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 a new framework for integrating satellite allocations in small portfolios.
We provide a methodology, resilient feature engineering, for creating adversarially resilient classifiers. According to existing work, adversarial attacks identify weakly correlated or non-predictive features learned by the classifier during training and design the adversarial noise to utilize these features. Therefore…
Knowledge Distillation (KD) consists of transferring âknowledgeâ from one machine learning model (the teacher) to another (the student). Commonly, the teacher is a high-capacity model with formidable performance, while the student is more compact. By transferring knowledge, one hopes to benefit from the studentâs…
We study optimal investment problem for a diffusion market consisting of a finite number of risky assets (for example, bonds, stocks and options). Risky assets evolution is described by Ito's equation, and the number of risky assets can be larger than the number of driving Brownian motions. We assume that the risk-free…
Various measures can be used to estimate bias or unfairness in a predictor. Previous work has already established that some of these measures are incompatible with each other. Here we show that, when groups differ in prevalence of the predicted event, several intuitive, reasonable measures of fairness (probability of p…
IETNet identifies important channels for MVTS classification.
Develops a Causal Transformer for estimating counterfactual outcomes from longitudinal data.
The study identifies spurious correlations in high-dimensional regression and quantifies their impact.