Study optimal futures trading strategies for assets with multiscale central tendency price model.
problem Optimal dynamic trading of futures with multiscale central tendency price model.
method Derive no-arbitrage futures prices, solve HJB equations for optimal strategies.
result Optimal trading strategies depend on asset parameters and futures risk premia.
The uncertainty or the variability of the data may be treated by considering, rather than a single value for each data, the interval of values in which it may fall. This paper studies the derivation of basic description statistics for interval-valued datasets. We propose a geometrical approach in the determination of s…
We propose a new outline for adaptive dictionary learning methods for sparse encoding based on a hierarchical clustering of the training data. Through recursive application of a clustering method, the data is organized into a binary partition tree representing a multiscale structure. The dictionary atoms are defined ad…
A framework learns multiscale dynamics from single trajectories using normalizing flows.
problem Learning effective stochastic dynamics from single observed paths of slow variables.
method Data-driven approach based on coupled multiscale SDEs, stochastic averaging, and normalizing flows for density modeling.
result Scalable approach to capturing epistemic uncertainty in multiscale systems.
In this paper we present a new method to compute the first-order approximation of the price of derivatives on futures in the context of multiscale stochastic volatility of Fouque \textit{et al.} (2011, CUP). It provides an alternative method to the singular perturbation technique presented in Hikspoors and Jaimungal (2…
Generative models improve for multiscale scientific data with new noise and interpolation techniques.
problem Numerical challenges in generating high-fidelity samples for multiscale scientific data.
method Design of noise distributions and interpolation schedules in function space to ensure Lipschitz regularity and finite noise roughness.
result Scale-adaptive noise and interpolation schedules improve numerical efficiency and fidelity of generated samples.
The paper proves Gorenstein contractions for multiscale differentials on nodal curves.
problem Proving Gorenstein contractions for multiscale differentials on nodal curves.
method Addressing the conjecture by Ranganathan and Wise, showing contractions level by level.
result Multiscale differentials can be contracted to Gorenstein singularities, level by level, from the top down.
Proposes a new algorithm for non-stationary bandits.
problem Non-stationary reward distributions in contextual bandits.
method Multiscale changepoint detection for adaptive learning.
result Regret bound analysis and superior performance in experiments.
Bayesian model learns multiscale interactions in complex systems.
problem Understanding dynamic interplay between processes at different time scales.
method Bayesian learning framework with Particle Gibbs with Ancestor Sampling (PGAS) algorithm.
result Demonstrated the effectiveness of the proposed approach through simulations.
DMGNN predicts 3D human motions using adaptive multiscale graphs.
problem Predicting 3D skeleton-based human motions accurately.
method Dynamic multiscale graph neural networks (DMGNN) with adaptive multiscale graphs and MGCU.
result DMGNN outperforms state-of-the-art methods in short and long-term predictions.
Neural network approach simplifies multiscale problem homogenization.
problem Homogenizing multiscale problems with varying microscale structures.
method Derivative-free neural network with Brownian walkers.
result Neural network method is computationally efficient and robust.
Agent-based models, particularly those applied to financial markets, demonstrate the ability to produce realistic, simulated system dynamics, comparable to those observed in empirical investigations. Despite this, they remain fairly difficult to calibrate due to their tendency to be computationally expensive, even with…
Develops MENT for interpreting and detecting changes in network trajectories.
problem Distortion of network geometry and invalidation of temporal comparisons in dynamic network analysis.
method Develops Multiscale Euclidean Network Trajectories (MENT) framework based on second-moment geometry.
result Validates and interprets network trajectories through isotropic normalization and orthogonal transformations.
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process, in the presence of market microstructure noise (observation error). The multiscale structure of the observed process is represented frequency-by-frequency and the concept of the multiscale ratio is introduced to quantify t…
We discuss multiscale representations of discrete manifold-valued data. As it turns out that we cannot expect general manifold-analogues of biorthogonal wavelets to possess perfect reconstruction, we focus our attention on those constructions which are based on upscaling operators which are either interpolating or midp…
We present a graph-theoretical approach to data clustering, which combines the creation of a graph from the data with Markov Stability, a multiscale community detection framework. We show how the multiscale capabilities of the method allow the estimation of the number of clusters, as well as alleviating the sensitivity…
MELD model clusters data at multiple scales, improving understanding of latent structure.
problem Understanding latent multiscale structure in datasets.
method Multiscale Learning by Unsupervised Nonlinear Diffusion (M-LUND) algorithm.
result M-LUND detects latent structure in synthetic and real datasets.
