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.
This paper is part of an ongoing investigation of "pragmatic information", defined in Weinberger (2002) as "the amount of information actually used in making a decision". Because a study of information rates led to the Noiseless and Noisy Coding Theorems, two of the most important results of Shannon's theory, we begin …
Unified framework for hybrid learning and optimization via active inference.
A number of approaches to solving the well-known transfer pricing problem are known. However, few models satisfactorily resolve the core problem of allowing both the source and receiving divisions to earn a profit on transfers during a period in such a way that sub-optimal output levels are avoided. In 1969, Samuel pro…
More than 50 years ago Bongard introduced 100 visual concept learning problems as a testbed for intelligent vision systems. These problems are now known as Bongard problems. Although they are well known in the cognitive science and AI communities only moderate progress has been made towards building systems that can so…
Unsupervised machine learning helps design complex experiments more efficiently.
Optimizes explanations for better listener understanding.
Rehabilitation training is the primary intervention to improve motor recovery after stroke, but a tool to measure functional training does not currently exist. To bridge this gap, we previously developed an approach to classify functional movement primitives using wearable sensors and a machine learning (ML) algorithm.…
Causal discovery predicts unobserved joint statistics from observed data.
This paper applies Heath-Jarrow-Morton framework to energy markets for practical use.
Companies increasingly expose machine learning (ML) models trained over sensitive user data to untrusted domains, such as end-user devices and wide-access model stores. We present Sage, a differentially private (DP) ML platform that bounds the cumulative leakage of training data through models. Sage builds upon the ric…
AIF reformulated as convex MDP for adaptive behavior.
Method constructs confidence regions for linear models with arbitrary predictors.
We discuss several uses of blockchain (and, more generally, distributed ledger) technologies outside of cryptocurrencies with a pragmatic view. We mostly focus on three areas: the role of coin economies for what we refer to as data malls (specialized data marketplaces); data provenance (a historical record of data and …
We develop a general duality between neural networks and compositional kernels, striving towards a better understanding of deep learning. We show that initial representations generated by common random initializations are sufficiently rich to express all functions in the dual kernel space. Hence, though the training ob…
We give a pragmatic/pedagogical discussion of using Euclidean path integral in asset pricing. We then illustrate the path integral approach on short-rate models. By understanding the change of path integral measure in the Vasicek/Hull-White model, we can apply the same techniques to "less-tractable" models such as the …
The study models insurance dependence using Bernstein copulas.
In the framework of Embedded Value new standards, namely the MCEV norms, the latest principles published in June 2008 address the issue of market and underwriting risks measurement by using stochastic models of projection and valorization. Knowing that stochastic models particularly data-consuming, the question which c…
This paper argues that the fundamental principle of contemporary financial economics is balanced reciprocity, not the principle of utility maximisation that is important in economics more generally. The argument is developed by analysing the mathematical Fundamental Theory of Asset Pricing with reference to the emergen…
The field of high-energy physics (HEP), along with many scientific disciplines, is currently experiencing a dramatic influx of new methodologies powered by modern machine learning techniques. Over the last few years, a growing body of HEP literature has focused on identifying promising applications of deep learning in …
Speech Acts (SAs) are one of the important areas of pragmatics, which give us a better understanding of the state of mind of the people and convey an intended language function. Knowledge of the SA of a text can be helpful in analyzing that text in natural language processing applications. This study presents a diction…
This paper explores supervised techniques for continuous anomaly detection from biometric touch screen data. A capacitive sensor array used to mimic a touch screen as used to collect touch and swipe gestures from participants. The gestures are recorded over fixed segments of time, with position and force measured for e…
The concept of progress has characterized human society from millennia. However, this concept is elusive and too often given for certain. The goal of this paper is to suggest a general definition of human progress that satisfies, whenever possible the conditions of independence, generality, epistemological applicabilit…
This is a brief technical note to clarify some of the issues with applying the application of the algorithm posterior sampling for reinforcement learning (PSRL) in environments without fixed episodes. In particular, this paper aims to: - Review some of results which have been proven for finite horizon MDPs (Osband et a…
This paper develops a Bayesian procedure for estimation and forecasting of the volatility of multivariate time series. The foundation of this work is the matrix-variate dynamic linear model, for the volatility of which we adopt a multiplicative stochastic evolution, using Wishart and singular multivariate beta distribu…
Analyzing multivariate time series data is important to predict future events and changes of complex systems in finance, manufacturing, and administrative decisions. The expressiveness power of Gaussian Process (GP) regression methods has been significantly improved by compositional covariance structures. In this paper…
The paper corrects biases in estimating intrinsic dimension and differential entropy.
