classification models without sacrificing performance.
method Using Wasserstein barycenters and optimal transport, the study characterizes optimal classification functions under fairness constraints.
result Maximizing fairness under demographic parity is equivalent to solving a regression problem.

Let FF be a countable family of rational functions of two variables with real coefficients. Each rational function fFf\in F can be thought as a continuous function f:dom(f)Rˉf:dom(f)\to\bar R taking values in the projective line Rˉ=R{}\bar R=R\cup\{\infty\} and defined on a cofinite subset dom(f)dom(f) of the torus Rˉ2\bar R^2. Then t…

2011-08-10abs ↗pdf ↗

Proposes a method to classify binary data from multiple unlabeled datasets.

problem High annotation costs in training classifiers from weakly supervised data.
method Introduces surrogate set classification (SSC) to predict data origin from multiple unlabeled datasets, then uses this to train a binary classifier.
result Demonstrates superior performance compared to existing methods.

Develops algorithms for optimizing multi-label metrics with provable guarantees.

problem Optimizing complex multi-label metrics like F-measure and Jaccard index.
method Principled learning algorithms based on H-consistency for generalized metrics.
result Provable HH-consistency bounds for multi-label metric optimization.

Study financial contagion and risk in sparse networks with directed edges.

problem Analyzing systemic risk in sparse financial networks with balance-sheet interactions.
method Linear fraction of institutions with zero out-degree, sender-truncated subgraph G_sh, adversarial and random systemic events, explicit fan-in accumulation bound.
result Maximal forward reachability in G_sh is O(log n) with high probability in the subcritical regime, and multi-hit defaults are negligible in the supercritical regime.

Unified surrogate loss framework for multi-label learning with strong consistency guarantees.

problem Improving consistency and accounting for label correlations in multi-label learning.
method Introducing multi-label logistic loss and extending it to comprehensive multi-label comp-sum losses, proving strong consistency guarantees for any multi-label loss.
result Unified surrogate loss framework benefiting from strong consistency guarantees for any multi-label loss.

The paper introduces BCART models for aggregate claim amount, improving frequency-severity and joint modeling.

problem Modeling aggregate claim amount with frequency-severity and joint dependencies.
method Developed three types of BCART models: frequency-severity, sequential, and joint models. Used various distributions for claim severity data.
result Weibull distribution outperforms gamma and lognormal for right-skewed, heavy-tailed claim severity data.

The paper uses model-based trees to create interpretable surrogate models for complex machine learning models.

problem Interpreting complex machine learning models.
method Using model-based trees to partition feature space and create interpretable models.
result Model-based trees generate optimal surrogate models that balance interpretability and performance.

The study examines how model predictions hold up under model extensions.

problem Model predictions may not be robust under model extensions, limiting their applicability.
method The study uses causal ordering to assess robustness of qualitative model predictions and characterizes model extensions that preserve predictions.
result Conditions and techniques are provided to assess robustness of model predictions under model extensions.

Revises Bayesian model averaging for foundation models.

problem Ensemble pre-trained and lightly-finetuned foundation models for improved classification performance.
method Introduces trainable linear classifiers and computationally cheaper model averaging scheme (OMA).
result Ensembled models can better predict on various datasets.

Paper introduces symmetric divergence link models for probability distributions.

problem Symmetric divergence measures for probability distributions.
method Two general classes of link models: one for survival functions and another for cumulative probability distribution functions.
result Advantages of symmetric divergence measures over asymmetric measures for model averaging and feature assessment.

Researchers review challenges in interpreting additive models, especially neural additive models.

problem Challenges in interpreting additive models, particularly neural additive models.
method Review of generalized additive models and discussion of nonidentifiability.
result Challenges in claiming interpretability or suitability for safety-critical applications of additive models.

Sigma models linked to Gross-Neveu models via quiver varieties.

problem Understanding the relationship between sigma models and Gross-Neveu models.
method Exploring the mathematical correspondence between sigma models and Gross-Neveu models, including their geometric and trigonometric/elliptic deformations.
result Sigma models are mathematically equivalent to Gross-Neveu models under certain conditions.

Simple models are preferred over complex models, but over-simplistic models could lead to erroneous interpretations. The classical approach is to start with a simple model, whose shortcomings are assessed in residual-based model diagnostics. Eventually, one increases the complexity of this initial overly simple model a…

2017-06-26abs ↗pdf ↗

Matryoshka hides secret models in a carrier model, achieving high capacity and robustness.

problem Stealing functionality of private ML data by hiding models in a carrier model.
method Parameter sharing approach exploiting the learning capacity of the carrier model.
result Hides a 26x larger secret model or 8 secret models in the carrier model.