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.
The paper optimizes tax implementation delays for insurance companies with Lévy risk processes.
Neural Turing Machines (NTMs) are an instance of Memory Augmented Neural Networks, a new class of recurrent neural networks which decouple computation from memory by introducing an external memory unit. NTMs have demonstrated superior performance over Long Short-Term Memory Cells in several sequence learning tasks. A n…
The recent progress on capsule networks by Hinton et al. has generated considerable excitement in the machine learning community. The idea behind a capsule is inspired by a cortical minicolumn in the brain, whereby a vertically organised group of around 100 neurons receive common inputs, have common outputs, are interc…
In this paper we present CatBoost, a new open-sourced gradient boosting library that successfully handles categorical features and outperforms existing publicly available implementations of gradient boosting in terms of quality on a set of popular publicly available datasets. The library has a GPU implementation of lea…
This paper introduces libconform v0.1.0, a Python library for the conformal prediction framework, licensed under the MIT-license. libconform is not yet stable. This paper describes the main algorithms implemented and documents the API of libconform. Also some details about the implementation and changes in future versi…
NAIS co-design boosts AI model and implementation efficiency.
This paper analyses the implementation and calibration of the Heston Stochastic Volatility Model. We first explain how characteristic functions can be used to estimate option prices. Then we consider the implementation of the Heston model, showing that relatively simple solutions can lead to fast and accurate vanilla o…
Convolutional neural networks have recently achieved significant breakthroughs in various image classification tasks. However, they are computationally expensive,which can make their feasible mplementation on embedded and low-power devices difficult. In this paper convolutional neural network binarization is implemente…
Many computationally-efficient methods for Bayesian deep learning rely on continuous optimization algorithms, but the implementation of these methods requires significant changes to existing code-bases. In this paper, we propose Vprop, a method for Gaussian variational inference that can be implemented with two minor c…
Complex models are commonly used in predictive modeling. In this paper we present R packages that can be used to explain predictions from complex black box models and attribute parts of these predictions to input features. We introduce two new approaches and corresponding packages for such attribution, namely live and …
In this paper we solve the dividend optimization problem for a corporation or a financial institution when the managers of the corporation are facing (regulatory) implementation delays. We consider several cash reservoir models for the firm including two mean-reverting processes, Ornstein-Uhlenbeck and square-root proc…
Flow preserves curvature sharpness on weighted graphs.
Paper presents efficient algorithms for convolutional neural networks using Winograd minimal filtering.
Independent Component Analysis (ICA) is a dimensionality reduction technique that can boost efficiency of machine learning models that deal with probability density functions, e.g. Bayesian neural networks. Algorithms that implement adaptive ICA converge slower than their nonadaptive counterparts, however, they are cap…
This paper details the techniques and algorithms implemented in Kahler, a Python library that implements discrete exterior calculus on arbitrary Hermitian manifolds. Borrowing techniques and ideas first implemented in PyDEC, Kahler provides a uniquely general framework for computation using discrete exterior calculus. …
Paper proves Pareto efficient insurance for multiple entities.
Paper presents FPGA implementation for efficient recurrent neural networks.
Implemented Habegger-Lin algorithm for 4- and 5-component links.
Quantum SVT reduces credit risk analysis costs.
Recursive neural networks have widely been used by researchers to handle applications with recursively or hierarchically structured data. However, embedded control flow deep learning frameworks such as TensorFlow, Theano, Caffe2, and MXNet fail to efficiently represent and execute such neural networks, due to lack of s…
This paper improves PPCA robustness using -distributions.
This paper presents an asynchronous incremental aggregated gradient algorithm and its implementation in a parameter server framework for solving regularized optimization problems. The algorithm can handle both general convex (possibly non-smooth) regularizers and general convex constraints. When the empirical data loss…
Study quantifies reproducibility of machine learning papers.