New algorithm learns switching dynamics from multiple neural signals.
problem Learning accurate switching dynamical system models from multimodal neural data.
method Unsupervised learning algorithm for multiscale switching dynamical system models.
result Switching multiscale dynamical system models outperform single-scale models in behavior decoding.
Optimal multiscale learning of linear operators
problem Statistical and computational limits of learning bounded linear operators between Sobolev spaces
method Reformulate as an infinite-dimensional matrix regression problem with heterogeneous multiscale structure
result Establish minimax rates and construct a finite-resolution blockwise least-squares estimator attaining these rates
There are few papers about the international trade of flowers, so it is believed that this paper, with this topic, could be an important contribution to the international scientific community. It is intended to analyze if the international trade flowers tendencies and policies are adapted to the actual world global con…
Extends GP regression to complex Helmholtz problems, improving wavefield inference in brain elastography.
problem Infer complex Helmholtz wavefields from sparse, noisy data.
method Operator-informed Gaussian processes, realifying complex operator into real blocks, using PDE residuals and boundary traces.
result Competitive with finite-difference and neural-network methods, reconstructs brain shear curl field with high correlation.
MsIGN tackles high-dimensional Bayesian inference using multiscale structure.
problem High-dimensional Bayesian inference challenges due to the curse of dimensionality.
method MsIGN generates samples from coarse to fine scale, minimizing Jeffreys divergence.
result MsIGN outperforms previous approaches in posterior approximation and mode capture.
Kernel analog forecasting studied for multiscale systems.
problem Interpreting data-driven predictions in multiscale dynamical systems.
method Kernel analog forecasting methods applied to multiscale systems with varying Markovian closures.
result Guidance provided for interpreting data-driven predictions in practice.
The paper extends entropy maximization to multiscale settings and applies it to neural networks.
problem Achieving optimal risk bounds in neural networks using multiscale entropy.
method Generalizing maximum entropy to multiscale settings and applying it to neural networks.
result The multiscale Gibbs posterior can achieve a smaller excess risk than the single-scale Gibbs posterior in a teacher-student scenario.
New method analyzes knots and links using multiscale Gauss link integral.
problem Lack of localization and quantization in knot theory applications.
method Integrates curve segmentation and multiscale analysis into the Gauss link integral.
result Significantly outperforms other methods in protein flexibility analysis.
The paper provides an efficient method to price path-dependent derivatives using multiscale stochastic volatility models.
problem Pricing path-dependent derivatives under multiscale stochastic volatility models.
method Derives a Malliavin representation for the first-order approximation of the price of path-dependent derivatives.
result An efficient Monte Carlo approximation for pricing path-dependent derivatives is derived.
Novel graph network learns hierarchical network structure.
problem Lack of information in hierarchical network topology.
method Hierarchical clustering for multiscale decomposition, graph convolutional layers.
result Competitive performance on citation network benchmark.
Extracts causal brain dynamics across multiple scales.
problem Statistical associations do not reflect causal mechanisms in brain dynamics.
method Multiscale causal backbone (MCB) extraction using advanced causal structure learning.
result Sparse MCBs reveal distinct causal roles at different brain frequency bands.
New algorithm clusters hyperspectral images at multiple scales.
problem Clustering hyperspectral images at various scales.
method M-SRDL algorithm using spectral-spatial diffusion distances.
result More accurate clustering labels achieved with spatial regularization.
Study analyzes cryptocurrency market complexity, comparing it to traditional markets.
problem Understanding the dynamics and characteristics of cryptocurrency markets.
method Statistical physics methods and analysis of price fluctuations.
result Cryptocurrency market exhibits complexity similar to traditional markets but with slower information flow.
iLED framework offers interpretable dynamics for multiscale systems.
problem Modeling high-dimensional multiscale systems is challenging.
method Interpretable Learning Effective Dynamics (iLED) framework based on Mori-Zwanzig and Koopman operator theory.
result Comparable accuracy to state-of-the-art approaches with added interpretability.
Study compares Bitcoin, gold, and gas price complexity using multifractal and multiscale entropy methods.
problem Quantifying complexity of financial time series for market analysis.
method Employed MF-DFA and RCMSE to analyze Bitcoin, GBP/USD, gold, and natural gas price log-return time series.
result Bitcoin shows higher complexity compared to other markets, linked to higher nonlinear correlations.
