Research
On-device research index

arXiv research

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.

169,341 papers · 148 categories

Trend · papers per month

6.3%12.5%18.8%25.0% · Mar 199319922001200920182026
48 results for multiscale nets

Two new methods improve neural network's ability to estimate full conditional distributions.

problem Neural networks often only predict point values, missing full conditional distributions.
method Multiscale Nets and CDE Trend Filtering methods.
result Both methods complement each other, suitable for different data scenarios.

Neural nets optimize dynamic hedging strategies with transaction costs.

problem Optimal hedging strategy in presence of transaction costs and discrete time.
method Convolutional neural network trained to infer optimal hedging frequencies.
result Dynamic multiscale hedging strategy reduces risk and maximizes profit.

We consider ill-posed inverse problems where the forward operator TT is unknown, and instead we have access to training data consisting of functions fif_i and their noisy images TfiTf_i. This is a practically relevant and challenging problem which current methods are able to solve only under strong assumptions on the t…

2021-08-05abs ↗pdf ↗

Researchers use GANs to infer physics-based inverse problems, quantifying uncertainty and promoting generalizability.

problem Quantifying uncertainty in physics-based inverse problems.
method Trained conditional Wasserstein GANs with U-Net architecture and conditional instance normalization.
result The approach effectively samples from the posterior and promotes generalizability with out-of-distribution samples.

The paper tackles physical constraints in probabilistic machine learning for CG models of high-dimensional systems.

problem Introducing physical constraints in probabilistic machine learning objectives for coarse-graining dynamical systems.
method Formulating coarse-graining process using probabilistic state-space model and accounting for constraints as virtual observables.
result Probabilistic inference tools can identify coarse-grained variables without needing a fine-to-coarse projection or time-derivatives.

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.

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.

Paper proposes a new adaptive multiscale value function approximation for reinforcement learning.

problem Value function approximation in reinforcement learning with varying complexity.
method Adaptive multiscale approximation using multiresolution analysis and tree approximation.
result Convergence rate of the multiscale approximation is independent of basis function regularity.

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…

2008-03-04abs ↗pdf ↗

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

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.

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.

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.

Reduced model helps estimate parameters from partially observed multiscale data.

problem Estimating parameters from high-dimensional partially observed multiscale data.
method Established convergence of filter from high-dimensional to reduced dimension model.
result Statistical estimation of parameters is possible in lower dimensions.

The study offers a multiscale model for SPX and VIX options pricing.

problem Capturing the multiscale volatility of financial markets.
method Derives approximate analytic pricing formulas under a multiscale stochastic volatility model.
result The model reduces errors on SPX and VIX option pricing by 9.9% and 13.2% respectively.

Data-driven method solves multiscale elliptic PDEs with random coefficients.

problem Solving multiscale elliptic PDEs with random coefficients.
method Data-driven approach based on intrinsic dimension reduction.
result Efficient solution of multiscale elliptic PDEs with random coefficients.

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.

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.

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.

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…

2012-10-26abs ↗pdf ↗

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…

2011-05-25abs ↗pdf ↗

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.

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.

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.

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.

Discusses MultiFIT for multivariate dependence, comparing it to HSIC tests.

problem Comparing Multiscale Fisher's Independence Test (MultiFIT) to HSIC tests for multivariate dependence.
method Compares MultiFIT to HSIC tests, highlighting exact level control and performance limitations.
result Observes performance limitations of MultiFIT in terms of test power.