In this paper, we use replica analysis to determine the investment strategy that can maximize the net present value for portfolios containing multiple development projects. Replica analysis was developed in statistical mechanical informatics and econophysics to evaluate disordered systems, and here we use it to formula…
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48 results for “net value”
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.
We consider discrete nets in Grassmannians which generalize Q-nets (maps with planar elementary quadrilaterals) and Darboux nets (-valued maps defined on the edges of such that quadruples of points corresponding to elementary squares are all co…
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.
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.
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.
MAC Net is a compositional attention network designed for Visual Question Answering. We propose a modified MAC net architecture for Natural Language Question Answering. Question Answering typically requires Language Understanding and multi-step Reasoning. MAC net's unique architecture - the separation between memory an…
MANA-Net improves market predictions by dynamically weighting news sentiments.
problem Aggregated Sentiment Homogenization in financial news data.
method Dynamic market-news attention mechanism to aggregate sentiments.
result MANA-Net outperforms recent market prediction methods by 1.1% Profit & Loss and 0.252 daily Sharpe ratio.
We consider the problem of deep neural net compression by quantization: given a large, reference net, we want to quantize its real-valued weights using a codebook with entries so that the training loss of the quantized net is minimal. The codebook can be optimally learned jointly with the net, or fixed, as for bina…
Accurate volume segmentation from the Computed Tomography (CT) scan is a common prerequisite for pre-operative planning, intra-operative guidance and quantitative assessment of therapeutic outcomes in robot-assisted Minimally Invasive Surgery (MIS). 3D Deep Convolutional Neural Network (DCNN) is a viable solution for t…
Modelling and computer simulation of an insurance policy: A search for maximum profitcond-mat.stat-mech
We have developed a model for a life insurance policy. In this model the net gain is calculated by computer simulation for a particular type of lifetime distribution function. We observed that the net gain becomes maximum for a particular value of upper age of last premium. This paper is dedicated to Professor Dietrich…
RegPred Net forecasts foreign exchange rates with improved accuracy and interpretability.
problem Multi-step forecasting of Foreign Exchange (FX) rates.
method Bayesian optimization for hyperparameter tuning of a multi-layered regression network.
result RegPred Net significantly outperforms other models in terms of RMSE and correlation metrics.
In this paper we investigate the relationship between Funding Value Adjustment (FVA) and Net Stable Funding Ratio (NSFR). FVA is defined in a consistent way with NSFR such that the new framework of FVA monitors the costs due to keeping NSFR at an acceptable level, as well. In addition, the problem of choosing the optim…
Most deep learning-based models for speech enhancement have mainly focused on estimating the magnitude of spectrogram while reusing the phase from noisy speech for reconstruction. This is due to the difficulty of estimating the phase of clean speech. To improve speech enhancement performance, we tackle the phase estima…
Investigating U-Nets with various Intermediate Blocks for Spectrogram-based Singing Voice Separationeess.AS
Singing Voice Separation (SVS) tries to separate singing voice from a given mixed musical signal. Recently, many U-Net-based models have been proposed for the SVS task, but there were no existing works that evaluate and compare various types of intermediate blocks that can be used in the U-Net architecture. In this pap…
Generative modeling over natural images is one of the most fundamental machine learning problems. However, few modern generative models, including Wasserstein Generative Adversarial Nets (WGANs), are studied on manifold-valued images that are frequently encountered in real-world applications. To fill the gap, this pape…
This article concerns the expressive power of depth in deep feed-forward neural nets with ReLU activations. Specifically, we answer the following question: for a fixed what is the minimal width so that neural nets with ReLU activations, input dimension , hidden layer widths at most and …
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.
Catapult phase in neural nets shows exponential loss growth before quick decrease.
problem Understanding phase transitions in neural networks during training.
method Analyzing weight norm and loss behavior for super-critical learning rates.
result Proven existence of catapult phase in quadratic models and two-layer nets.
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.
New SVM model balances sparsity and robustness in noisy data.
problem Noise sensitivity and lack of sparsity in traditional SVM models.
method Combines elastic net loss with robust loss framework, integrates with SVM, uses half-quadratic algorithm.
result Proves sparsity and robustness, outperforms traditional SVMs in noisy environments.
Within the framework of statistical learning theory we analyze in detail the so-called elastic-net regularization scheme proposed by Zou and Hastie for the selection of groups of correlated variables. To investigate on the statistical properties of this scheme and in particular on its consistency properties, we set up …
Optimizes gradual reduction of excess carbon emissions to net-zero.
problem Achieving net-zero carbon emissions through gradual reduction of excess emissions.
method Stochastic control approach to identify optimal emission strategy under constraints.
result Identifies the emission strategy that maximizes future profit from excess emissions.
Residual U-net with Self-Attention to Solve Multi-Agent Time-Consistent Optimal Trade Executionq-fin.TR
Deep neural net solves multi-agent optimal trading problem.
problem Optimal trade execution for multiple agents and assets.
method Residual U-net with self-attention for viscosity solution approximation.
result Neural network approach outperforms finite difference methods.
A new method predicts precipitation distributions from ensemble forecasts.
problem Improving accuracy and calibration of precipitation forecasts.
method Distributional regression U-Nets for postprocessing ensemble precipitation forecasts.
result Competitive performance in continuous ranked probability score, especially for heavy precipitation.
