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.
A new algorithm improves efficiency and robustness of heuristic optimization in simulation-based problems.
Improved queue-reactive model considers order sizes for better market simulation.
Enhances queue-reactive model for realistic limit order book simulation.
Enhances diffusion-based sampling for molecular systems.
A new framework uses stochastic optimal control to estimate rare events more accurately.
Neural planners for RDDL MDPs produce deep reactive policies in an offline fashion. These scale well with large domains, but are sample inefficient and time-consuming to train from scratch for each new problem. To mitigate this, recent work has studied neural transfer learning, so that a generic planner trained on othe…
Recently, a novel class of Approximate Policy Iteration (API) algorithms have demonstrated impressive practical performance (e.g., ExIt from [2], AlphaGo-Zero from [27]). This new family of algorithms maintains, and alternately optimizes, two policies: a fast, reactive policy (e.g., a deep neural network) deployed at t…
MPC outperforms reactive budgeting in non-stationary return environments.
In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit order book. The models we propose thus integrate the influence of both the current book state and the past order flow. The first variant cons…
Paper improves volatility estimation using a Queue-Reactive model.
Pronounced variability due to the growth of renewable energy sources, flexible loads, and distributed generation is challenging residential distribution systems. This context, motivates well fast, efficient, and robust reactive power control. Real-time optimal reactive power control is possible in theory by solving a n…
New BE dimension measure reveals rich RL problems with sample-efficient algorithms.
We present a new volatility model, simple to implement, that includes a leverage effect whose return-volatility correlation function fits to empirical observations. This model is able to capture both the "retarded effect" induced by the specific risk, and the "panic effect", which occurs whenever systematic risk become…
We present a reactive beta model that includes the leverage effect to allow hedge fund managers to target a near-zero beta for market neutral strategies. For this purpose, we derive a metric of correlation with leverage effect to identify the relation between the market beta and volatility changes. An empirical test ba…
Unified model for market dynamics, linking price and order flow.
We propose and study a new model for reinforcement learning with rich observations, generalizing contextual bandits to sequential decision making. These models require an agent to take actions based on observations (features) with the goal of achieving long-term performance competitive with a large set of policies. To …
Machine learning models accurately predict the state and dynamics of reactive mixing.
Electronic power inverters are capable of quickly delivering reactive power to maintain customer voltages within operating tolerances and to reduce system losses in distribution grids. This paper proposes a systematic and data-driven approach to determine reactive power inverter output as a function of local measuremen…
Algorithm improves reinforcement learning policies using offline data.
Generative models accelerate molecular dynamics by four orders of magnitude.
AIF improves physical AI agents' performance in dynamic environments.
RL optimizes meta-order execution by adapting to market conditions.
Examines financial risks' impact on EU-15 economic growth.
The hybrid clustering-classification neural network is proposed. This network allows increasing a quality of information processing under the condition of overlapping classes due to the rational choice of a learning rate parameter and introducing a special procedure of fuzzy reasoning in the clustering process, which o…
Paper revises power theory using classical mechanics concepts.
Designs a single policy for collecting data to train near-optimal policies.
Turbulence is still one of the main challenges for accurately predicting reactive flows. Therefore, the development of new turbulence closures which can be applied to combustion problems is essential. Data-driven modeling has become very popular in many fields over the last years as large, often extensively labeled, da…
We introduce Recurrent Predictive State Policy (RPSP) networks, a recurrent architecture that brings insights from predictive state representations to reinforcement learning in partially observable environments. Predictive state policy networks consist of a recursive filter, which keeps track of a belief about the stat…
Decouples critic chunk length from policy to improve policy reactivity and performance.
Analysis of reactive-diffusion simulations requires a large number of independent model runs. For each high-fidelity simulation, inputs are varied and the predicted mixing behavior is represented by changes in species concentration. It is then required to discern how the model inputs impact the mixing process. This tas…
Neural network (NN) model chemistries (MCs) promise to facilitate the accurate exploration of chemical space and simulation of large reactive systems. One important path to improving these models is to add layers of physical detail, especially long-range forces. At short range, however, these models are data driven and…
Although the challenge of the device connection is much relieved in 5G networks, the training latency is still an obstacle preventing Federated Learning (FL) from being largely adopted. One of the most fundamental problems that lead to large latency is the bad candidate-selection for FL. In the dynamic environment, the…
Traditional energy-based learning models associate a single energy metric to each configuration of variables involved in the underlying optimization process. Such models associate the lowest energy state to the optimal configuration of variables under consideration, and are thus inherently dissipative. In this paper we…
Voltage control plays an important role in the operation of electricity distribution networks, especially with high penetration of distributed energy resources. These resources introduce significant and fast varying uncertainties. In this paper, we focus on reactive power compensation to control voltage in the presence…
During reactive transport modeling, the computational cost associated with chemical reaction calculations is often 10-100 times higher than that of transport calculations. Most of these costs results from chemical equilibrium calculations that are performed at least once in every mesh cell and at every time step of the…
RL optimizes trading algorithms to reduce market impact and costs.
Algorithm detects concept drift and adapts models in streaming data.
Boosted GFlowNets improve exploration by sequentially training GFlowNets with residual rewards.
Plan2Vec learns image representations without labels, improving control tasks.
Study develops a data-based model for in-cylinder pressure and cyclic variations in RCCI engines.
New method detects and clusters market regimes in multidimensional data.
A new hierarchy quantifies agency in systems based on information processing.
A2MT learns agents to select which modalities to acquire at test time.
Agent-based model simulates market dynamics with real-time order matching.
This paper proposes a general model for synchronized crowding behavior. An order parameter is introduced to quantify the level of synchronization which is shown a function of percentage of agents in reactive state. Further, synchronization is shown to be driven by the most active agents with the highest volatility. A t…
The paper develops a method to predict the latent deterioration phase in limit order books before stress is observed.
Learnable multiclass hypothesis classes don't always have a sample compression scheme of fixed size.
Support vector regression (SVR) has been widely used to reduce the high computational cost of computer simulation. SVR assumes the input parameters have equal sample sizes, but unequal sample sizes are often encountered in engineering practices. To solve this issue, a new prediction approach based on SVR, namely as hig…