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 star-shaped acceptability indexes generalize existing methods.
The paper studies optimal investment using acceptability indices to maximize portfolio performance.
Paper extends ranking metrics theory for financial positions.
Paper extends ranking metrics theory for financial positions.
The theory of acceptance sets and their associated risk measures plays a key role in the design of capital adequacy tests. The objective of this paper is to investigate, in the context of bounded financial positions, the class of surplus-invariant acceptance sets. These are characterized by the fact that acceptability …
Model uses Preisach hysteresis to predict gig worker acceptance, reducing costs and improving fill rates.
PCL framework optimizes climate risk management across three clusters.
Proposes a new undersampling method for imbalanced data classification.
The gain-loss ratio is known to enjoy very good properties from a normative point of view. As a confirmation, we show that the best market gain-loss ratio in the presence of a random endowment is an acceptability index and we provide its dual representation for general probability spaces. However, the gain-loss ratio w…
We propose a generalization of the classical notion of the that takes into account not only the probability of the losses, but the balance between such probability and the amount of the loss. This is obtained by defining a new class of law invariant risk measures based on an appropriate family of acceptance set…
Introduces CHL, a new loss function for continuous similarity learning.
Differential privacy is a strong notion for privacy that can be used to prove formal guarantees, in terms of a privacy budget, , about how much information is leaked by a mechanism. However, implementations of privacy-preserving machine learning often select large values of in order to get acceptable utility of …
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of Asset Pricing using the dynamic coherent risk measures. We introduce the dynamic …
Hallucinations in models are mislinked estimates, not errors.
Studies acceptable bundles on a partially punctured polydisk.
Proposes a simple solution to Gini importance bias in random forests.
Study on acceptable bundles on a punctured disk.
EnsLoss combines multiple loss functions to prevent overfitting in classification.
Simple conditions for comonotonic additive risk measures from acceptance sets.
The paper develops a theory for speculative decoding acceptance criteria.
We introduce a class of utility-based market makers that always accept orders at their risk-neutral prices. We derive necessary and sufficient conditions for such market makers to have bounded loss. We prove that hyperbolic absolute risk aversion utility market makers are equivalent to weighted pseudospherical scoring …
In this paper we present a theoretical framework for studying coherent acceptability indices in a dynamic setup. We study dynamic coherent acceptability indices and dynamic coherent risk measures, and we establish a duality between them. We derive a representation theorem for dynamic coherent risk measures in terms of …
Cactus improves auto-regressive decoding speed without sacrificing quality.
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has however become well accepted to utlise a Loss Distributional Approach (LDA) paradigm to model the individual OpRisk loss…
Proposes new deviation measures using Minkowski gauges.
Improves algorithmic recourse to guide towards both acceptance and improvement.
Estimates boundaries for acceptable bilateral gamma risk in financial markets.
Study reveals bias in machine learning conference reviews.
Introduces Star-Shaped deviation measures for risk analysis.
We consider a trader who wants to direct his portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a black-box algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and whose outputs are the numerical values of initial capital requirement and the funct…
Study financial contracts pricing in markets with nonproportional costs and constraints.
A collection of the accepted abstracts for the Machine Learning for Health (ML4H) workshop at NeurIPS 2019. This index is not complete, as some accepted abstracts chose to opt-out of inclusion.
Optimizes a portfolio for an investor preferring accepted securities over a reference security.
We establish dual representations for systemic risk measures based on acceptance sets in a general setting. We deal with systemic risk measures of both "first allocate, then aggregate" and "first aggregate, then allocate" type. In both cases, we provide a detailed analysis of the corresponding systemic acceptance sets …
INNs improve acceptance rates in electron spectra analysis.
A new concordance loss improves model performance and reliability in survival prediction.
New loss function connects learning rate and momentum.
Research examines motivations and factors influencing retailers' payment method choices.
Monetary risk measures are usually interpreted as the smallest amount of external capital that must be added to a financial position to make it acceptable. We propose a new concept: intrinsic risk measures and argue that this approach provides a direct path from unacceptable positions towards the acceptance set. Intrin…
A scalable method for deep metric learning using chance constraints.
Typically, operational risk losses are reported above some threshold. This paper studies the impact of ignoring data truncation on the 0.999 quantile of the annual loss distribution for operational risk for a broad range of distribution parameters and truncation levels. Loss frequency and severity are modelled by the P…
Indices of acceptability are well suited to frame the axiomatic features of many performance measures, associated to terminal random cash flows.We extend this notion to classes of càdlàg processes modelling cash flows over a fixed investment horizon.We provide a representation result for bounded paths. We suggest an ac…
Generation of pseudorandom numbers from different probability distributions has been studied extensively in the Monte Carlo simulation literature. Two standard generation techniques are the acceptance-rejection and inverse transformation methods. An alternative approach to Monte Carlo simulation is the quasi-Monte Carl…
Newtonian dynamical systems which accept the normal shift on an arbitrary Riemannian manifold are considered. For them the determinating equations making the weak normality condition are derived. The expansion for the algebra of tensor fields is constructed.
Proposes a method to estimate acceptance regions for many classes, including new ones.
The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and continuity properties of these risk measures with respect to multiple eligible ass…
Top-k error is currently a popular performance measure on large scale image classification benchmarks such as ImageNet and Places. Despite its wide acceptance, our understanding of this metric is limited as most of the previous research is focused on its special case, the top-1 error. In this work, we explore two direc…
Improved sampling for Bayesian neural networks reduces vanishing acceptance rates and increases predictive accuracy.