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.
Dividing deep learning models for consistent anomaly detection in changing log data.
Study shows Merton model limits to Poisson process with log-normal intensity, improving default portfolio prediction.
Develops log-Euclidean Lie groups for SPD and correlation matrices.
In an efficient stock market, the log-returns and their time-dependent variances are often jointly modelled by stochastic volatility models (SVMs). Many SVMs assume that errors in log-return and latent volatility process are uncorrelated, which is unrealistic. It turns out that if a non-zero correlation is included in …
New study shows FTRL mechanism works with correlated events.
The paper assesses dimensionality reduction for cryptocurrency link prediction.
We simplify matrix computations for block matrices, especially useful for covariance and correlation matrices.
Efficiently matches random graphs with inhomogeneous edge probabilities.
In this paper, we investigate a new compressive sensing model for multi-channel sparse data where each channel can be represented as a hierarchical tree and different channels are highly correlated. Therefore, the full data could follow the forest structure and we call this property as \emph{forest sparsity}. It exploi…
Botnet, a group of coordinated bots, is becoming the main platform of malicious Internet activities like DDOS, click fraud, web scraping, spam/rumor distribution, etc. This paper focuses on design and experiment of a new approach for botnet detection from streaming web server logs, motivated by its wide applicability, …
New research challenges the flatness-generalization link in deep neural networks.
Gradient flow of ReLU networks converges in low-correlation high-dimensional data.
Algorithm learns stock correlation matrix embedding using graph machine learning.
The study examines volatility models and finds decoupling of short- and long-term correlation structures.
The paper proposes new cross-correlators using Price's Theorem and piecewise-linear decomposition.
We present sharp tail asymptotics for the density and the distribution function of linear combinations of correlated log-normal random variables, that is, exponentials of components of a correlated Gaussian vector. The asymptotic behavior turns out to depend on the correlation between the components, and the explicit s…
Paper solves graph matching for correlated Erdős--Rényi graphs.
Algorithm recovers permutations of high-dimensional Gaussian vectors with constant correlation.
Correlated anomaly detection (CAD) from streaming data is a type of group anomaly detection and an essential task in useful real-time data mining applications like botnet detection, financial event detection, industrial process monitor, etc. The primary approach for this type of detection in previous researches is base…
Estimates Hurst exponent of log-volatility using KS statistic, addressing serial correlation in financial data.
This paper compares log-likelihood and BLEU scores for sequence generation tasks.
New method estimates sparse canonical vectors efficiently.
The analysis of the intraday dynamics of correlations among high-frequency returns is challenging due to the presence of asynchronous trading and market microstructure noise. Both effects may lead to significant data reduction and may severely underestimate correlations if traditional methods for low-frequency data are…
Temporal aggregation reveals latent default correlation from monthly data.
We point out a stunning time asymmetry in the short time cross correlations between intra-day and overnight volatilities (absolute values of log-returns of stock prices). While overnight volatility is significantly (and positively) correlated with the intra-day volatility during the \textit{following} day (allowing thu…
Improved best-arm identification in correlated multi-armed bandits.
ResNets approximate log-Gaussian at initialization, improving network performance.
CMLE reduces spurious correlations in deep models.
Proposes integrating random effects into deep neural networks for better predictive performance.
In the paper we compare the modelling ability of discrete-time multivariate Stochastic Volatility models to describe the conditional correlations between stock index returns. We consider four trivariate SV models, which differ in the structure of the conditional covariance matrix. Specifications with zero, constant and…
We consider the problem of clustering a set of high-dimensional data points into sets of low-dimensional linear subspaces. The number of subspaces, their dimensions, and their orientations are unknown. We propose a simple and low-complexity clustering algorithm based on thresholding the correlations between the data po…
The paper examines non-Gaussian models for financial data.
We conclude from an analysis of high resolution NYSE data that the distribution of the traded value (or volume) has a finite variance for the very large majority of stocks , and the distribution itself is non-universal across stocks. The Hurst exponent of the same time series displays a crossover from we…
This paper considers the problem of canonical-correlation analysis (CCA) (Hotelling, 1936) and, more broadly, the generalized eigenvector problem for a pair of symmetric matrices. These are two fundamental problems in data analysis and scientific computing with numerous applications in machine learning and statistics (…
We address the curse of dimensionality in dynamic covariance estimation by modeling the underlying co-volatility dynamics of a time series vector through latent time-varying stochastic factors. The use of a global-local shrinkage prior for the elements of the factor loadings matrix pulls loadings on superfluous factors…
The inference of correlated signal fields with unknown correlation structures is of high scientific and technological relevance, but poses significant conceptual and numerical challenges. To address these, we develop the correlated signal inference (CSI) algorithm within information field theory (IFT) and discuss its n…
Temporal coarse-graining of latent default paths explains effective correlation in corporate defaults.
With the recent popularity of graphical clustering methods, there has been an increased focus on the information between samples. We show how learning cluster structure using edge features naturally and simultaneously determines the most likely number of clusters and addresses data scale issues. These results are parti…
The paper presents a novel approach to multi-output regression using probabilistic circuits.
We study the volatility of the MIB30-stock-index high-frequency data from November 28, 1994 through September 15, 1995. Our aim is to empirically characterize the volatility random walk in the framework of continuous-time finance. To this end, we compute the index volatility by means of the log-return standard deviatio…
We generalize the log Gaussian Cox process (LGCP) framework to model multiple correlated point data jointly. The observations are treated as realizations of multiple LGCPs, whose log intensities are given by linear combinations of latent functions drawn from Gaussian process priors. The combination coefficients are als…
We study the sample complexity of canonical correlation analysis (CCA), \ie, the number of samples needed to estimate the population canonical correlation and directions up to arbitrarily small error. With mild assumptions on the data distribution, we show that in order to achieve -suboptimality in a properly define…
We consider a multi-armed bandit framework where the rewards obtained by pulling different arms are correlated. We develop a unified approach to leverage these reward correlations and present fundamental generalizations of classic bandit algorithms to the correlated setting. We present a unified proof technique to anal…
Bayesian inference and superstatistics model financial volatility dynamics across different timescales.
A Bayesian procedure is developed for multivariate stochastic volatility, using state space models. An autoregressive model for the log-returns is employed. We generalize the inverted Wishart distribution to allow for different correlation structure between the observation and state innovation vectors and we extend the…
The aim of our work is to propose a natural framework to account for all the empirically known properties of the multivariate distribution of stock returns. We define and study a "nested factor model", where the linear factors part is standard, but where the log-volatility of the linear factors and of the residuals are…
Lead-lag relationships among assets represent a useful tool for analyzing high frequency financial data. However, research on these relationships predominantly focuses on correlation analyses for the dynamics of stock prices, spots and futures on market indexes, whereas foreign exchange data have been less explored. To…
Recent applications of machine learning algorithms in the seismic domain have shown great potential in different areas such as seismic inversion and interpretation. However, such algorithms rarely enforce geophysical constraints - the lack of which might lead to undesirable results. To overcome this issue, we have deve…