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.
Optimizes quickest detection of drift in Brownian motion with false negatives.
This paper identifies a negative profit effect in limit order fills.
Study on the spectrum of drift Laplacian on Ricci expanders.
We discuss a simple extension of the Ho and Lee model with generic time-dependent drift in which: 1) we compute bond prices analytically; 2) the yield curve is sensible and the asymptotic yield is positive; and 3) our analytical solution provides a clean and simple way of separating volatility from the drift in the sho…
New approach to portfolio optimization shows entropy regularization is ineffective.
Bayesian Markowitz portfolio problem shows entropy regularization is ineffective.
Financial contracts with options that allow the holder to extend the contract maturity by paying an additional fixed amount found many applications in finance. Closed-form solutions for the price of these options have appeared in the literature for the case when the contract underlying asset follows a geometric Brownia…
Method learns SDEs from data snapshots.
This paper refines bounds on random walk speed in Teichmüller space.
We consider the problem of utility maximization for investors with power utility functions. Building on the earlier work Larsen et al. (2016), we prove that the value of the problem is a Frechet-differentiable function of the drift of the price process, provided that this drift lies in a suitable Banach space. We then …
In this note we find a formula for the supremum distribution of spectrally positive or negative Lévy processes with a broken linear drift. This gives formulas for ruin probabilities in the case when two insurance companies (or two branches of the same company) divide between them both claims and premia in some specifie…
The paper proves conditions for a manifold to have the Liouville property for the drifted Laplacian.
Increasingly, Internet of Things (IoT) domains, such as sensor networks, smart cities, and social networks, generate vast amounts of data. Such data are not only unbounded and rapidly evolving. Rather, the content thereof dynamically evolves over time, often in unforeseen ways. These variations are due to so-called con…
Market makers play an important role in providing liquidity to markets by continuously quoting prices at which they are willing to buy and sell, and managing inventory risk. In this paper, we build a multi-agent simulation of a dealer market and demonstrate that it can be used to understand the behavior of a reinforcem…
We consider a Bayesian financial market with one bond and one stock where the aim is to maximize the expected power utility from terminal wealth. The solution of this problem is known, however there are some conjectures in the literature about the long-term behavior of the optimal strategy. In this paper we prove now t…
Statistic dynamics of financial systems is investigated, basing on a model of randomly coupled equation system driven by stochastic Langevin force. It is found that in stable regime the noise power spectrum of the system is of 1/f^alpha form, with the exponent alpha=3/2 in case of Hermitian coupling matrices, or slight…
Detecting concept drift is a well known problem that affects production systems. However, two important issues that are frequently not addressed in the literature are 1) the detection of drift when the labels are not immediately available; and 2) the automatic generation of explanations to identify possible causes for …
Study explains mortgage burnout using Cox hazard models.
Paper uses machine learning to analyze stock market anomalies, predicting drift direction and portfolio performance.
In the present paper, we investigate the optimal capital injection behaviour of an insurance company if the interest rate is allowed to become negative. The surplus process of the considered insurance entity is assumed to follow a Brownian motion with drift. The changes in the interest rate are described via a Markov-s…
Let be either a Bernoulli random walk or a Brownian motion with drift, and let , . This paper solves the general optimal prediction problem \sup_{0\leqτ\leq T}\sE[f(M_T-B_τ)], where the supremum is over all stopping times adapted to the natural…
We investigate the problem of optimal dividend distribution for a company in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a Brownian motion with positive drift that is modulated by a finite state Markov chain, and model the discount rate as a deterministic function of the…
Estimates change point in high-dimensional dynamic graphical models.
Study confirms complex crypto market dynamics via non-linear potentials.
In this paper, we study the gradient estimates of Li-Yau-Hamilton type for positive solutions to both drifting heat equation and the simple nonlinear heat equation problem on the compact Riemannian manifold of dimension and with non-negative (Bakry-Emery)-Ricci curvature. Here…
The study improves Monte Carlo simulations for long-term investments using advanced financial models.
This review covers learning under concept drift, including detection, understanding, and adaptation.
Given the observation of a high-dimensional Ornstein-Uhlenbeck (OU) process in continuous time, we proceed to the inference of the drift parameter under a row-sparsity assumption. Towards that aim, we consider the negative log-likelihood of the process, penalized by an -penalization (Lasso and Adaptive Lasso). …
Even in the face of deteriorating and highly volatile demand, firms often invest in, rather than discard, aging technologies. In order to study this phenomenon, we model the firm's profit stream as a Brownian motion with negative drift. At each point in time, the firm can continue operations, or it can stop and exit th…
Paper improves Bayesian inference in federated learning with new algorithm VR-FALD*.
Identifies features most relevant to concept drift in data.
New method detects when models influence their own drift in real-time data streams.
This research identifies flaws in drift detection methods and creates adversarial data streams to exploit them.
The notion of drift refers to the phenomenon that the distribution, which is underlying the observed data, changes over time. Albeit many attempts were made to deal with drift, formal notions of drift are application-dependent and formulated in various degrees of abstraction and mathematical coherence. In this contribu…
This paper optimizes predicting support and resistance levels in financial markets.
A new drift detection method based on autoregressive models.
Adaptive sampling detects local concept drift with limited labels.
Algorithm detects concept drift and adapts models in streaming data.
Classifiers operating in a dynamic, real world environment, are vulnerable to adversarial activity, which causes the data distribution to change over time. These changes are traditionally referred to as concept drift, and several approaches have been developed in literature to deal with the problem of drift handling an…
The paper develops a method to learn SDE drift functions from sparse, noisy data.
Classifies polynomial growth solutions to drift-harmonic equations on asymptotically paraboloidal manifolds.
New methods learn from PU data with non-representative positives.
This paper investigates a financial market where stock returns depend on a hidden Gaussian mean reverting drift process. Information on the drift is obtained from returns and expert opinions in the form of noisy signals about the current state of the drift arriving at the jump times of a homogeneous Poisson process. Dr…
Investigates gradient descent dynamics and introduces new regularisation methods.
New method detects drift in high-dimensional data.
Detects drifts in data for classification tasks using constrained embeddings.
Estimates change point in high dimensional time series models.
Concept drift is formally defined as the change in joint distribution of a set of input variables X and a target variable y. The two types of drift that are extensively studied are real drift and virtual drift where the former is the change in posterior probabilities p(y|X) while the latter is the change in distributio…