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.
Serial problems can't be efficiently parallelized, affecting machine learning models.
Stochastic momentum methods trade compute efficiency for serial runtime.
CoT enhances transformer accuracy on serial tasks by enabling serial computation.
Complex structures are typical in machine learning. Tailoring learning algorithms for every structure requires an effort that may be saved by defining a generic learning procedure adaptive to any complex structure. In this paper, we propose to map any complex structure onto a generic form, called serialization, over wh…
We study the relation between serial correlation of financial returns and volatility at intraday level for the S&P500 stock index. At daily and weekly level, serial correlation and volatility are known to be negatively correlated (LeBaron effect). While confirming that the LeBaron effect holds also at intraday level, w…
The paper proposes estimators for bid-ask spreads with and without serial dependence.
We present a general framework for accelerating a large class of widely used Markov chain Monte Carlo (MCMC) algorithms. Our approach exploits fast, iterative approximations to the target density to speculatively evaluate many potential future steps of the chain in parallel. The approach can accelerate computation of t…
The book chapter discusses tail risk analysis for financial data using extreme value statistics.
We investigate serial correlation, periodic, aperiodic and scaling behaviour of eigenmodes, i.e. daily price fluctuation time-series derived from eigenvectors, of correlation matrices of shares listed on the Johannesburg Stock Exchange (JSE) from January 1993 to December 2002. Periodic, or calendar, components are dete…
We study the impact of volatility on intraday serial correlation, at time scales of less than 20 minutes, exploiting a data set with all transaction on SPX500 futures from 1993 to 2001. We show that, while realized volatility and intraday serial correlation are linked, this relation is driven by unexpected volatility o…
We consider distributed online learning protocols that control the exchange of information between local learners in a round-based learning scenario. The learning performance of such a protocol is intuitively optimal if approximately the same loss is incurred as in a hypothetical serial setting. If a protocol accomplis…
In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially correlated. Under this assumption this procedure of scaling can also be applied to contributions to volatility of the assets in the portfolio. …
Estimates Hurst exponent of log-volatility using KS statistic, addressing serial correlation in financial data.
Algorithm beats best constant rebalancing portfolio in long-term investment.
In this paper we investigate the adaptive market efficiency of the agricultural commodity futures market, using a sample of eight futures contracts. Using a battery of nonlinear tests, we uncover the nonlinear serial dependence in the returns series. We run the Hinich portmanteau bicorrelation test to uncover the momen…
A new algorithm for competing agents in a two-sided market setting.
A new training method speeds up ResNet training by 3x with minimal accuracy loss.
ParaMonte simplifies Monte Carlo simulations for various scientific fields.
Diffusion models explained via cognitive science.
Serial crystallography is the field of science that studies the structure and properties of crystals via diffraction patterns. In this paper, we introduce a new serial crystallography dataset comprised of real and synthetic images; the synthetic images are generated through the use of a simulator that is both scalable …
ParaMonte::Python streamlines Bayesian data analysis with fast Monte Carlo and MCMC routines.
Integration over non-negative integrands is a central problem in machine learning (e.g. for model averaging, (hyper-)parameter marginalisation, and computing posterior predictive distributions). Bayesian Quadrature is a probabilistic numerical integration technique that performs promisingly when compared to traditional…
The Sharpe ratio, which is defined as the ratio of the excess expected return of an investment to its standard deviation, has been widely cited in the financial literature by researchers and practitioners. However, very little attention has been paid to the statistical properties of the estimation of the ratio. Lo (200…
In this paper we address the problem of discovering a small set of frequent serial episodes from sequential data so as to adequately characterize or summarize the data. We discuss an algorithm based on the Minimum Description Length (MDL) principle and the algorithm is a slight modification of an earlier method, called…
High performance computing (HPC) is a very attractive and relatively new area of research, which gives promising results in many applications. In this paper HPC is used for pricing of American options. Although the American options are very significant in computational finance; their valuation is very challenging, espe…
Stochastic variational inference (SVI) employs stochastic optimization to scale up Bayesian computation to massive data. Since SVI is at its core a stochastic gradient-based algorithm, horizontal parallelism can be harnessed to allow larger scale inference. We propose a lock-free parallel implementation for SVI which a…
We introduce two Python frameworks to train neural networks on large datasets: Blocks and Fuel. Blocks is based on Theano, a linear algebra compiler with CUDA-support. It facilitates the training of complex neural network models by providing parametrized Theano operations, attaching metadata to Theano's symbolic comput…
Method predicts LFSM increments from past observations using codifference.
