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.
Study on SA with heavy-tailed and LRD noise, establishing finite-time bounds.
Mini-batch SGD with momentum is a fundamental algorithm for learning large predictive models. In this paper we develop a new analytic framework to analyze noise-averaged properties of mini-batch SGD for linear models at constant learning rates, momenta and sizes of batches. Our key idea is to consider the dynamics of t…
We have recently introduced the ``thermal optimal path'' (TOP) method to investigate the real-time lead-lag structure between two time series. The TOP method consists in searching for a robust noise-averaged optimal path of the distance matrix along which the two time series have the greatest similarity. Here, we gener…
Neural networks auto-denoise similar inputs, enabling new statistical analysis.
New findings show convergence in SA without square summable step sizes.