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.
Adaptive Bernstein copulas improve risk management by preventing overfitting and reducing simulation effort.
At the core of interpretable machine learning is the question of whether humans are able to make accurate predictions about a model's behavior. Assumed in this question are three properties of the interpretable output: coverage, precision, and effort. Coverage refers to how often humans think they can predict the model…
We present an approach to interactive-predictive neural machine translation that attempts to reduce human effort from three directions: Firstly, instead of requiring humans to select, correct, or delete segments, we employ the idea of learning from human reinforcements in form of judgments on the quality of partial tra…
Recent years have seen an increased level of interest in pricing equity options under a stochastic volatility model such as the Heston model. Often, simulating a Heston model is difficult, as a standard finite difference scheme may lead to significant bias in the simulation result. Reducing the bias to an acceptable le…
Low-precision training reduces computational cost and produces efficient models. Recent research in developing new low-precision training algorithms often relies on simulation to empirically evaluate the statistical effects of quantization while avoiding the substantial overhead of building specific hardware. To suppor…
This study tackles XVA model risk and computational effort in derivatives pricing.
PANDA improves linear discriminant analysis in high dimensions with minimal tuning.
Scout-Nd optimizes parameters of stochastic simulators efficiently.
The success of Convolutional Neural Networks (CNNs) in image classification has prompted efforts to study their use for classifying image data obtained in Particle Physics experiments. Here, we discuss our efforts to apply CNNs to 2D and 3D image data from particle physics experiments to classify signal from background…
Smartfluidnet accelerates Eulerian fluid simulation with neural networks.
QMC and GSA improve option pricing and risk measures efficiency.
The simulator is an R package that streamlines the process of performing simulations by creating a common infrastructure that can be easily used and reused across projects. Methodological statisticians routinely write simulations to compare their methods to preexisting ones. While developing ideas, there is a temptatio…
SMC analysis reveals key transient effects in macroeconomic ABM.
Simulation-based inference methods can produce unreliable posterior approximations.
Improving predictive understanding of Earth system variability and change requires data-model integration. Efficient data-model integration for complex models requires surrogate modeling to reduce model evaluation time. However, building a surrogate of a large-scale Earth system model (ESM) with many output variables i…
Paper uses DeePC to improve urban traffic lights, reducing congestion and emissions.
The paper proposes an efficient nested simulation design using likelihood ratio method.
Maximal Rate of Stepwise Uncertainty Reduction selects simulations to reduce uncertainty efficiently.
MarS simulates financial markets using generative models.
End-to-end autonomous driving perception learns latent features for better performance.
GMMNs model cross-sectional dependence for better option pricing and simulation.
The paper proposes a method to measure fairness through equality of effort using algorithmic recourse.
MARL improves LBM stability and accuracy across scales.
Prediction in a small-sized sample with a large number of covariates, the "small n, large p" problem, is challenging. This setting is encountered in multiple applications, such as precision medicine, where obtaining additional samples can be extremely costly or even impossible, and extensive research effort has recentl…
In standard passive imitation learning, the goal is to learn a target policy by passively observing full execution trajectories of it. Unfortunately, generating such trajectories can require substantial expert effort and be impractical in some cases. In this paper, we consider active imitation learning with the goal of…
Projective simulation (PS) is a model for intelligent agents with a deliberation capacity that is based on episodic memory. The model has been shown to provide a flexible framework for constructing reinforcement-learning agents, and it allows for quantum mechanical generalization, which leads to a speed-up in deliberat…
Study optimizes decisions in real-time using inexact simulation solutions.
Paper proposes a new framework to improve policy optimization by aligning real and simulated data distributions.
We present two methods, based on Chebyshev tensors, to compute dynamic sensitivities of financial instruments within a Monte Carlo simulation. These methods are implemented and run in a Monte Carlo engine to compute Dynamic Initial Margin as defined by ISDA (SIMM). We show that the levels of accuracy, speed and impleme…
Gradient-based adversarial attacks on neural networks can be crafted in a variety of ways by varying either how the attack algorithm relies on the gradient, the network architecture used for crafting the attack, or both. Most recent work has focused on defending classifiers in a case where there is no uncertainty about…
New methods make Bayesian inference feasible for complex cognitive models.
We review and apply Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques to pricing and risk management (greeks) of representative financial instruments of increasing complexity. We compare QMC vs standard Monte Carlo (MC) results in great detail, using high-dimensional Sobol' low discrepancy sequen…
Accurate annotation of medical image is the crucial step for image AI clinical application. However, annotating medical image will incur a great deal of annotation effort and expense due to its high complexity and needing experienced doctors. To alleviate annotation cost, some active learning methods are proposed. But …
Reduces test set maintenance effort by 80-100%.
Ultrasound (US) is one of the most commonly used imaging modalities in both diagnosis and surgical interventions due to its low-cost, safety, and non-invasive characteristic. US image segmentation is currently a unique challenge because of the presence of speckle noise. As manual segmentation requires considerable effo…
Quantum models avoiding barren plateaus can also be efficiently simulated classically.
Panda predicts chaotic systems without retraining, showing emergent properties.
The dynamics of financial markets are driven by the interactions between participants, as well as the trading mechanisms and regulatory frameworks that govern these interactions. Decision-makers would rather not ignore the impact of other participants on these dynamics and should employ tools and models that take this …
Replication study shows Deep-SE still not as effective as previously thought for agile effort estimation.
Simulator imperfection, often known as model error, is ubiquitous in practical data assimilation problems. Despite the enormous efforts dedicated to addressing this problem, properly handling simulator imperfection in data assimilation remains to be a challenging task. In this work, we propose an approach to dealing wi…
Resistive crossbars have attracted significant interest in the design of Deep Neural Network (DNN) accelerators due to their ability to natively execute massively parallel vector-matrix multiplications within dense memory arrays. However, crossbar-based computations face a major challenge due to a variety of device and…
ForecastQA creates a new QA task for event forecasting from text data.
Algorithms are often used to produce decision-making rules that classify or evaluate individuals. When these individuals have incentives to be classified a certain way, they may behave strategically to influence their outcomes. We develop a model for how strategic agents can invest effort in order to change the outcome…
NSBI approach detects Higgs trilinear coupling with high luminosity upgrade constraints.
In the medical domain, the lack of large training data sets and benchmarks is often a limiting factor for training deep neural networks. In contrast to expensive manual labeling, computer simulations can generate large and fully labeled data sets with a minimum of manual effort. However, models that are trained on simu…
Optimal contracts are found for agents with quadratic effort costs.
Paper proposes a sequential statistical test for comparing imitation learning policies with near-optimal stopping.
Improved simulation of phase transitions using hierarchical autoregressive networks.