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 committor function is a central object of study in understanding transitions between metastable states in complex systems. However, computing the committor function for realistic systems at low temperatures is a challenging task, due to the curse of dimensionality and the scarcity of transition data. In this paper,…
We study the problem of predicting rare critical transition events for a class of slow-fast nonlinear dynamical systems. The state of the system of interest is described by a slow process, whereas a faster process drives its evolution and induces critical transitions. By taking advantage of recent advances in reservoir…
PRESTO improves rare event prediction by shrinking towards proportional odds model.
problem Difficult to predict rare events due to class imbalance.
method PRESTO relaxes proportional odds model by estimating separate weights for transitions between categories, imposing L1 penalty to shrink towards proportional odds.
result PRESTO consistently estimates decision boundary weights under sparsity assumption, improving rare probability estimation.
Complex numbers have long been favoured for digital signal processing, yet complex representations rarely appear in deep learning architectures. RNNs, widely used to process time series and sequence information, could greatly benefit from complex representations. We present a novel complex gated recurrent cell, which i…
Develops a machine learning framework for computing most probable paths in stochastic systems.
problem Computing the most probable paths in stochastic dynamical systems.
method Reformulates the boundary value problem of Hamiltonian systems and uses a neural network to solve the Euler-Lagrange equation for the Onsager-Machlup action functional.
result Demonstrates the efficacy and accuracy of the machine learning approach in computing most probable paths for stochastic systems with various types of noise.
The study of the critical dynamics in complex systems is always interesting yet challenging. Here, we choose financial market as an example of a complex system, and do a comparative analyses of two stock markets - the S&P 500 (USA) and Nikkei 225 (JPN). Our analyses are based on the evolution of crosscorrelation struct…
It is common in modern prediction problems for many predictor variables to be counts of rarely occurring events. This leads to design matrices in which many columns are highly sparse. The challenge posed by such "rare features" has received little attention despite its prevalence in diverse areas, ranging from natural …
Fund2Persona creates personalized financial advisor personas from fund data, improving investment advice and manager interpretation.
problem Lack of consistent and specific financial advisor expertise in personalized investment advice.
method Grounds financial advisor personas in fund disclosures, holdings transitions, market context, and manager commentary through an agentic actor--scorer--patcher loop.
result Personas better recover portfolio decisions and grounded manager interpretation than generic baselines.
We study the behavior of simple models for financial markets with widely spread frequency either in the trading activity of agents or in the occurrence of basic events. The generic picture of a phase transition between information efficient and inefficient markets still persists even when agents trade on widely spread …
Rare diseases affecting 350 million individuals are commonly associated with delay in diagnosis or misdiagnosis. To improve those patients' outcome, rare disease detection is an important task for identifying patients with rare conditions based on longitudinal medical claims. In this paper, we present a deep learning m…
In many situations, classes of data points of primary interest also happen to be those that are least numerous. A well-known example is detection of fraudulent transactions among the collection of all financial transactions, the vast majority of which are legitimate. These types of problems fall under the label of `rar…
In this study, we establish a basis for selecting similarity measures when applying machine learning techniques to solve materials science problems. This selection is considered with an emphasis on the distinctiveness between materials that reflect their nature well. We perform a case study with a dataset of rare-earth…
Rare diseases affect a relatively small number of people, which limits investment in research for treatments and cures. Developing an efficient method for rare disease detection is a crucial first step towards subsequent clinical research. In this paper, we present a semi-supervised learning framework for rare disease …
Given a labeled dataset that contains a rare (or minority) class of of-interest instances, as well as a large class of instances that are not of interest, how can we learn to recognize future of-interest instances over a continuous stream? We introduce RaRecognize, which (i) estimates a general decision boundary betwee…
In rare disease physician targeting, a major challenge is how to identify physicians who are treating diagnosed or underdiagnosed rare diseases patients. Rare diseases have extremely low incidence rate. For a specified rare disease, only a small number of patients are affected and a fractional of physicians are involve…
Markov chain Monte Carlo (MCMC) algorithms for hidden Markov models often rely on the forward-backward sampler. This makes them computationally slow as the length of the time series increases, motivating the development of sub-sampling-based approaches. These approximate the full posterior by using small random subsequ…
Model predicts travel time under rare conditions using a vector-space model.
problem Predicting travel time under rare temporal conditions (e.g., holidays, school vacations) is challenging due to limited historical data and other temporal changes.
method Presented a vector-space model for encoding rare temporal conditions, allowing coherent representation learning across different conditions.
result Increased performance for travel time prediction over different baselines when using the vector-space encoding for representing the temporal setting.