Paper uses replica analysis to optimize net present value in investment portfolios.
problem Maximizing net present value in portfolios of multiple development projects.
method Replica analysis applied to optimization problem with budget and investment constraints.
result Replica analysis yields higher net present value than conventional methods.
Big investments are fragile and prone to poor outcomes due to uncertainty.
problem The fragility of large capital investments leading to poor returns.
method Characterizing fragility as easily harmed by randomness and analyzing various sources of uncertainty.
result Big capital investments have a disproportionate exposure to uncertainties that can lead to negative returns.
We define and discuss the notion of pseudospherical surfaces in asymptotic coordinates on time scales. Thus we extend well known notions of discrete pseudospherical surfaces and smooth pseudosperical surfaces on more exotic domains (e.g, the Cantor set). In particular, we present a new expression for the discrete Gauss…
Paper tackles optimization challenges in deep neural nets, presenting Newton-based methods.
problem Optimization challenges in solving deep neural net models for classification problems.
method Newton-based method incorporating negative curvature directions.
result Promising numerical results on security anomaly detection data.
Financial planners helped preserve and increase household net financial assets during the Great Recession.
problem Impact of financial planners on household net financial assets during the Great Recession.
method Utilized 2007-2009 Survey of Consumer Finances (SCF) panel dataset, analyzed 3,862 respondents.
result Starting to use a financial planner during the Great Recession had a positive impact on preserving and increasing household net financial assets.
LSQ+ improves quantization of neural nets with Swish activations, achieving state-of-the-art results.
problem Quantization of neural nets with Swish activations, especially negative activations, leads to significant performance loss.
method Introduces learnable scale and offset parameters for asymmetric quantization, and uses MSE-based initialization for quantization parameters.
result Significantly outperforms LSQ for low-bit quantization of neural nets with Swish activations, achieving up to 5.6% gain with W2A2 quantization of EfficientNet-B0.
Model assesses loan profitability under changing credit conditions.
problem Financial institutions face risks of default and prepayment.
method Develops a Random Net Present Value (RNPV) model to evaluate profitability.
result Mean and variance of RNPV calculated at individual and portfolio levels.
New analysis shows rational actors will deploy AGI despite negative social value due to catastrophic risk.
problem Rational actors will deploy AGI despite negative social value due to shared catastrophic risk.
method Continuous-time preemption game with shared catastrophic externalities, showing suicide region and welfare distortion.
result The suicide region widens as catastrophic risk grows, and two mechanisms can close it.
We present a 2x2 Lax representation for discrete circular nets of constant negative Gauß curvature. It is tightly linked to the 4D consistency of the Lax representation of discrete K-nets (in asymptotic line parametrization). The description gives rise to Bäcklund transformations and an associated family. All the membe…
An embedded cubic graph consisting of segments of geodesics such that the angles at any vertex are equal to 2π/3 is a closed local minimal net. This net is regular if all segments of geodesics are equal. The problem of classification of closed local minimal nets on surfaces of constant negative curvature has been for…
New Bäcklund transformations for discrete pseudospherical surfaces of revolution are found.
problem Constructing new non-rotational discrete pseudospherical surfaces.
method Explicit parametrizations and Bäcklund transformations for discrete constant negative Gaussian curvature surfaces of revolution.
result Conditions for Bäcklund transformations to preserve periodicity are provided.
Integrable nets described with curvature relations to pseudospherical surfaces.
problem Describing integrable curve nets and their geometric properties.
method Overview of second-order invariants, specific example of concordant nets, and construction of pseudospherical surfaces.
result Concordant Chebyshev nets correspond to pairs of pseudospherical surfaces.
Study examines time-varying betas and their volatility in bank interest income and expense margins.
problem Understanding the variability of bank betas and their impact on net interest margins.
method Used state-space methods to estimate time-varying betas and conditional volatility.
result Substantial variation in interest income and expense betas, leading to varying net interest margin coefficients.
In this paper we study a spectrally negative Lévy process which is refracted at its running maximum and at the same time reflected from below at a certain level. Such a process can for instance be used to model an insurance surplus process subject to tax payments according to a loss-carry-forward scheme together with t…
The paper improves NBR for count data using elastic-net regularization, achieving consistency and weak signal detection.
problem Sparse negative binomial regression for count data with non-asymptotic advantages.
method Elastic-net estimator with oracle inequalities derived under Compatibility Factor Condition and Stabil Condition.
result Sign consistency and grouping effect with high probability, and true variable set recovery under certain conditions.
nUDEs use neural networks to model biology without negative values.
problem Unrealistic negative values in hybrid models of biology.
method Developed non-negative UDEs (nUDEs) with regularization techniques.
result nUDEs provide realistic solutions for biological models.
