arXiv research

We consider an optimal trading problem over a finite period of time during which an investor has access to both a standard exchange and a dark pool. We take the exchange to be an order-driven market and propose a continuous-time setup for the best bid price and the market spread, both modelled by Lévy processes. Effect…

New TTP framework fuses control arms while controlling Type-I error.

This work generalizes graph neural networks (GNNs) beyond those based on the Weisfeiler-Lehman (WL) algorithm, graph Laplacians, and diffusions. Our approach, denoted Relational Pooling (RP), draws from the theory of finite partial exchangeability to provide a framework with maximal representation power for graphs. RP …

A new Bayesian model improves forecasting for intermittent demand.

PDLPs reduce borrowing costs for perpetual futures traders.

We introduce normalized nonnegative models (NNM) for explorative data analysis. NNMs are partial convexifications of models from probability theory. We demonstrate their value at the example of item recommendation. We show that NNM-based recommender systems satisfy three criteria that all recommender systems should ide…

Convolutional neural networks (CNNs) have achieved remarkable performance in many applications, especially in image recognition tasks. As a crucial component of CNNs, sub-sampling plays an important role for efficient training or invariance property, and max-pooling and arithmetic average-pooling are commonly used sub-…

There is growing interest in the design of pension annuities that insure against idiosyncratic longevity risk while pooling and sharing systematic risk. This is partially motivated by the desire to reduce capital and reserve requirements while retaining the value of mortality credits; see for example Piggott, Valdez an…

We consider the task of collaborative preference completion: given a pool of items, a pool of users and a partially observed item-user rating matrix, the goal is to recover the \emph{personalized ranking} of each user over all of the items. Our approach is nonparametric: we assume that each item $i$ and each user $u$ h…

Global catastrophe risk pools increase financial resilience by diversifying risk and including more countries.

In most convolution neural networks (CNNs), downsampling hidden layers is adopted for increasing computation efficiency and the receptive field size. Such operation is commonly so-called pooling. Maximation and averaging over sliding windows (max/average pooling), and plain downsampling in the form of strided convoluti…

New image classifier uses hierarchical max-pooling with local pooling.

We seek to improve deep neural networks by generalizing the pooling operations that play a central role in current architectures. We pursue a careful exploration of approaches to allow pooling to learn and to adapt to complex and variable patterns. The two primary directions lie in (1) learning a pooling function via (…

Optimizes diversification in catastrophe risk pooling using asymptotic analysis.

An efficient algorithm identifies labels from sparse pooled data.

This paper investigates the impact of dark pools on price discovery (the efficiency of prices on stock exchanges to aggregate information). Assets are traded in either an exchange or a dark pool, with the dark pool offering better prices but lower execution rates. Informed traders receive noisy and heterogeneous signal…

This research simplifies lending pools in decentralized finance for better understanding and security.

Graph Neural Network (GNN) research has concentrated on improving convolutional layers, with little attention paid to developing graph pooling layers. Yet pooling layers can enable GNNs to reason over abstracted groups of nodes instead of single nodes. To close this gap, we propose a graph pooling layer relying on the …

Develops a novel global pooling framework using optimal transport.

This paper reviews SDR methods for multivariate response regression.

We consider interactive algorithms in the pool-based setting, and in the stream-based setting. Interactive algorithms observe suggested elements (representing actions or queries), and interactively select some of them and receive responses. Pool-based algorithms can select elements at any order, while stream-based algo…

In this work we compute lower Lipschitz bounds of $\ell_p$ pooling operators for $p=1, 2, \infty$ as well as $\ell_p$ pooling operators preceded by half-rectification layers. These give sufficient conditions for the design of invertible neural network layers. Numerical experiments on MNIST and image patches confirm tha…

We propose a novel graph pooling operation using cliques as the unit pool. As this approach is purely topological, rather than featural, it is more readily interpretable, a better analogue to image coarsening than filtering or pruning techniques, and entirely nonparametric. The operation is implemented within graph con…

Proposes a graph pooling method leveraging node proximity for hierarchical graph representation learning.

