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.
Develops M2 model for next-basket recommendation considering user preferences, item popularity, and transition patterns.
Next basket recommendation improved with context-aware item representations.
This study tackles mutual fund portfolio prediction, focusing on novel items.
Paper introduces RTT2Vec for real-time grocery recommendations, achieving 9.4% uplift over baselines.
Complementary products recommendation is an important problem in e-commerce. Such recommendations increase the average order price and the number of products in baskets. Complementary products are typically inferred from basket data. In this study, we propose the BB2vec model. The BB2vec model learns vector representat…
Determinantal point processes (DPPs) have received significant attention in the recent years as an elegant model for a variety of machine learning tasks, due to their ability to elegantly model set diversity and item quality or popularity. Recent work has shown that DPPs can be effective models for product recommendati…
Recommender systems (RS) help users navigate large sets of items in the search for "interesting" ones. One approach to RS is Collaborative Filtering (CF), which is based on the idea that similar users are interested in similar items. Most model-based approaches to CF seek to train a machine-learning/data-mining model b…
Study efficient numerical methods for American basket options.
SANST uses self-attentive networks with spatial and temporal embeddings for better POI recommendations.
New model mimics neural next item recommendation using Hankel matrices.
iPrescribe offers fast online offer recommendations using deep learning.
The paper proposes a new method for product recommendation that considers revenue contributions and user similarity.
Model predicts next destination for users based on past trips and features.
In many online applications interactions between a user and a web-service are organized in a sequential way, e.g., user browsing an e-commerce website. In this setting, recommendation system acts throughout user navigation by showing items. Previous works have addressed this recommendation setup through the task of pre…
Which song will Smith listen to next? Which restaurant will Alice go to tomorrow? Which product will John click next? These applications have in common the prediction of user trajectories that are in a constant state of flux over a hidden network (e.g. website links, geographic location). What users are doing now may b…
In recent years, the Word2Vec model trained with the Negative Sampling loss function has shown state-of-the-art results in a number of machine learning tasks, including language modeling tasks, such as word analogy and word similarity, and in recommendation tasks, through Prod2Vec, an extension that applies to modeling…
Convolutional Neural Networks (CNNs) have been recently introduced in the domain of session-based next item recommendation. An ordered collection of past items the user has interacted with in a session (or sequence) are embedded into a 2-dimensional latent matrix, and treated as an image. The convolution and pooling op…
Proposes a model to recommend products at the right time to meet user demands.
New method uses bandit feedback to better evaluate recommender systems.
In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality. First, we obtain an asymptotic formula with an error bound for the left wing of the implied volatility, under the assumption that the dy…
Flat plumbing basket surfaces of links were introduced to study the geometry of the complement of the links. These flat plumbing basket surface can be presented by a sequential presentation known as flat plumbing basket code first found by Furihata, Hirasawa and Kobayashi. The minimum number of flat plumbings to obtain…
Quantum state preparation framework speeds up basket option pricing.
Flat plumbing basket surfaces of links were introduced to study the geometry of the complement of the links. In present article, we study links of the flat plumbing basket numbers or less using a special presentation of the flat plumbing basket surfaces. We find a complete classification theorem of links of the fla…
We define the basket number, the flat plumbing number and the flat plumbing basket number of a link. Then we provide some upperbounds for these plumbing numbers by using Seifert's algorithm. We study the relation between these plumbing numbers and the genera of links.
A flat plumbing basket is a Seifert surface consisting of a disk and bands contained in distinct pages of the disk open book decomposition of the 3-sphere. In this paper, we examine close connections between flat plumbing baskets and the contact structure supported by the open book. As an application we give lower boun…
News recommender systems are aimed to personalize users experiences and help them to discover relevant articles from a large and dynamic search space. Therefore, news domain is a challenging scenario for recommendations, due to its sparse user profiling, fast growing number of items, accelerated item's value decay, and…
Method calibrates basket options using rearranged samples from constituent processes.
Paper improves basket option pricing for log-normal models.
A flat plumbing basket is a surface consisting a disk and finitely many bands which are contained in distinct pages of the trivial open book decomposition of . In this paper, we construct a Legendrian link from a flat plumbing basket, and we describe a relation among the self-linking number, the Thursto…
The paper solves the skewness problem in high-dimensional basket options.
Pricing of European basket call option with n-assets and a bond is discussed in this paper, where all prices of n-assets and the bond are driven by Exponential Ornstein-Uhlenbeck processes. The close-form of European basket option pricing formula is derived. Utilizing with 1-order differential approximate numerical sol…
Generative model prices basket options efficiently.
Word embeddings are a powerful approach for capturing semantic similarity among terms in a vocabulary. In this paper, we develop exponential family embeddings, a class of methods that extends the idea of word embeddings to other types of high-dimensional data. As examples, we studied neural data with real-valued observ…
Determinantal point processes (DPPs) are an elegant model for encoding probabilities over subsets, such as shopping baskets, of a ground set, such as an item catalog. They are useful for a number of machine learning tasks, including product recommendation. DPPs are parametrized by a positive semi-definite kernel matrix…
The study analyzes the differences between physical and risk-neutral correlation estimates for equity baskets.
The existence of basket, flat plumbing and flat plumbing basket surfaces of a link was first proven from a braid representative of the link. In the present article, we show the existence of such surfaces from an induced graph of the link. Consequently, we define the basket number, flat plumbing number and flat plumbing…
New formulas for pricing Asian and basket options using stochastic expansion.
New approximations for Asian basket spread options using stochastic Taylor expansions.
Paper improves CDO calibration using Magnus Expansion and Deep Learning.
Basket links are shown to be isotopic to .
ComiRec framework predicts user interests for personalized recommendations.
System recommends workouts and predicts success rates using RNNs.
Algorithm improves query recommendations with immediate user feedback.
In this paper we give definitions of matrix rates of return which do not depend on the choice of basis describing baskets. We give their economic interpretation. The matrix rate of return describes baskets of arbitrary type and extends portfolio analysis to the complex variable domain. This allows us for simultaneous a…
Adobe research tackles strategic recommendations using reinforcement learning.
The possibility that the collective dynamics of a set of stocks could lead to a specific basket violating the efficient market hypothesis is investigated. Precisely, we show that it is systematically possible to form a basket with a non-trivial autocorrelation structure when the examined time scales are at the order of…
This work addresses the problem of pricing American basket options in a multivariate setting, which includes among others, the Bachelier and the Black-Scholes models. In high dimensions, nonlinear partial differential equation methods for solving the problem become prohibitively costly due to the curse of dimensionalit…
The flat plumbing basket presentation of a link is introduced by Furihata, Hirasawa and Kobayashi. In this paper, we show that the pass-equivalence and an equivalence introduced by using the flat plumbing basket presentation are the same relation. Furthermore, we obtain an evaluation of the minimal number of bands used…