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.
SED integrates synthesis, execution, and debugging for neural program synthesis.
The paper analyzes trade execution strategies for large traders in a stochastic market environment.
Optimizing the execution time of tensor program, e.g., a convolution, involves finding its optimal configuration. Searching the configuration space exhaustively is typically infeasible in practice. In line with recent research using TVM, we propose to learn a surrogate model to overcome this issue. The model is trained…
We build deep RL agents that execute declarative programs expressed in formal language. The agents learn to ground the terms in this language in their environment, and can generalize their behavior at test time to execute new programs that refer to objects that were not referenced during training. The agents develop di…
Tracr compiles programs into transformer models for interpretability.
Our goal is to learn a semantic parser that maps natural language utterances into executable programs when only indirect supervision is available: examples are labeled with the correct execution result, but not the program itself. Consequently, we must search the space of programs for those that output the correct resu…
Develops a machine-learning framework for optimal share repurchase hedging.
Concolic testing combines program execution and symbolic analysis to explore the execution paths of a software program. This paper presents the first concolic testing approach for Deep Neural Networks (DNNs). More specifically, we formalise coverage criteria for DNNs that have been studied in the literature, and then d…
Combines dynamic programming and neural networks for optimal portfolio execution in regime-switching markets.
Proposes a method to allocate time budgets in mixed criticality systems.
Ansor generates high-performance tensor programs for deep learning.
BUSTLE synthesizes programs by learning from intermediate values.
In this paper, we propose a new feature extraction technique for program execution logs. First, we automatically extract complex patterns from a program's behavior graph. Then, we embed these patterns into a continuous space by training an autoencoder. We evaluate the proposed features on a real-world malicious softwar…
This book is a graduate-level introduction to probabilistic programming. It not only provides a thorough background for anyone wishing to use a probabilistic programming system, but also introduces the techniques needed to design and build these systems. It is aimed at people who have an undergraduate-level understandi…
TT-DAC-PS: A deterministic actor-critic approach for optimal trade execution
Program verification offers a framework for ensuring program correctness and therefore systematically eliminating different classes of bugs. Inferring loop invariants is one of the main challenges behind automated verification of real-world programs which often contain many loops. In this paper, we present Continuous L…
Study Gaussian-process limits of neural networks using tensor programs.
Tackling binary program analysis problems has traditionally implied manually defining rules and heuristics, a tedious and time-consuming task for human analysts. In order to improve automation and scalability, we propose an alternative direction based on distributed representations of binary programs with applicability…
Implementing enterprise process automation often requires significant technical expertise and engineering effort. It would be beneficial for non-technical users to be able to describe a business process in natural language and have an intelligent system generate the workflow that can be automatically executed. A buildi…
With the rapid emergence of a spectrum of high-end mobile devices, many applications that required desktop-level computation capability formerly can now run on these devices without any problem. However, without a careful optimization, executing Deep Neural Networks (a key building block of the real-time video stream p…
Study uses machine learning to optimize stock trading strategies.
We describe Venture, an interactive virtual machine for probabilistic programming that aims to be sufficiently expressive, extensible, and efficient for general-purpose use. Like Church, probabilistic models and inference problems in Venture are specified via a Turing-complete, higher-order probabilistic language desce…
We present a novel probabilistic programming framework that couples directly to existing large-scale simulators through a cross-platform probabilistic execution protocol, which allows general-purpose inference engines to record and control random number draws within simulators in a language-agnostic way. The execution …
Investigates optimal execution under time-varying liquidity, preventing price manipulation.
Program or process is an integral part of almost every IT/OT system. Can we trust the identity/ID (e.g., executable name) of the program? To avoid detection, malware may disguise itself using the ID of a legitimate program, and a system tool (e.g., PowerShell) used by the attackers may have the fake ID of another commo…
Study optimal liquidation strategies on Uniswap v2/v3 considering price impact.
Sunshine trading theory predicts lower execution costs and liquidity provision through explicit preannouncements, but evidence is scarce in traditional markets.
This work offers a broad perspective on probabilistic modeling and inference in light of recent advances in probabilistic programming, in which models are formally expressed in Turing-complete programming languages. We consider a typical workflow and how probabilistic programming languages can help to automate this wor…
We introduce a method for using deep neural networks to amortize the cost of inference in models from the family induced by universal probabilistic programming languages, establishing a framework that combines the strengths of probabilistic programming and deep learning methods. We call what we do "compilation of infer…
Be it for taking advantage of stock undervaluation or in order to distribute part of their profits to shareholders, firms may buy back their own shares. One of the way they proceed is by including Accelerated Share Repurchases (ASR) as part of their repurchase programs. In this article, we study the pricing and optimal…
We present a new approach to automatic amortized inference in universal probabilistic programs which improves performance compared to current methods. Our approach is a variation of inference compilation (IC) which leverages deep neural networks to approximate a posterior distribution over latent variables in a probabi…
A new approach for specifying and synthesizing subroutines for optimizing metrics.
CrossBeam learns to search more efficiently in program synthesis.
Autonomous agents can learn by imitating teacher demonstrations of the intended behavior. Hierarchical control policies are ubiquitously useful for such learning, having the potential to break down structured tasks into simpler sub-tasks, thereby improving data efficiency and generalization. In this paper, we propose a…
Unified model learns concepts across domains like left and right.
Deep learning had been used in program analysis for the prediction of hidden software defects using software defect datasets, security vulnerabilities using generative adversarial networks as well as identifying syntax errors by learning a trained neural machine translation on program codes. However, all these approach…
In this demo paper, we introduce the DARPA D3M program for automatic machine learning (ML) and JPL's MARVIN tool that provides an environment to locate, annotate, and execute machine learning primitives for use in ML pipelines. MARVIN is a web-based application and associated back-end interface written in Python that e…
This paper optimizes trading strategies to minimize risk and maximize profit while accounting for market uncertainty.
Guaranteed bounds for posterior inference in probabilistic programs.
MPC framework reduces execution costs and schedule deviations in trading.
This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The corresponding dynamic programming (DP) equation is a quasi-variational inequality (QVI) with solvency constraint satisfie…
Optimizes fund portfolio updates using linear programming and heuristic search.
Code generation maps a program description to executable source code in a programming language. Existing approaches mainly rely on a recurrent neural network (RNN) as the decoder. However, we find that a program contains significantly more tokens than a natural language sentence, and thus it may be inappropriate for RN…
Automates model comparison in probabilistic programming.
We study the problem of the optimal execution of a large trade in the presence of nonlinear transient impact. We propose an approach based on homotopy analysis, whereby a well behaved initial strategy is continuously deformed to lower the expected execution cost. We find that the optimal solution is front loaded for co…
Recently proposed models which learn to write computer programs from data use either input/output examples or rich execution traces. Instead, we argue that a novel alternative is to use a glass-box loss function, given as a program itself that can be directly inspected. Glass-box optimization covers a wide range of pro…
Program synthesis from natural language (NL) is practical for humans and, once technically feasible, would significantly facilitate software development and revolutionize end-user programming. We present SAPS, an end-to-end neural network capable of mapping relatively complex, multi-sentence NL specifications to snippe…
As the performance of computer systems stagnates due to the end of Moore's Law, there is a need for new models that can understand and optimize the execution of general purpose code. While there is a growing body of work on using Graph Neural Networks (GNNs) to learn representations of source code, these representation…