This study shows neural nets can approximate Turing machines with meaningful statistical properties.
problem Theoretical limitations in approximating Turing machines with neural networks.
method Formal definition of statistically meaningful approximation, analysis of boolean circuits and Turing machines using neural nets.
result Transformers can statistically meaningfully approximate Turing machines with polynomial sample complexity.
The study addresses overlooked data-generating processes in time-series asset pricing.
problem The literature on time-series asset pricing overlooks the data-generating processes for factors expressed in return differences.
method The study proposes a new definition of returns and compound returns for factors, and uses OLS with net returns for single-index models.
result OLS with net returns for single-index models leads to inflated alphas, exaggerated t-values, and overestimated Sharpe ratios.
New method uses neural nets in Hilbert space for option pricing on flow forwards.
problem Pricing options on flow forwards with neural networks in Hilbert space.
method Optimization problem in Hilbert space solved by a novel feedforward neural network architecture.
result Excellent numerical efficiency and superior performance over classical methods.
ROM-net framework applies to industrial design uncertainty quantification.
problem Uncertainty quantification in industrial design models.
method Dictionary-based ROM-net framework for reduced order modeling.
result ROM-net computes predictions in 2 hours with high accuracy.
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 …
A novel method for learning DAGs from positive-valued data.
problem Causal discovery from observational data of positive-valued variables.
method Hybrid Moment-Ratio Scoring (H-MRS) algorithm combining moment-based scoring and log-scale regression.
result H-MRS integrates log-scale Ridge regression for moment-ratio estimation with a greedy ordering procedure based on raw-scale moment ratios, followed by Elastic Net-based parent selection.
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…
The paper develops methods for high-dimensional inference in Markov random fields.
problem Statistical inference for high-dimensional Markov random fields.
method Markov Chain Monte Carlo Maximum Likelihood Estimation (MCMC-MLE) with Elastic-net regularization.
result The proposed methods achieve -consistency and false discovery rate control.
Valuing Post-Revenue Biopharmaceutical Assets with Pfizer's Current Portfolio as a Case Studyq-fin.PR
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.
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…
In this paper, we build an organization of high-dimensional datasets that cannot be cleanly embedded into a low-dimensional representation due to missing entries and a subset of the features being irrelevant to modeling functions of interest. Our algorithm begins by defining coarse neighborhoods of the points and defin…
The paper explores discrete isothermic nets using checkerboard patterns in quadrilateral nets.
problem Defining and understanding discrete isothermic nets in quadrilateral nets.
method Using checkerboard patterns and discrete differential geometry to define and analyze isothermic nets.
result The class of isothermic nets is invariant under dualization and Moebius transformations.
A new method uses recurrent nets to efficiently estimate SEIR model parameters.
problem Estimating SEIR model parameters is slow and inaccurate with grid search.
method Transform non-differentiable problem to differentiable one using recurrent nets.
result Significantly better parameter estimations with fewer simulations.
We investigate the common underlying discrete structures for various smooth and discrete nets. The main idea is to impose the characteristic properties of the nets not only on elementary quadrilaterals but also on larger parameter rectangles. For discrete planar quadrilateral nets, circular nets, -nets and conical…
Metrics assess uncertainty structure and distribution for regression models.
problem Quantifying uncertainty in high-dimensional and nonlinear regression tasks.
method Two bounded comparison metrics for uncertainty structure and distribution.
result DNNs and DNOs provide encouraging uncertainty metric values in high dimensions.
RENT selects stable features for robust model interpretation.
problem Stability in feature selection for robust model interpretation.
method RENT uses an ensemble of elastic net models trained on distinct subsets of data.
result RENT selects features with high stability improving model robustness.
In this paper, we introduce transformations of deep rectifier networks, enabling the conversion of deep rectifier networks into shallow rectifier networks. We subsequently prove that any rectifier net of any depth can be represented by a maximum of a number of functions that can be realized by a shallow network with a …
Discretizes special surfaces using Koenigs nets.
problem Integrable structure of special surfaces.
method Discretisation via Koenigs nets.
result Preserves integrable structure in discretization.
We discuss discretization of Koenigs nets (conjugate nets with equal Laplace invariants) and of isothermic surfaces. Our discretization is based on the notion of dual quadrilaterals: two planar quadrilaterals are called dual, if their corresponding sides are parallel, and their non-corresponding diagonals are parallel.…
Classifies nets with area-preserving transformations into two types.
problem Classifying nets with area-preserving transformations.
method Classification using Combescure transformations and isotropic metric duality.
result Found two classes of nets: cone nets and Koenigs nets.
New metric to measure liquidity position PNL, delta hedging algorithm for automated market makers.
problem Vulnerability of liquidity positions to price changes in underlying assets.
method Proposes a new metric for measuring PNL, delta hedging algorithm for various AMMs.
result New metric more accurately measures net value change due to price movement.
Defines CAMC discrete nets and their properties.
problem Understanding CAMC discrete nets and their properties.
method Defining CAMC discrete nets and proving properties.
result Properties of CAMC discrete nets are equivalent to properties of compatible interpolating quadrics.
The implementation of the Own Risk and Solvency Assessment is a critical issue raised by Pillar II of Solvency II framework. In particular the Overall Solvency Needs calculation left the Insurance companies to define an optimal entity-specific solvency constraint on a multi-year time horizon. In a life insurance societ…