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.
A method to visualize multidimensional local subspaces using implicit differentiation.
The paper explores multidimensional critic output in GANs, improving convergence and diversity.
On the base of Lie algebraic and differential geometry methods, a wide class of multidimensional nonlinear systems is obtained, and the integration scheme for such equations is proposed.
A novel online framework for analyzing multidimensional functional data.
Classical multidimensional scaling is an important dimension reduction technique. Yet few theoretical results characterizing its statistical performance exist. This paper provides a theoretical framework for analyzing the quality of embedded samples produced by classical multidimensional scaling. This lays the foundati…
Efficiently analyzes multidimensional functional data using separable basis functions.
This paper deals with multidimensional dynamic risk measures induced by conditional -expectations. A notion of multidimensional -expectation is proposed to provide a multidimensional version of nonlinear expectations. By a technical result on explicit expressions for the comparison theorem, uniqueness theorem and…
DPI quantifies phase differences in 1D and multidimensional signals using Riesz transform.
Money analyzed as a multidimensional tensor for better economic policy.
This paper improves conditional multidimensional scaling for incomplete data.
The paper examines conditions for Einstein multiply warped products and estimates their parameters.
Improved algorithm for multidimensional scaling reduces stress.
UAPCA projects uncertain data to low dimensions using GMMs.
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model subject to inter-temporal default risk, and provides a semigroup approximation for the utility indifference price. The key tool is the splitting method, whose convergence is proved based on the Barles-Souganidis…
Global minima found for multidimensional scaling with penalties.
A generalization of the classical one-dimensional Darboux transformation to arbitrary n-dimensional oriented Riemannian manifolds is constructed using an intrinsic formulation based on the properties of twisted Hodge Laplacians. The classical two-dimensional Moutard transformation is also generalized to non-compact ori…
Extends multidimensional scaling to analyze three-way asymmetric proximities.
Multidimensional scaling is an important dimension reduction tool in statistics and machine learning. Yet few theoretical results characterizing its statistical performance exist, not to mention any in high dimensions. By considering a unified framework that includes low, moderate and high dimensions, we study multidim…
A new method ranks uncertainty vectors from multiple measures for robust prediction.
Study uses multidimensional SE-NBD process to analyze default portfolios and identify shock amplification.
Multidimensional scaling (MDS) is a class of projective algorithms traditionally used in Euclidean space to produce two- or three-dimensional visualizations of datasets of multidimensional points or point distances. More recently however, several authors have pointed out that for certain datasets, hyperbolic target spa…
Efficiently recovers piecewise linear functions from noisy samples.
We investigate aspects of semimartingale decompositions, approximation and the martingale representation for multidimensional correlated Markov processes. A new interpretation of the dependence among processes is given using the martingale approach. We show that it is possible to represent, in both continuous and discr…
Identification of informative variables in an information system is often performed using simple one-dimensional filtering procedures that discard information about interactions between variables. Such approach may result in removing some relevant variables from consideration. Here we present an R package MDFS (MultiDi…
Novel method for multiclass ROC curves using multidimensional Gini index.
We show that shortfall risks of American options in a sequence of multinomial approximations of the multidimensional Black--Scholes (BS) market converge to the corresponding quantities for similar American options in the multidimensional BS market with path dependent payoffs. In comparison to previous papers we conside…
Proposes a new model for simulating electricity prices and their correlation structure.
Paper presents adaptive minimax risk classifiers for multidimensional concept drift.
Paper proves MDS NP-hard and provides a PTAS.
sWk-means clusters multidimensional financial time series into distinct market regimes.
We develop a new statistical test for comparing variables with varying scales.
Finding the diameter of a dataset in multidimensional Euclidean space is a well-established problem, with well-known algorithms. However, most of the algorithms found in the literature do not scale well with large values of data dimension, so the time complexity grows exponentially in most cases, which makes these algo…
New method simulates sticky boundaries in multidimensional diffusions.
Extends Carathéodory's theorem to multidimensional domains with constant curvature.
New method for learning multidimensional CDFs using Archimedean copulas.
We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this purpose, we extend the formulas employed by Montero and Kohatsu-Higa to the multidimensional case. The multidimensional setting shows the convenience of the Malliavin …
In this article, we propose an exact simulation method of the Wishart multidimensional stochastic volatility (WMSV) model, which was recently introduced by Da Fonseca et al. \cite{DGT08}. Our method is based onanalysis of the conditional characteristic function of the log-price given volatility level. In particular, we…
Develops statistical confidence sets for multidimensional scaling.
Generalizations of the Weierstrass formulae to generic surface immersed into , and into multidimensional Riemann spaces are proposed. Integrable deformations of surfaces in these spaces via the modified Veselov-Novikov equation are discussed.
A method for accurate pricing of multidimensional derivatives under uncertain volatility.
Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V -robust) trading strategy is find to hedge in mean-variance sense the contingent claim in incomplete financial market with arbitrary informatio…
In this work, we introduce a Monte Carlo method for the dynamic hedging of general European-type contingent claims in a multidimensional Brownian arbitrage-free market. Based on bounded variation martingale approximations for Galtchouk-Kunita-Watanabe decompositions, we propose a feasible and constructive methodology w…
In this paper, we study optimal switching problems under ambiguity. To characterize the optimal switching under ambiguity in the finite horizon, we use multidimensional reflected backward stochastic differential equations (multidimensional RBSDEs) and show that a value function of the optimal switching under ambiguity …
In this paper the well-known Dubrovin-Novikov problem posed as long ago as 1984 in connection with the Hamiltonian theory of systems of hydrodynamic type, namely, the classification problem for multidimensional Poisson brackets of hydrodynamic type, is solved. In contrast to the one-dimensional case, in the general cas…
The present contribution suggests the use of a multidimensional scaling (MDS) algorithm as a visualization tool for manifold-valued elements. A visualization tool of this kind is useful in signal processing and machine learning whenever learning/adaptation algorithms insist on high-dimensional parameter manifolds.
MPLP learns neural network weights by treating operations as message-passing agents.
Paper analyzes multidimensional PIDEs for financial modeling, proving existence and uniqueness in Bessel spaces.
A new model captures multifractal volatility in stock returns.