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.
Aggregated variables can mask causal effects, turning unconfounded into confounded relations.
Complex systems can be modelled at various levels of detail. Ideally, causal models of the same system should be consistent with one another in the sense that they agree in their predictions of the effects of interventions. We formalise this notion of consistency in the case of Structural Equation Models (SEMs) by intr…
The purpose of this paper is to advance the understanding of the conditions that give rise to flash crash contagion, particularly with respect to overlapping asset portfolio crowding. To this end, we designed, implemented, and assessed a hybrid micro-macro agent-based model, where price impact arises endogenously throu…
Paper optimizes Bayesian optimization for complex functions with macro-actions.
We prove that each coarsely homogenous separable metric space is coarsely equivalent to one of the spaces: the sigleton, the Cantor macro-cube or the Baire macro-space. This classification is derived from coarse characterizations of the Cantor macro-cube and of the Baire macro-space given in this paper. Namely, we …
One problem in the application of reinforcement learning to real-world problems is the curse of dimensionality on the action space. Macro actions, a sequence of primitive actions, have been studied to diminish the dimensionality of the action space with regard to the time axis. However, previous studies relied on human…
New approach improves black-box planning efficiency by discovering focused macros.
Two different formulas for macro F1 lead to significant differences in classification evaluation.
New method uses label-weighted conformal prediction for macro-coverage guarantees in classification.
HANET combines LSTM and attention mechanisms for better financial forecasting.
We present a domain-general account of causation that applies to settings in which macro-level causal relations between two systems are of interest, but the relevant causal features are poorly understood and have to be aggregated from vast arrays of micro-measurements. Our approach generalizes that of Chalupka et al. (…
Background and objective: Stacking is an ensemble machine learning method that averages predictions from multiple other algorithms, such as generalized linear models and regression trees. An implementation of stacking, called super learning, has been developed as a general approach to supervised learning and has seen f…
Network embedding aims to embed nodes into a low-dimensional space, while capturing the network structures and properties. Although quite a few promising network embedding methods have been proposed, most of them focus on static networks. In fact, temporal networks, which usually evolve over time in terms of microscopi…
The study examines the generalization of Macro-AUC in multi-label learning, identifying label imbalance as a critical factor.
LLM forecasting benchmarks suffer from information leakage, which confounds model performance.
Paper introduces hierarchical softmax for global hierarchical classification tasks.
Data analysis with log-periodical parametrization of the Brent oil price dynamics has allowed to estimate (very approximately) the date when the dashing collapse of the Brent oil price will achieve the absolute minimum level (corresponding to the so-called singularity point), after which there will occur a rather rapid…
We study conditional risk minimization (CRM), i.e. the problem of learning a hypothesis of minimal risk for prediction at the next step of sequentially arriving dependent data. Despite it being a fundamental problem, successful learning in the CRM sense has so far only been demonstrated using theoretical algorithms tha…
Model predicts EU carbon prices using market and political factors.
GTSNE improves data visualization for high-dimensional data.
In this paper, I discuss a method to tackle the issues arising from the small data-sets available to data-scientists when building price predictive algorithms that use monthly/quarterly macro-financial indicators. I approach this by training separate classifiers on the equivalent dataset from a range of countries. Usin…
We discuss a Pareto macro-economy (a) in a closed system with fixed total wealth and (b) in an open system with average mean wealth and compare our results to a similar analysis in a super-open system (c) with unbounded wealth. Wealth condensation takes place in the social phase for closed and open economies, while it …
Although there are millions of transgender people in the world, a lack of information exists about their health issues. This issue has consequences for the medical field, which only has a nascent understanding of how to identify and meet this population's health-related needs. Social media sites like Twitter provide ne…
This paper analyses the relationship between BitCoin price and supply-demand fundamentals of BitCoin, global macro-financial indicators and BitCoin attractiveness for investors. Using daily data for the period 2009-2014 and applying time-series analytical mechanisms, we find that BitCoin market fundamentals and BitCoin…
As mobile devices become more and more popular, mobile gaming has emerged as a promising market with billion-dollar revenues. A variety of mobile game platforms and services have been developed around the world. A critical challenge for these platforms and services is to understand the churn behavior in mobile games, w…
We study involuntary micro-movements of the eye for biometric identification. While prior studies extract lower-frequency macro-movements from the output of video-based eye-tracking systems and engineer explicit features of these macro-movements, we develop a deep convolutional architecture that processes the raw eye-t…
Estimates joint causal effects using single-variable interventions on nonlinear models.
This paper tackles CRL for multi-node interventions, achieving identifiability guarantees.
This work tackles causal graph discovery with stochastic interventions to minimize the number of interventions.
Causal diagrams based on do intervention are useful tools to formalize, process and understand causal relationship among variables. However, the do intervention has controversial interpretation of causal questions for non-manipulable variables, and it also lacks the power to check the conditions related to counterfactu…
Crypto simulations show HODL strategy loads risk onto most investors, with macro-sentiment affecting returns.
Our goal is to identify beneficial interventions from observational data. We consider interventions that are narrowly focused (impacting few covariates) and may be tailored to each individual or globally enacted over a population. For applications where harmful intervention is drastically worse than proposing no change…
Paper proposes scalable algorithm to estimate intervention targets in linear models.
New method disentangles mixed interventional and observational data in SEMs.
Shaping in humans and animals has been shown to be a powerful tool for learning complex tasks as compared to learning in a randomized fashion. This makes the problem less complex and enables one to solve the easier sub task at hand first. Generating a curriculum for such guided learning involves subjecting the agent to…
The paper presents a method to estimate joint interventional distributions from marginal interventional data.
Financial asset markets are sociotechnical systems whose constituent agents are subject to evolutionary pressure as unprofitable agents exit the marketplace and more profitable agents continue to trade assets. Using a population of evolving zero-intelligence agents and a frequent batch auction price-discovery mechanism…
This paper presents a model of the dynamics of the wage income distribution.
Bayesian method for causal discovery from unknown general interventions.
Deep learning solves and estimates complex financial models.
Interventional data helps identify latent factors without distributional assumptions.
DISPR uses diffusion models to predict 3D cell shapes from 2D images.
The paper tackles multi-level fairness in algorithmic systems, addressing bias at both individual and structural levels.
IntDC framework uncovers causal relationships from non-interventional data.
Algorithm detects causal change points quickly with adaptive interventions.
ART adapts class-wise resampling to improve imbalanced classification performance.
Unified model predicts stock and systemic risks from diverse financial data.
Method learns causal effects from multiple interventions in presence of unobserved confounders.