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.
Unified bounds for DP risks reduce noise and improve accuracy.
We discuss the systemic risk implied by the interbank exposures reconstructed with the maximum entropy method. The maximum entropy method severely underestimates the risk of interbank contagion by assuming a fully connected network, while in reality the structure of the interbank network is sparsely connected. Here, we…
Paper defines AI-specific loss reconstruction problem and introduces CER framework.
The paper describes fitting submanifolds to data using Sussmann's orbit theorem.
New method reconstructs interbank networks enforcing reciprocity to improve stability and risk prediction.
In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete. We show that techniques such as Maximum Entropy currently used to reconstruct credit networks severely underestimate the risk of contagion by assuming a trivial…
New framework UIFV reconstructs private features in VFL without model details.
Sparse dictionary learning (SDL) has become a popular method for adaptively identifying parsimonious representations of a dataset, a fundamental problem in machine learning and signal processing. While most work on SDL assumes a training dataset of independent and identically distributed samples, a variant known as con…
Reconstructing patterns of interconnections from partial information is one of the most important issues in the statistical physics of complex networks. A paramount example is provided by financial networks. In fact, the spreading and amplification of financial distress in capital markets is strongly affected by the in…
New DG method minimizes barycentric alignment and reconstruction loss.
In one-class novelty detection, a model learns solely on the in-class data to single out out-class instances. Autoencoder (AE) variants aim to compactly model the in-class data to reconstruct it exclusively, thus differentiating the in-class from out-class by the reconstruction error. However, compact modeling in an im…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate funding liquidity risk and contagion are available but they require not only banks' …
NKI integrates obfuscated datasets using nonlinear kernels for improved data collaboration.
The 20/60/20 rule improves risk management and portfolio optimization in finance.
ENSURE framework trains deep image recon algorithms without clean data.
Novel method reconstructs liquidity data for CLMMs, optimizing dynamic liquidity strategies.
The shortage of high-resolution urban digital elevation model (DEM) datasets has been a challenge for modelling urban flood and managing its risk. A solution is to develop effective approaches to reconstruct high-resolution DEMs from their low-resolution equivalents that are more widely available. However, the current …
New method learns from noisy data without knowing noise level.
The paper analyzes the excess risk of PCA and provides a precise characterization.
Paper evaluates and mitigates privacy risks in deep learning models.
The first order behavior of multivariate heavy-tailed random vectors above large radial thresholds is ruled by a limit measure in a regular variation framework. For a high dimensional vector, a reasonable assumption is that the support of this measure is concentrated on a lower dimensional subspace, meaning that certai…
Framework improves clinical timeline reconstruction from text and tables.
Assessing systemic risk in financial markets is of great importance but it often requires data that are unavailable or available at a very low frequency. For this reason, systemic risk assessment with partial information is potentially very useful for regulators and other stakeholders. In this paper we consider systemi…
Study models extreme skew surges along French Atlantic coast.
The paper uses clustering and integer programming to optimize stock selection for investment funds.
Paper uses TDA to assess cryptocurrency risk by measuring phase space instability.
Detecting changes in asset co-movements is of much importance to financial practitioners, with numerous risk management benefits arising from the timely detection of breakdowns in historical correlations. In this article, we propose a real-time indicator to detect temporary increases in asset co-movements, the Autoenco…
Improved neural network reconstruction from sparse measurements with theoretical guarantees.
A new method to estimate local volatility from high-frequency data.
To study radiotherapy-related adverse effects, detailed dose information (3D distribution) is needed for accurate dose-effect modeling. For childhood cancer survivors who underwent radiotherapy in the pre-CT era, only 2D radiographs were acquired, thus 3D dose distributions must be reconstructed from limited informatio…
We present a novel method to reconstruct complex network from partial information. We assume to know the links only for a subset of the nodes and to know some non-topological quantity (fitness) characterising every node. The missing links are generated on the basis of the latter quan- tity according to a fitness model …
We address a fundamental problem that is systematically encountered when modeling complex systems: the limitedness of the information available. In the case of economic and financial networks, privacy issues severely limit the information that can be accessed and, as a consequence, the possibility of correctly estimati…
Reconstructing weighted networks from partial information is necessary in many important circumstances, e.g. for a correct estimation of systemic risk. It has been shown that, in order to achieve an accurate reconstruction, it is crucial to reliably replicate the empirical degree sequence, which is however unknown in m…
Iterative thresholding algorithms are well-suited for high-dimensional problems in sparse recovery and compressive sensing. The performance of this class of algorithms depends heavily on the tuning of certain threshold parameters. In particular, both the final reconstruction error and the convergence rate of the algori…
Hadamard Wirtinger Flow recovers sparse signals from fewer measurements.
Reduces data leakage in distributed deep learning models.
Counterparty risk denotes the risk that a party defaults in a bilateral contract. This risk not only depends on the two parties involved, but also on the risk from various other contracts each of these parties holds. In rather informal markets, such as the OTC (over-the-counter) derivative market, institutions only rep…
Machine learning improves beta forecasts, enhancing equity valuation and portfolio performance.
A growing body of studies on systemic risk in financial markets has emphasized the key importance of taking into consideration the complex interconnections among financial institutions. Much effort has been put in modeling the contagion dynamics of financial shocks, and to assess the resilience of specific financial ma…
These notes review six lectures given by Prof. Andrea Montanari on the topic of statistical estimation for linear models. The first two lectures cover the principles of signal recovery from linear measurements in terms of minimax risk. Subsequent lectures demonstrate the application of these principles to several pract…
To a large extent, the systemic importance of financial institutions is related to the topology of financial liability networks. In this work we reconstruct and analyze the - to our knowledge - largest financial network that has been studied up to now. This financial liability network consists of 51,980 firms and 796 b…
The matrix completion problem consists in reconstructing a matrix from a sample of entries, possibly observed with noise. A popular class of estimator, known as nuclear norm penalized estimators, are based on minimizing the sum of a data fitting term and a nuclear norm penalization. Here, we investigate the case where …
Method reconstructs missing wind farm data using graph theory and nearest neighbors.
This paper presents a general coding method where data in a Hilbert space are represented by finite dimensional coding vectors. The method is based on empirical risk minimization within a certain class of linear operators, which map the set of coding vectors to the Hilbert space. Two results bounding the expected recon…
An axiomatic approach to signal reconstruction is formulated, involving a sample consistent set and a guiding set, describing desired reconstructions. New frame-less reconstruction methods are proposed, based on a novel concept of a reconstruction set, defined as a shortest pathway between the sample consistent set and…
PTOPOFL uses topological descriptors to protect privacy in federated learning.
Develops a framework to assess systemic risk in the economy using bank-firm network data.
Deep neural networks have presented impressive performance in biometric applications. However, their performance is highly at risk when facing carefully crafted input samples known as adversarial examples. In this paper, we present three defense strategies to detect adversarial iris examples. These defense strategies a…