EarnMore uses masked stock representations to train RL agents for customizable stock pools efficiently.

Global pooling, such as max- or sum-pooling, is one of the key ingredients in deep neural networks used for processing images, texts, graphs and other types of structured data. Based on the recent DeepSets architecture proposed by Zaheer et al. (NIPS 2017), we introduce a Set Aggregation Network (SAN) as an alternative…

Graph neural networks, which generalize deep neural network models to graph structured data, have attracted increasing attention in recent years. They usually learn node representations by transforming, propagating and aggregating node features and have been proven to improve the performance of many graph related tasks…

Study characterizes Uniswap v3 liquidity pools using transaction graphs and identifies ideal trading conditions.

Optimal rebalancing strategy improves AMM pool performance by 25%.

High-fee pools attract more liquidity but execute less volume; low-fee pools have more stable LPs.

Study optimal liquidation strategies in lit and dark pools with and without regulation.

Graph Neural Networks (GNN) have been shown to work effectively for modeling graph structured data to solve tasks such as node classification, link prediction and graph classification. There has been some recent progress in defining the notion of pooling in graphs whereby the model tries to generate a graph level repre…

SpaPool combines dense and sparse techniques for efficient graph pooling.

The paper discusses a pooling mechanism to induce subsampling in graph structured data and introduces it as a component of a graph convolutional neural network. The pooling mechanism builds on the Non-Negative Matrix Factorization (NMF) of a matrix representing node adjacency and node similarity as adaptively obtained …

Graph Neural Networks (GNNs), which generalize deep neural networks to graph-structured data, have drawn considerable attention and achieved state-of-the-art performance in numerous graph related tasks. However, existing GNN models mainly focus on designing graph convolution operations. The graph pooling (or downsampli…

This research improves capital efficiency and impermanent loss in cryptocurrency markets using multi-token trading pools.

Study on pooled annuity funds and how initial savings affect income stability.

We propose a max-pooling based loss function for training Long Short-Term Memory (LSTM) networks for small-footprint keyword spotting (KWS), with low CPU, memory, and latency requirements. The max-pooling loss training can be further guided by initializing with a cross-entropy loss trained network. A posterior smoothin…

Proposes SimPool for graph pooling using structural similarity features.

Paper proposes a new method for more accurate group testing of infected patients.

We consider a finite-horizon market-making problem faced by a dark pool that executes incoming buy and sell orders. The arrival flow of such orders is assumed to be random and, for each transaction, the dark pool earns a per-share commission no greater than the half bid-ask spread. Throughout the entire period, the mai…

We introduce a simple and effective method for regularizing large convolutional neural networks. We replace the conventional deterministic pooling operations with a stochastic procedure, randomly picking the activation within each pooling region according to a multinomial distribution, given by the activities within th…

Convolutional layers in graph neural networks are a fundamental type of layer which output a representation or embedding of each graph vertex. The representation typically encodes information about the vertex in question and its neighbourhood. If one wishes to perform a graph centric task, such as graph classification,…

Sound event detection (SED) methods are tasked with labeling segments of audio recordings by the presence of active sound sources. SED is typically posed as a supervised machine learning problem, requiring strong annotations for the presence or absence of each sound source at every time instant within the recording. Ho…

Person Re-Identification (person re-id) is a crucial task as its applications in visual surveillance and human-computer interaction. In this work, we present a novel joint Spatial and Temporal Attention Pooling Network (ASTPN) for video-based person re-identification, which enables the feature extractor to be aware of …

Various types of structures that enable a group of individuals to pool their mortality risk have been proposed in the literature. Collectively, the structures are called pooled annuity funds. Since the pooled annuity funds propose different methods of pooling mortality risk, we investigate the connections between them …

Optimal fees for CFMMs prevent liquidity pools from competing to the bottom.

THS-GAN uses tensorizing and high-order pooling for AD diagnosis.