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 presents a numerical model to solve the problem of cash accumulation strategies for products with an unknown future price, like assets. Stock prices are modeled by a discretized Wiener Process, and by the means of ordinary integrals this Wiener Process will be exactly matched at a preset terminal time. Three…
A new method controls synthesizers with normalizing flows for easier exploration and creation.
When we implement a portfolio selection methodology under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time-dependent, or even state-dependent during the investment procedure. In this paper, we propose a behavior risk aversion model, which is a piecewise linear funct…
Much of modern practice in financial forecasting relies on technicals, an umbrella term for several heuristics applying visual pattern recognition to price charts. Despite its ubiquity in financial media, the reliability of its signals remains a contentious and highly subjective form of 'domain knowledge'. We investiga…
Distribution grids are currently challenged by frequent voltage excursions induced by intermittent solar generation. Smart inverters have been advocated as a fast-responding means to regulate voltage and minimize ohmic losses. Since optimal inverter coordination may be computationally challenging and preset local contr…
New method controls false discoveries in online testing with deadlines.
AGM improves model accuracy through adaptive generation and feature augmentation.
Modeling intraday dispatch for wind-battery assets to meet grid targets.
Previous work shows that adversarially robust generalization requires larger sample complexity, and the same dataset, e.g., CIFAR-10, which enables good standard accuracy may not suffice to train robust models. Since collecting new training data could be costly, we focus on better utilizing the given data by inducing t…
Efficient PI for neural networks without distributional assumptions.
ALCORE tensor decomposition reduces computational cost for sparse count data.
Financial portfolios are often optimized for maximum profit while subject to a constraint formulated in terms of the Conditional Value-at-Risk (CVaR). This amounts to solving a linear problem. However, in its original formulation this linear problem has a very large number of linear constraints, too many to be enforced…
We present a formulation of deep learning that aims at producing a large margin classifier. The notion of margin, minimum distance to a decision boundary, has served as the foundation of several theoretically profound and empirically successful results for both classification and regression tasks. However, most large m…
We preset a computational study of bending models for the curvature elasticity of lipid bilayer membranes that are relevant for simulations of vesicles and red blood cells. We compute bending energy and forces on triangulated meshes and evaluate and extend four well established schemes for their approximation: Kantor a…
Learning from many real-world datasets is limited by a problem called the class imbalance problem. A dataset is imbalanced when one class (the majority class) has significantly more samples than the other class (the minority class). Such datasets cause typical machine learning algorithms to perform poorly on the classi…
Flooding prevents deep networks from achieving zero training loss, improving test performance.
The web link selection problem is to select a small subset of web links from a large web link pool, and to place the selected links on a web page that can only accommodate a limited number of links, e.g., advertisements, recommendations, or news feeds. Despite the long concerned click-through rate which reflects the at…
Enhances LMC for log-concave sampling, reducing computational cost.
SDIFT generates full-field dynamics from sparse, irregular data.
Autogov uses RL to automate DeFi governance, improving security and profitability.
For quantitative structure-property relationship (QSPR) studies in chemoinformatics, it is important to get interpretable relationship between chemical properties and chemical features. However, the predictive power and interpretability of QSPR models are usually two different objectives that are difficult to achieve s…
The paper uses a novel framework to learn option prices by imitating principal investor behavior.
A new memory system handles non-stationary environments by self-sizing and retaining memories.
A new bandit problem where experiments can be interrupted if results are not promising.