Optimal trading strategy with Poisson process times and price impact.
problem Maximizing net present value in algorithm trading with multiplicative price impact.
method Modelled optimal strategy with Poisson inter-selling times and barrier form.
result An optimal strategy has a barrier form depending on remaining shares and asset price.
Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of asset values, a bank must closely monitor its net worth as well as market conditions, and one of its important concerns …
PIVEN predicts both specific values and prediction intervals.
problem Improving robustness of neural nets in regression tasks.
method PIVEN is a deep neural network that produces both a prediction interval and a specific value prediction.
result PIVEN produces tighter uncertainty bounds than state-of-the-art approaches for prediction intervals.
Comparison of decision curve analysis and cost curves for model evaluation.
problem Evaluating classification performance across different operating contexts.
method Comparison of Decision Curve Analysis (DCA) and Cost Curves.
result DCA and Cost Curves are closely related, with Brier curves being more generally applicable.
We investigate geometric aspects of the the Bäcklund transform of principal contact element nets. A Bäcklund transform exists if and only if it the principal contact element net is of constant negative Gaussian curvature (a pseudosphere). We describe an elementary construction of the Bäcklund transform and prove its co…
Cooperation is a persistent behavioral pattern of entities pooling and sharing resources. Its ubiquity in nature poses a conundrum. Whenever two entities cooperate, one must willingly relinquish something of value to the other. Why is this apparent altruism favored in evolution? Classical solutions assume a net fitness…
This paper improves fund net value prediction using ARIMA-LSTM hybrid model.
problem Inaccurate prediction of fund net value due to linear characteristics of models.
method ARIMA-LSTM hybrid model: ARIMA for linear characteristics, LSTM for nonlinear.
result Hybrid model shows higher accuracy in predicting fund net value.
The basic financial purpose of corporation is creation of its value. Liquidity management should also contribute to realization of this fundamental aim. Many of the current asset management models that are found in financial management literature assume book profit maximization as the basic financial purpose. These boo…
Z-Net improves 3D CT volume segmentation for surgical planning.
problem Discontinuities and class-imbalances in 3D CT volume segmentation.
method Z-Net uses anisotropic spatial separable convolutions to preserve full field-of-view.
result Z-Net achieves up to 12.6% improvement in IoU for CT segmentation.
Delay-SDE-net models time series with memory and uncertainty, outperforming other models.
problem Accurately modeling time series with memory and uncertainty.
method Stochastic delay differential equations (SDDEs) neural network model with aleatoric and epistemic uncertainty.
result The Delay-SDE-net consistently outperforms other models in predicting time series values and uncertainties.
This study improves valuation of post-revenue biopharmaceutical assets using Pfizer's data.
problem Accurate valuation of post-revenue drug assets in biotech and pharma.
method Historical sales data analysis to forecast future sales and calculate Net Present Value.
result Demonstrates a method for more informed investment decisions in biotech and pharma.
Unified theory explains housing cycle across metros, showing credit expansion impacts.
problem Puzzling correlations between income and mortgage growth across ZIP codes and metros.
method Unified credit expansion theory, double differences, instrumental variables.
result Credit expansion drives housing cycle, affecting boom, bust, and recovery phases.
The main goal of this paper is presentation a modern axiomatic approach to financial arithmetic. At the first, the axiomatic financial arithmetic theory was proposed by Peccati who has introduced the axiomatic definition of the future value. This theory has been extensively developed in past years. Proposed approach to…
We consider discrete nets in Grassmannians Grd which generalize Q-nets (maps ZN→Pd with planar elementary quadrilaterals) and Darboux nets (Pd-valued maps defined on the edges of ZN such that quadruples of points corresponding to elementary squares are all co…
Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lendingq-fin.PR We present a dialogue on Counterparty Credit Risk touching on Credit Value at Risk (Credit VaR), Potential Future Exposure (PFE), Expected Exposure (EE), Expected Positive Exposure (EPE), Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA), DVA Hedging, Closeout conventions, Netting clauses, Collateral …
Study measures impact of data and neural net similarity on transferability in restaurant sales data.
problem Identify indicators for successful transferability of neural nets across different data sets.
method Empirical study on sales data from six restaurants, calculating indicators based on data and neural net similarities.
result Negative correlations between transferability and indicators, allowing better model performance and fewer transfers.
