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.
K-Means clustering improved with sophisticated initialisation techniques.
Paper compares simple and complex forecasting methods for photovoltaic power generation.
Study reveals investor behavior in NFT bubbles.
Sophisticated volatility models outperform naive portfolio strategies.
Study on investment strategy for agents with periodic preferences and discounting.
A good classification method should yield more accurate results than simple heuristics. But there are classification problems, especially high-dimensional ones like the ones based on image/video data, for which simple heuristics can work quite accurately; the structure of the data in such problems is easy to uncover wi…
Simple models outperformed sophisticated ones in forecasting Turkish lira exchange rates.
Machine learning methods are used to discover complex nonlinear relationships in biological and medical data. However, sophisticated learning models are computationally unfeasible for data with millions of features. Here we introduce the first feature selection method for nonlinear learning problems that can scale up t…
This study analyzes cryptocurrencies to reveal their homogeneity and heterogeneity.
We consider the problem of stopping a diffusion process with a payoff functional that renders the problem time-inconsistent. We study stopping decisions of naive agents who reoptimize continuously in time, as well as equilibrium strategies of sophisticated agents who anticipate but lack control over their future selves…
Investment strategies for rank-dependent utility agents are derived in a continuous-time market.
The paper uncovers two key laws of market impact influenced by volume and participation rate.
This paper extends the classical consumption and portfolio rules model in continuous time (Merton 1969, 1971) to the framework of decision-makers with time-inconsistent preferences. The model is solved for different utility functions for both, naive and sophisticated agents, and the results are compared. In order to so…
Sophisticated gated recurrent neural network architectures like LSTMs and GRUs have been shown to be highly effective in a myriad of applications. We develop an un-gated unit, the statistical recurrent unit (SRU), that is able to learn long term dependencies in data by only keeping moving averages of statistics. The SR…
Machine Learning improves cybersecurity by detecting cyber attacks.
This paper investigates a type of instability that is linked to the greedy policy improvement in approximated reinforcement learning. We show empirically that non-deterministic policy improvement can stabilize methods like LSPI by controlling the improvements' stochasticity. Additionally we show that a suitable represe…
Paper analyzes venture capital exit decisions under inconsistent preferences.
In this paper we consider the existence and regularity problem for Coulomb frames in the normal bundle of two-dimensional surfaces with higher codimension in Euclidean spaces. While the case of two codimensions can be approached directly by potential theory, more sophisticated methods have to be applied for codimension…
Agents learn sophisticated tool use and coordination in hide-and-seek.
Combinatorial auctions are formulated as frustrated lattice gases on sparse random graphs, allowing the determination of the optimal revenue by methods of statistical physics. Transitions between computationally easy and hard regimes are found and interpreted in terms of the geometric structure of the space of solution…
Paper proposes a new method for effective network compression.
Survey of AI in finance covering models, strategies, and knowledge systems.
During the last few years, there has been an interest in comparing simple or heuristic procedures for portfolio selection, such as the naive, equal weights, portfolio choice, against more "sophisticated" portfolio choices, and in explaining why, in some cases, the heuristic choice seems to outperform the sophisticated …
Method approximates first passage times for birth-death processes.
This note explores the mathematical theory to solve modern gamblers ruin problems. We establish a ruin framework and solve for the probability of bankruptcy. We also show how this relates to the expected time to bankruptcy and review the risk neutral probabilities associated an adjustment to asymmetrical views.
RL-VAE uses RL to decode molecular graphs from latent embeddings.
We present a powerful general framework for designing data-dependent optimization algorithms, building upon and unifying recent techniques in adaptive regularization, optimistic gradient predictions, and problem-dependent randomization. We first present a series of new regret guarantees that hold at any time and under …
Study shows cognitive load impacts financial market efficiency, especially for less sophisticated investors.
New methods combine MALA and mGRAD for scalable Bayesian inference in high-dimensional state-space models.
A system of nested dichotomies is a method of decomposing a multi-class problem into a collection of binary problems. Such a system recursively splits the set of classes into two subsets, and trains a binary classifier to distinguish between each subset. Even though ensembles of nested dichotomies with random structure…
Extends boundary estimates for Monge-Ampère equations in polygonal domains.
Estimates classical potential from stock price data using quantum mechanics.
Study the averaging estimator on graphs with labeled nodes.
Study shows accuracy of neural networks depends more on error location than percentage of error.
Spatio-temporal data is intrinsically high dimensional, so unsupervised modeling is only feasible if we can exploit structure in the process. When the dynamics are local in both space and time, this structure can be exploited by splitting the global field into many lower-dimensional "light cones". We review light cone …
Bayesian methods improve drug discovery experiment design.
The paper explores AI in finance, focusing on XAI's role in enhancing interpretability and trust.
Gaussian processes are typically used for smoothing and interpolation on small datasets. We introduce a new Bayesian nonparametric framework -- GPatt -- enabling automatic pattern extrapolation with Gaussian processes on large multidimensional datasets. GPatt unifies and extends highly expressive kernels and fast exact…
Conditional modeling x \to y is a central problem in machine learning. A substantial research effort is devoted to such modeling when x is high dimensional. We consider, instead, the case of a high dimensional y, where x is either low dimensional or high dimensional. Our approach is based on selecting a small subset y_…
Understanding the structure of financial markets deals with suitably determining the functional relation between financial variables. In this respect, important variables are the trading activity, defined here as the number of trades , the traded volume , the asset price , the squared volatility , the bid…
This is an elementary introduction to a method for studying harmonic maps into symmetric spaces, and in particular for studying constant mean curvature (CMC) surfaces, that was developed by J. Dorfmeister, F. Pedit and H. Wu. There already exist a number of other introductions to this method, but all of them require a …
Every year, 3 million newborns die within the first month of life. Birth asphyxia and other breathing-related conditions are a leading cause of mortality during the neonatal phase. Current diagnostic methods are too sophisticated in terms of equipment, required expertise, and general logistics. Consequently, early dete…
We study modeling and inference with the Elliptical Gamma Distribution (EGD). We consider maximum likelihood (ML) estimation for EGD scatter matrices, a task for which we develop new fixed-point algorithms. Our algorithms are efficient and converge to global optima despite nonconvexity. Moreover, they turn out to be mu…
New analysis shows black-box methods outperform action space methods in certain scenarios.
Develops trinomial models using cubature methods for financial derivative pricing.
When applying machine learning to problems in NLP, there are many choices to make about how to represent input texts. These choices can have a big effect on performance, but they are often uninteresting to researchers or practitioners who simply need a module that performs well. We propose an approach to optimizing ove…
Multivariate binary distributions can be decomposed into products of univariate conditional distributions. Recently popular approaches have modeled these conditionals through neural networks with sophisticated weight-sharing structures. It is shown that state-of-the-art performance on several standard benchmark dataset…
New Spencer complexes for Lie groupoids developed.