New method disentangles perceptual uncertainty and behavioral costs in partially observable systems.
New methods for explaining Random Forest predictions using case-based reasoning.
The paper argues against the inefficiency of explaining deep learning phenomena.
Deep learning frameworks have often focused on either usability or speed, but not both. PyTorch is a machine learning library that shows that these two goals are in fact compatible: it provides an imperative and Pythonic programming style that supports code as a model, makes debugging easy and is consistent with other …
We implement a master-slave parallel genetic algorithm (PGA) with a bespoke log-likelihood fitness function to identify emergent clusters within price evolutions. We use graphics processing units (GPUs) to implement a PGA and visualise the results using disjoint minimal spanning trees (MSTs). We demonstrate that our GP…
We study probability measures induced by set functions with constraints. Such measures arise in a variety of real-world settings, where prior knowledge, resource limitations, or other pragmatic considerations impose constraints. We consider the task of rapidly sampling from such constrained measures, and develop fast M…
This paper introduces Probability Engineering to improve deep learning models.
Study compares and unifies finiteness properties of locally compact groups.
The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components, such as portfolios, institutions or members of clearing houses. The two main issues in systemic risk measurement are the compu…
This paper tackles few-shot classification by improving GAN-based data augmentation.
We present an end-to-end statistical framework for personalized, accurate, and minimally invasive modeling of female reproductive hormonal patterns. Reconstructing and forecasting the evolution of hormonal dynamics is a challenging task, but a critical one to improve general understanding of the menstrual cycle and per…
Neural networks mimic algorithms to solve complex problems.
The UCR Time Series Archive - introduced in 2002, has become an important resource in the time series data mining community, with at least one thousand published papers making use of at least one data set from the archive. The original incarnation of the archive had sixteen data sets but since that time, it has gone th…
The paper compares three option pricing models with varying volatility dynamics.
As Machine Learning (ML) gets applied to security-critical or sensitive domains, there is a growing need for integrity and privacy for outsourced ML computations. A pragmatic solution comes from Trusted Execution Environments (TEEs), which use hardware and software protections to isolate sensitive computations from the…
Ever increasing number of Android malware, has always been a concern for cybersecurity professionals. Even though plenty of anti-malware solutions exist, a rational and pragmatic approach for the same is rare and has to be inspected further. In this paper, we propose a novel two-set feature selection approach based on …
We define general linguistic intelligence as the ability to reuse previously acquired knowledge about a language's lexicon, syntax, semantics, and pragmatic conventions to adapt to new tasks quickly. Using this definition, we analyze state-of-the-art natural language understanding models and conduct an extensive empiri…
Triangulation filters spurious circuits in multilingual models.
Recently software development companies started to embrace Machine Learning (ML) techniques for introducing a series of advanced functionality in their products such as personalisation of the user experience, improved search, content recommendation and automation. The technical challenges for tackling these problems ar…
Due to the recent advances in the area of deep learning, it has been demonstrated that a deep neural network, trained on a huge amount of data, can recognize cardiac arrhythmias better than cardiologists. Moreover, traditionally feature extraction was considered an integral part of ECG pattern recognition; however, rec…
We propose a novel method to determine the dissimilarity between subjects for functional data clustering. Spline smoothing or interpolation is common to deal with data of such type. Instead of estimating the best-representing curve for each subject as fixed during clustering, we measure the dissimilarity between subjec…
A new procedure is presented for the objective comparison and evaluation of default definitions. This allows the lender to find a default threshold at which the financial loss of a loan portfolio is minimised, in accordance with Basel II. Alternative delinquency measures, other than simply measuring payments in arrears…