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.
I show that every rectifiable simple closed curve in the plane can be continuously deformed into a convex curve in a motion which preserves arc length and does not decrease the Euclidean distance between any pair of points on the curve. This result is obtained by approximating the curve with polygons and invoking the r…
Signatures provide a succinct description of certain features of paths in a reparametrization invariant way. We propose a method for classifying shapes based on signatures, and compare it to current approaches based on the SRV transform and dynamic programming.
We consider the problem of tracking a target whose dynamics is modeled by a continuous Itō semi-martingale. The aim is to minimize both deviation from the target and tracking efforts. We establish the existence of asymptotic lower bounds for this problem, depending on the cost structure. These lower bounds can be relat…
In this study we introduce a new technique for symbolic regression that guarantees global optimality. This is achieved by formulating a mixed integer non-linear program (MINLP) whose solution is a symbolic mathematical expression of minimum complexity that explains the observations. We demonstrate our approach by redis…
We develop a fundamentally different stochastic dynamic programming model of trading costs. Built on a strong theoretical foundation, our model provides insights to market participants by splitting the overall move of the security price during the duration of an order into the Market Impact (price move caused by their …
In many real-world problems, we are dealing with collections of high-dimensional data, such as images, videos, text and web documents, DNA microarray data, and more. Often, high-dimensional data lie close to low-dimensional structures corresponding to several classes or categories the data belongs to. In this paper, we…
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to a finite sequence of state-constrained optimal control problems with additional…
We study the problem of stopping a Brownian motion at a given distribution ν while optimizing a reward function that depends on the (possibly randomized) stopping time and the Brownian motion. Our first result establishes that the set T(ν) of stopping times embedding ν is weakly dense in the set $\mathc…
Long-term human motion can be represented as a series of motion modes---motion sequences that capture short-term temporal dynamics---with transitions between them. We leverage this structure and present a novel Motion Transformation Variational Auto-Encoders (MT-VAE) for learning motion sequence generation. Our model j…
Whilst there are many approaches to detecting changes in mean for a univariate time-series, the problem of detecting multiple changes in slope has comparatively been ignored. Part of the reason for this is that detecting changes in slope is much more challenging. For example, simple binary segmentation procedures do no…
The Kepler-Heisenberg problem is that of determining the motion of a planet around a sun in the sub-Riemannian Heisenberg group. The sub-Riemannian Hamiltonian provides the kinetic energy, and the gravitational potential is given by the fundamental solution to the sub-Laplacian. This system is known to admit closed orb…
Data-driven modelling and synthesis of motion is an active research area with applications that include animation, games, and social robotics. This paper introduces a new class of probabilistic, generative, and controllable motion-data models based on normalising flows. Models of this kind can describe highly complex d…
Let E be a closed set in the Riemann sphere C. We consider a holomorphic motion φ of E over a complex manifold M, that is, a holomorphic family of injections on E parametrized by M. It is known that if M is the unit disk Δ in the complex plane, then any holomorphic motion of E ove…
We consider the problem of precision matrix estimation where, due to extraneous confounding of the underlying precision matrix, the data are independent but not identically distributed. While such confounding occurs in many scientific problems, our approach is inspired by recent neuroscientific research suggesting that…
We consider n-dimensional discrete motions such that any two neighbouring positions correspond in a pure rotation ("rotating motions"). In the Study quadric model of Euclidean displacements these motions correspond to quadrilateral nets with edges contained in the Study quadric ("rotation nets"). The main focus of ou…
The wide variety of motions performed by the human arm during daily tasks makes it desirable to find representative subsets to reduce the dimensionality of these movements for a variety of applications, including the design and control of robotic and prosthetic devices. This paper presents a novel method and the result…