This paper describes a distributed MapReduce implementation of the minimum Redundancy Maximum Relevance algorithm, a popular feature selection method in bioinformatics and network inference problems. The proposed approach handles both tall/narrow and wide/short datasets. We further provide an open source implementation…
Quantum computing speeds up risk analysis by efficiently sampling copulas.
The paper presents a method for detecting jump sizes in crude oil prices.
New method improves grouped convolutions on edge devices.
Paper presents quantum algorithms for pricing financial derivatives using complex models.
Python package for estimating Hurst exponent in fBm.
The paper uses data science to predict stock trends of Amazon, Apple, Google, and Microsoft.
Principal component analysis (PCA) is a statistical technique commonly used in multivariate data analysis. However, PCA can be difficult to interpret and explain since the principal components (PCs) are linear combinations of the original variables. Sparse PCA (SPCA) aims to balance statistical fidelity and interpretab…
Graphical models provide powerful tools to uncover complicated patterns in multivariate data and are commonly used in Bayesian statistics and machine learning. In this paper, we introduce the R package BDgraph which performs Bayesian structure learning for general undirected graphical models (decomposable and non-decom…
In this paper we propose WaveGlow: a flow-based network capable of generating high quality speech from mel-spectrograms. WaveGlow combines insights from Glow and WaveNet in order to provide fast, efficient and high-quality audio synthesis, without the need for auto-regression. WaveGlow is implemented using only a singl…
This paper presents an open-source enforcement learning toolkit named CytonRL (https://github.com/arthurxlw/cytonRL). The toolkit implements four recent advanced deep Q-learning algorithms from scratch using C++ and NVIDIA's GPU-accelerated libraries. The code is simple and elegant, owing to an open-source general-purp…
In this paper, we present iPrescribe, a scalable low-latency architecture for recommending 'next-best-offers' in an online setting. The paper presents the design of iPrescribe and compares its performance for implementations using different real-time streaming technology stacks. iPrescribe uses an ensemble of deep lear…
TorchBeast simplifies RL research in PyTorch.
New proof shows neural networks can represent all multivariate functions.
In this paper, we implement a stochastic deflator with five economic and financial risk factors: interest rates, market price of risk, stock prices, default intensities, and convenience yields. We examine the deflator with different financial assets, such as stocks, zero-coupon bonds, vanilla options, and corporate cou…
We introduce the C++ application and R package ranger. The software is a fast implementation of random forests for high dimensional data. Ensembles of classification, regression and survival trees are supported. We describe the implementation, provide examples, validate the package with a reference implementation, and …
In this paper we purpose a blockwise descent algorithm for group-penalized multiresponse regression. Using a quasi-newton framework we extend this to group-penalized multinomial regression. We give a publicly available implementation for these in R, and compare the speed of this algorithm to a competing algorithm --- w…
Paper proposes Bayesian TMLE methods for causal effect uncertainty quantification.
Study validates numerical method for singular FBSDEs convergence.
In this paper, we compare the performances of FAISS and FENSHSES on nearest neighbor search in Hamming space--a fundamental task with ubiquitous applications in nowadays eCommerce. Comprehensive evaluations are made in terms of indexing speed, search latency and RAM consumption. This comparison is conducted towards a b…
New metrics quantify implementation risk in portfolio backtesting, revealing systematic differences in engine implementations.
EiNets improve PCs for scalable probabilistic modeling.
Paper derives and applies a parallel transport equation on Lie groups.
Uncertainty computation in deep learning is essential to design robust and reliable systems. Variational inference (VI) is a promising approach for such computation, but requires more effort to implement and execute compared to maximum-likelihood methods. In this paper, we propose new natural-gradient algorithms to red…
We introduce geomstats, a python package that performs computations on manifolds such as hyperspheres, hyperbolic spaces, spaces of symmetric positive definite matrices and Lie groups of transformations. We provide efficient and extensively unit-tested implementations of these manifolds, together with useful Riemannian…