Marxism's rate of profit thesis rejected as illogical.
problem Marxism's rate of profit thesis is challenged as illogical.
method Rejects Marx's thesis on the long-term tendency of the rate of profit to fall.
result Marxism's rate of profit thesis is rejected as illogical.
Study shows FL reduces unintended memorization by clustering data and using strong user-level privacy.
problem Unintended memorization in federated learning.
method Examined the effect of clustering data and using strong user-level differential privacy in FL.
result Clustering data and strong user-level differential privacy reduce unintended memorization.
We perform a scaling analysis on NYSE daily returns. We show that volatility correlations are power-laws on a time range from one day to one year and, more important, that they exhibit a multiscale behaviour.
In this paper, we propose a generic framework for devising an adaptive approximation scheme for value function approximation in reinforcement learning, which introduces multiscale approximation. The two basic ingredients are multiresolution analysis as well as tree approximation. Starting from simple refinable function…
Many problems in sequential decision making and stochastic control often have natural multiscale structure: sub-tasks are assembled together to accomplish complex goals. Systematically inferring and leveraging hierarchical structure, particularly beyond a single level of abstraction, has remained a longstanding challen…
New MHSNs extract multiscale features from complex data for robust classification.
problem Signal classification and domain classification on complex data.
method Layered structure with multiscale basis dictionaries, pooling operations, and invariant features.
result High-accuracy classification with fewer parameters than traditional graph neural networks.
Recent advancements in recurrent neural network (RNN) research have demonstrated the superiority of utilizing multiscale structures in learning temporal representations of time series. Currently, most of multiscale RNNs use fixed scales, which do not comply with the nature of dynamical temporal patterns among sequences…
Deterministic GD can behave stochastically in large learning rates for multiscale functions.
problem Understanding deterministic GD's stochastic behavior in large learning rates for multiscale objectives.
method Established a sufficient condition for deterministic GD to converge to a rescaled Gibbs distribution in large learning rates for multiscale functions.
result Deterministic GD can converge to a statistical distribution in large learning rates for multiscale functions.
Current state-of-the-art discrete optimization methods struggle behind when it comes to challenging contrast-enhancing discrete energies (i.e., favoring different labels for neighboring variables). This work suggests a multiscale approach for these challenging problems. Deriving an algebraic representation allows us to…
A new sampling method estimates scores without training or nested MCMC.
problem Efficient sampling from complex, unnormalised distributions.
method Multiscale averaging in SDEs for score estimation.
result Empirical results show competitive accuracy and efficiency.
Framework models multiscale dynamics with Bayesian learning for regime changes.
problem Analyzing complex interactions between fast and slow processes.
method Hierarchical state-space modeling with Sequential Monte Carlo.
result Bayesian approach accurately tracks state transitions and identifies switching dynamics.
We study the multiscale simplicial flat norm (MSFN) problem, which computes flat norm at various scales of sets defined as oriented subcomplexes of finite simplicial complexes in arbitrary dimensions. We show that the multiscale simplicial flat norm is NP-complete when homology is defined over integers. We cast the mul…
A hybrid method combines model-based and data-driven approaches for multiscale constitutive responses.
problem High computational costs and inaccuracies in nonlinear multiscale methods.
method Hybrid methodology combining model-based constitutive laws, data-driven corrections, and computational multiscale approaches.
result Model-data-driven approach improves macroscale simulations with similar accuracy and computational cost.
Method learns dynamics of slow variables from stochastic data.
problem Modeling unknown multiscale stochastic systems with limited data.
method Data-driven approach to learn effective dynamics from bursts of observation data.
result Generative model accurately captures effective dynamics of slow variables.
MULTIFIT tests independence between two random vectors using multiscale Fisher's test.
problem Detecting local dependence between two random vectors.
method MULTIFIT uses a resampling-free approach to test independence.
result MULTIFIT can easily handle large sample sizes and interpret dependency nature.
Paper introduces MN-DAG for modeling evolving causal relationships in multivariate time series.
problem Modeling causal relationships that evolve over time and occur at different scales.
method Probabilistic generative model based on spectral and causality theories, combined with Bayesian stochastic variational inference.
result MN-CASTLE outperforms baseline models in identifying causal relationships in multivariate time series data.