Computational efficiency is an important consideration for deploying machine learning models for time series prediction in an online setting. Machine learning algorithms adjust model parameters automatically based on the data, but often require users to set additional parameters, known as hyperparameters. Hyperparamete…
Many applications in Bayesian statistics are extremely computationally intensive. However, they are often inherently parallel, making them prime targets for modern massively parallel processors. Multi-core and distributed computing is widely applied in the Bayesian community, however, very little attention has been giv…
Practitioners of Bayesian statistics have long depended on Markov chain Monte Carlo (MCMC) to obtain samples from intractable posterior distributions. Unfortunately, MCMC algorithms are typically serial, and do not scale to the large datasets typical of modern machine learning. The recently proposed consensus Monte Car…
Efficiently visualizes uncertainty in local divergence of 2D vector fields.
Recurrent neural networks (RNNs) are powerful constructs capable of modeling complex systems, up to and including Turing Machines. However, learning such complex models from finite training sets can be difficult. In this paper we empirically show that RNNs can learn models of computer peripheral devices through input a…
New rules control false discoveries in online anomaly detection for time series data.
Most of the information is stored as text, so text mining is regarded as having high commercial potential. Aiming at the semantic constraint problem of classification methods based on sparse representation, we propose a weighted recurrent neural network (W-RNN), which can fully extract text serialization semantic infor…
This paper describes neural-fortran, a parallel Fortran framework for neural networks and deep learning. It features a simple interface to construct feed-forward neural networks of arbitrary structure and size, several activation functions, and stochastic gradient descent as the default optimization algorithm. Neural-f…
A method for noise reduction in functional time series using FPCA.
The FSRM uses a multifractional process to capture price multifractality, revealing serial information for forecasting.
Cluster jackknife improves inference for staggered DID methods.
MER algorithm speeds up VI solving with Markovian data.
Stochastic convex optimization algorithms are the most popular way to train machine learning models on large-scale data. Scaling up the training process of these models is crucial, but the most popular algorithm, Stochastic Gradient Descent (SGD), is a serial method that is surprisingly hard to parallelize. In this pap…
mGRN improves multivariate time series prediction by managing marginal and joint memories.
Transformers approximate Bayesian posteriors but not exactly.
New method for PKM inverse dynamics second derivatives efficiently.
The pricing of American style and multiple exercise options is a very challenging problem in mathematical finance. One usually employs a Least-Square Monte Carlo approach (Longstaff-Schwartz method) for the evaluation of conditional expectations which arise in the Backward Dynamic Programming principle for such optimal…
We present POLO --- a C++ library for large-scale parallel optimization research that emphasizes ease-of-use, flexibility and efficiency in algorithm design. It uses multiple inheritance and template programming to decompose algorithms into essential policies and facilitate code reuse. With its clear separation between…
Recombinant binomial trees are binary trees where each non-leaf node has two child nodes, but adjacent parents share a common child node. Such trees arise in finance when pricing an option. For example, valuation of a European option can be carried out by evaluating the expected value of asset payoffs with respect to r…
We introduce SPFlow, an open-source Python library providing a simple interface to inference, learning and manipulation routines for deep and tractable probabilistic models called Sum-Product Networks (SPNs). The library allows one to quickly create SPNs both from data and through a domain specific language (DSL). It e…