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.
New methods incorporate alpha signals into portfolio construction, improving performance.
Deep clustering is a recently introduced deep learning architecture that uses discriminatively trained embeddings as the basis for clustering. It was recently applied to spectrogram segmentation, resulting in impressive results on speaker-independent multi-speaker separation. In this paper we extend the baseline system…
In a noisy environment, a lossy speech signal can be automatically restored by a listener if he/she knows the language well. That is, with the built-in knowledge of a "language model", a listener may effectively suppress noise interference and retrieve the target speech signals. Accordingly, we argue that familiarity w…
Study improves MACD trading strategy with volume and price adjustments.
Proposes a novel graph signal model using narrowband kernels.
Deep learning method improves myelin water fraction estimation.
We propose a simple and efficient time-series clustering framework particularly suited for low Signal-to-Noise Ratio (SNR), by simultaneous smoothing and dimensionality reduction aimed at preserving clustering information. We extend the sparse K-means algorithm by incorporating structured sparsity, and use it to exploi…
We propose a probabilistic model to aggregate the answers of respondents answering multiple-choice questions. The model does not assume that everyone has access to the same information, and so does not assume that the consensus answer is correct. Instead, it infers the most probable world state, even if only a minority…
Detects graph topology changes from noisy signals using prior spectral information.
Paper improves signal proportion estimation by accounting for variable dependence.
Develops a Bayesian non-parametric approach for signal separation with varying components.
Source separation problems are ubiquitous in the physical sciences; any situation where signals are superimposed calls for source separation to estimate the original signals. In this tutorial I will discuss the Bayesian approach to the source separation problem. This approach has a specific advantage in that it require…
DeepFPC uses neural networks to recover sparse signals from quantized measurements.
Tutorials on signal processing on higher-order networks like simplicial complexes and hypergraphs.
A method for inferring ground-truth signals from degraded sensor data.
A new approach for signal parametrization, which consists of a specific regression model incorporating a discrete hidden logistic process, is proposed. The model parameters are estimated by the maximum likelihood method performed by a dedicated Expectation Maximization (EM) algorithm. The parameters of the hidden logis…
Bayesian topological learning improves EEG signal analysis for brain state classification.
Personal assistant AI systems such as Siri, Cortana, and Alexa have become widely used as a means to accomplish tasks through natural language commands. However, components in these systems generally rely on supervised machine learning algorithms that require large amounts of hand-annotated training data, which is expe…
Optimal trading is a recent field of research which was initiated by Almgren, Chriss, Bertsimas and Lo in the late 90's. Its main application is slicing large trading orders, in the interest of minimizing trading costs and potential perturbations of price dynamics due to liquidity shocks. The initial optimization frame…
Proposes a learned Bayesian Cramér-Rao bound for unknown measurement models.
Nonnegative matrix factorization (NMF) factorizes a non-negative matrix into product of two non-negative matrices, namely a signal matrix and a mixing matrix. NMF suffers from the scale and ordering ambiguities. Often, the source signals can be monotonous in nature. For example, in source separation problem, the source…
In "extreme" computational imaging that collects extremely undersampled or noisy measurements, obtaining an accurate image within a reasonable computing time is challenging. Incorporating image mapping convolutional neural networks (CNN) into iterative image recovery has great potential to resolve this issue. This pape…
In sparse signal representation, the choice of a dictionary often involves a tradeoff between two desirable properties -- the ability to adapt to specific signal data and a fast implementation of the dictionary. To sparsely represent signals residing on weighted graphs, an additional design challenge is to incorporate …
The construction of synthetic complex-valued signals from real-valued observations is an important step in many time series analysis techniques. The most widely used approach is based on the Hilbert transform, which maps the real-valued signal into its quadrature component. In this paper, we define a probabilistic gene…
Enhances SSL methods with depth cues for better image understanding.
A new method for portfolio optimization using signature signatures to incorporate path-dependencies.
Better signal detection in undersampled data using joint and cross covariances.
We propose Gaussian processes for signals over graphs (GPG) using the apriori knowledge that the target vectors lie over a graph. We incorporate this information using a graph- Laplacian based regularization which enforces the target vectors to have a specific profile in terms of graph Fourier transform coeffcients, fo…
Improved fMRI activation detection for single-subject studies.
Modern data introduces new challenges to classic signal processing approaches, leading to a growing interest in the field of graph signal processing. A powerful and well established model for real world signals in various domains is sparse representation over a dictionary, combined with the ability to train the diction…
FinRLlama wins FinRL Challenge 2024 by fine-tuning LLMs with market data.
Neural process model improves real-time condition monitoring signal prediction.
While deep learning has received a surge of interest in a variety of fields in recent years, major deep learning models barely use complex numbers. However, speech, signal and audio data are naturally complex-valued after Fourier Transform, and studies have shown a potentially richer representation of complex nets. In …
A HMM for intraday momentum trading reduces lagging and incorporates side information.
Proposes a Gaussian process for graph signals using adaptive spectral kernels.
Uncertainty principles such as Heisenberg's provide limits on the time-frequency concentration of a signal, and constitute an important theoretical tool for designing and evaluating linear signal transforms. Generalizations of such principles to the graph setting can inform dictionary design for graph signals, lead to …
This work discusses the problem of sparse signal recovery when there is correlation among the values of non-zero entries. We examine intra-vector correlation in the context of the block sparse model and inter-vector correlation in the context of the multiple measurement vector model, as well as their combination. Algor…
Transformer model predicts train axle vibrations for safer maintenance.
HFformer outperforms LSTM in high-frequency trading with multiple signals.
VDA improves disentanglement of latent representations in complex signals.
Proposes a wave-constrained matrix factorization for signal learning.
Proposes a novel graph learning framework for robust graph topology learning from graph signals.
Topic models are frequently used in machine learning owing to their high interpretability and modular structure. However, extending a topic model to include a supervisory signal, to incorporate pre-trained word embedding vectors and to include a nonlinear output function is not an easy task because one has to resort to…
We discuss a simple, exactly solvable model of stochastic stock dynamics that incorporates regime switching between healthy and distressed regimes. Using this model, which is analytically tractable, we discuss a way of extracting expected returns for stocks from realized CDS spreads, essentially, the CDS market sentime…
Modern bio-technologies have produced a vast amount of high-throughput data with the number of predictors far greater than the sample size. In order to identify more novel biomarkers and understand biological mechanisms, it is vital to detect signals weakly associated with outcomes among ultrahigh-dimensional predictor…
We describe an approach for incorporating prior knowledge into machine learning algorithms. We aim at applications in physics and signal processing in which we know that certain operations must be embedded into the algorithm. Any operation that allows computation of a gradient or sub-gradient towards its inputs is suit…
Stochastic regularisation is an important weapon in the arsenal of a deep learning practitioner. However, despite recent theoretical advances, our understanding of how noise influences signal propagation in deep neural networks remains limited. By extending recent work based on mean field theory, we develop a new frame…
Unified theory for optimal execution through signal-adaptive quotes in limit order books.