Study analyzes factors affecting capital adequacy in Bangladesh's banks.
problem Factors influencing capital adequacy in commercial banks in Bangladesh.
method Fixed Effect, Random Effect, and Pooled Ordinary Least Square (POLS) methods.
result Several independent variables significantly affect capital adequacy, with specific relationships between leverage, liquidity risk, and other factors.
The paper analyzes strategic irreversible investments with novel dynamic strategies.
problem Tradeoff between preemption incentives and option value of waiting in oligopolistic markets.
method Developed novel Markov perfect equilibrium to handle singular control of optimal investment.
result Simpler strategies lead to a 'preemption trap' with zero net present values.
A fast method estimates group-adaptive elastic net penalties using co-data.
problem Computational inefficiency in estimating group-adaptive elastic net penalties.
method Derive low-dimensional representation of Taylor approximation for marginal likelihood and its derivative for group-adaptive ridge penalties; approximate elastic net marginal likelihood by ridge; transform ridge penalties to elastic net penalties.
result Significantly decreases computation time and outperforms other methods.
Geometric approach uses Bäcklund transformations to create integrable discrete analogs of surface nets.
problem Creating integrable discrete analogs of surface nets and conjugate nets.
method Interpreting classical differential geometry results through Bäcklund transformations and applying permutability properties.
result Integrable discrete analogs of asymptotic and conjugate nets are constructed.
Improved U-Nets with various intermediate blocks enhance singing voice separation.
problem Improving singing voice separation accuracy using U-Net architectures.
method Implemented and compared U-Nets with different intermediate spectrogram transformation blocks.
result A specific block type achieves state-of-the-art SDR by 0.9 dB.
Geometric structures on NQ-manifolds, i.e.~non-negatively graded manifolds with an homological vector field, encode non-graded geometric data on Lie algebroids and their higher analogues. A particularly relevant class of structures consists of vector bundle valued differential forms. Symplectic forms, contac…
Study finds dividend payout policy positively impacts firm profitability.
problem Determining the optimal dividend payout ratio and its effect on financial performance.
method Panel data analysis of 60 Indian listed firms over 10 years, using ROA as a proxy for profitability.
result Positive and significant relationship between dividend payout policy and firm performance.
This paper evaluates heuristics and hyperparameters in weight-sharing NAS methods.
problem Improving the performance of weight-sharing NAS methods.
method Systematic evaluation of heuristics and hyperparameters in weight-sharing NAS algorithms.
result Some heuristics negatively impact super-net and stand-alone performance correlation.
A method is presented to integrate explicitly a class of checkerboard IC-nets.
problem Integrating a class of checkerboard IC-nets.
method Based on Laguerre geometry and underlying pencils of conics and quadrics.
result Explicit parametrisation of checkerboard IC-nets.
Study shows how bad and good volatility spread differently in forex markets.
problem Understanding how volatility spreads asymmetrically in forex markets.
method High-frequency, intra-day data of major currencies from 2007-2015.
result Negative spillovers are linked to sovereign debt crisis, positive to subprime and monetary policies.
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…
This paper tackles generating manifold-valued images using WGAN.
problem Generating manifold-valued images over natural images.
method Formulated a theorem of optimal transport for Wasserstein distance on manifolds, introduced a new WGAN framework.
result Proposed model generates more plausible manifold-valued images than competitors.
Investigates how NSFR affects FVA and formulates FVA as a shortest path problem.
problem Relationship between FVA and NSFR, and optimal funding strategy.
method Formulates FVA as a shortest path problem, calculates optimal funding decisions.
result Provides optimal funding decisions for minimum funding cost.
DNF-Net tackles tabular data challenges with neural architecture.
problem Handling tabular data efficiently using neural networks.
method DNF-Net uses a neural architecture with inductive bias corresponding to logical Boolean formulas in disjunctive normal form over affine soft-threshold decision terms.
result DNF-Net significantly outperforms fully connected networks on tabular data.
Study examines cash conversion cycle in manufacturing firms, finding negative relationships with profitability and size.
problem Understanding cash conversion cycle in manufacturing firms and its impact on profitability and size.
method Empirical study of 30 manufacturing firms in Dhaka Stock Exchanges, categorizing them into six industries, analyzing industry averages and relationships with size and profitability.
result Negative relationship between cash conversion cycle and profitability, especially ROE; negative relationship with firm size in terms of net sales.
It is well known that the out-of-sample performance of Markowitz's mean-variance portfolio criterion can be negatively affected by estimation errors in the mean and covariance. In this paper we address the problem by regularizing the mean-variance objective function with a weighted elastic net penalty. We show that the…