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.
There has been a surge of interest in using machine learning (ML) to automatically detect malware through their dynamic behaviors. These approaches have achieved significant improvement in detection rates and lower false positive rates at large scale compared with traditional malware analysis methods. ML in threat dete…
COMRADE is a communication-efficient, Byzantine-resilient second-order optimization algorithm.
problem Byzantine failures in distributed optimization.
method COMRADE is a communication-efficient, second-order optimization algorithm that uses a simple norm-based thresholding rule to filter out Byzantine workers.
result COMRADE achieves linear-quadratic convergence and is robust against Byzantine workers.
Deep Neural Networks (DNNs) are widely being adopted for safety-critical applications, e.g., healthcare and autonomous driving. Inherently, they are considered to be highly error-tolerant. However, recent studies have shown that hardware faults that impact the parameters of a DNN (e.g., weights) can have drastic impact…
Applying deep neural networks (DNNs) in mobile and safety-critical systems, such as autonomous vehicles, demands a reliable and efficient execution on hardware. Optimized dedicated hardware accelerators are being developed to achieve this. However, the design of efficient and reliable hardware has become increasingly d…
Robust statistics traditionally focuses on outliers, or perturbations in total variation distance. However, a dataset could be corrupted in many other ways, such as systematic measurement errors and missing covariates. We generalize the robust statistics approach to consider perturbations under any Wasserstein distance…
We provide a methodology, resilient feature engineering, for creating adversarially resilient classifiers. According to existing work, adversarial attacks identify weakly correlated or non-predictive features learned by the classifier during training and design the adversarial noise to utilize these features. Therefore…
The study shows that limited liability can make banks more stable by choosing less risky assets.
problem How limited liability affects bank stability and risk management.
method Dynamic portfolio approach with continuous time models, including and excluding limited liability, and using the KMV model to measure resiliency.
result Inclusion of limited liability leads to a bank choosing less risky assets, increasing its resilience.
This paper measures financial market resilience in China and identifies key uncertainties.
problem Measuring financial market resilience in China.
method Quantitative analysis of total financial market and sub-markets, Diebold-Yilmaz connectedness approach.
result Financial market resilience in China is event-driven and influenced by geopolitical risks, economic and trade policy uncertainty, and U.S.-China tensions.
We trained three Binarized Convolutional Neural Network architectures (LeNet-4, Network-In-Network, AlexNet) on a variety of datasets (MNIST, CIFAR-10, CIFAR-100, extended SVHN, ImageNet) using error-prone activations and tested them without errors to study the resilience of the training process. With the exception of …
Asynchronous distributed machine learning solutions have proven very effective so far, but always assuming perfectly functioning workers. In practice, some of the workers can however exhibit Byzantine behavior, caused by hardware failures, software bugs, corrupt data, or even malicious attacks. We introduce \emph{Karda…
Financial markets can be seen as complex systems that are constantly evolving and sensitive to external disturbance, such as systemic risks and economic instabilities. Analysis of resilient market performance, therefore, becomes useful for investors. From a systems perspective, this paper proposes a novel function-base…
Paper builds ML classifier to detect crypto-ransomware.
problem Detecting crypto-ransomware with high accuracy and low false positives.
method Behavior-based detection using input/output activities and file-content entropy. Deep-learning classifier with adversarial research and Integrated Gradient method for explanation.
result Deep-learning classifier achieves high accuracy and low false positive rate in detecting crypto-ransomware.
This paper investigates the resilience and robustness of Deep Reinforcement Learning (DRL) policies to adversarial perturbations in the state space. We first present an approach for the disentanglement of vulnerabilities caused by representation learning of DRL agents from those that stem from the sensitivity of the DR…
We present a large-scale study of commonality in liquidity and resilience across assets in an ultra high-frequency (millisecond-timestamped) Limit Order Book (LOB) dataset from a pan-European electronic equity trading facility. We first show that extant work in quantifying liquidity commonality through the degree of ex…
We show that wealth processes in the block-shaped order book model of Obizhaeva/Wang converge to their counterparts in the reduced-form model proposed by Almgren/Chriss, as the resilience of the order book tends to infinity. As an application of this limit theorem, we explain how to reduce portfolio choice in highly-re…
Outlier detection is a fundamental task in data mining and has many applications including detecting errors in databases. While there has been extensive prior work on methods for outlier detection, modern datasets often have sizes that are beyond the ability of commonly used methods to process the data within a reasona…
Global catastrophe risk pools increase financial resilience by diversifying risk and including more countries.
problem Low- to middle-income countries rely heavily on foreign aid for recovery from extreme weather events, which is slow and uncertain.
method Developed a method to form global catastrophe risk pools that maximize risk diversification and select countries with low bilateral correlations or low shares in the pool risk.
result Global pooling increases risk diversification, lowers countries' shares in the pool risk, and increases the number of countries benefiting from risk pooling.