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.
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.
Simple models outperformed sophisticated ones in forecasting Turkish lira exchange rates.
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…
Paper analyzes venture capital exit decisions under inconsistent preferences.
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 …
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.
Study shows cognitive load impacts financial market efficiency, especially for less sophisticated investors.
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…
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…
K-Means is one of the most used algorithms for data clustering and the usual clustering method for benchmarking. Despite its wide application it is well-known that it suffers from a series of disadvantages; it is only able to find local minima and the positions of the initial clustering centres (centroids) can greatly …
Study shows accuracy of neural networks depends more on error location than percentage of error.
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…
Cybersecurity attacks are growing both in frequency and sophistication over the years. This increasing sophistication and complexity call for more advancement and continuous innovation in defensive strategies. Traditional methods of intrusion detection and deep packet inspection, while still largely used and recommende…
New Spencer complexes for Lie groupoids developed.
From the early days of computing, games have been important testbeds for studying how well machines can do sophisticated decision making. In recent years, machine learning has made dramatic advances with artificial agents reaching superhuman performance in challenge domains like Go, Atari, and some variants of poker. A…
Economic complexity reflects the amount of knowledge that is embedded in the productive structure of an economy. By combining tools from network science and econometrics, a robust and stable relationship between a country's productive structure and its economic growth has been established. Here we report that not only …
This paper identifies the salient factors that characterize the inequality income distribution for Romania. Data analysis is rigorously carried out using sophisticated techniques borrowed from classical statistics (Theil). Decomposition of the inequalities measured by the Theil index is also performed. This study relie…
Simplified proof for Frank and Lieb's inequality on Heisenberg group.
We present RL-VAE, a graph-to-graph variational autoencoder that uses reinforcement learning to decode molecular graphs from latent embeddings. Methods have been described previously for graph-to-graph autoencoding, but these approaches require sophisticated decoders that increase the complexity of training and evaluat…
Thousands of cryptocurrencies have been issued and publicly exchanged since Bitcoin was invented in 2008. The total cryptocurrency market value exceeds 300 billion US dollars as of 2019. This paper analyzes the prices, volumes, blockchain transactions, coin difficulties and public opinion popularities of 3607 actively …
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…
Artificial neural networks are simple and efficient machine learning tools. Defined originally in the traditional setting of simple vector data, neural network models have evolved to address more and more difficulties of complex real world problems, ranging from time evolving data to sophisticated data structures such …
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…
This paper uses RL for better financial trading.
Paper explores how black box models can deviate from average performance.
We survey our recent papers (some being joint ones) about the relation between the geometry of a compact Kähler manifold and the existence of automorphisms of positive entropy on it. We also use the language of log minimal model program (LMMP) in biraitonal geometry, but not its more sophisticated technical part. We gi…
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…
Uniswap V3 requires more decisions from liquidity providers, making it complex and risky.
Shape analysis and compuational anatomy both make use of sophisticated tools from infinite-dimensional differential manifolds and Riemannian geometry on spaces of functions. While comprehensive references for the mathematical foundations exist, it is sometimes difficult to gain an overview how differential geometry and…
We show that the Green functions on flat tori can have either 3 or 5 critical points only. There does not seemto be any directmethod to attack this problem. Instead, we have to employ sophisticated non-linear partial differential equations to study it. We also study the distribution of number of critical points over th…
We propose a general method to obtain approximation of the first passage time distribution for the birth-death processes. We rely on the general properties of birth-death processes, Keilson's theorem and the concept of Riemann sum to obtain closed-form expressions. We apply the method to the three selected birth-death …
In this work, we present an extension of Gaussian process (GP) models with sophisticated parallelization and GPU acceleration. The parallelization scheme arises naturally from the modular computational structure w.r.t. datapoints in the sparse Gaussian process formulation. Additionally, the computational bottleneck is …
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated to random-walk like processes. We numerically demonstrate our scenario in the fr…
Prior to the financial crisis mortgage securitization models increased in sophistication as did products built to insure against losses. Layers of complexity formed upon a foundation that could not support it and as the foundation crumbled the housing market followed. That foundation was the Gaussian copula which faile…
Sentiment classification is an important process in understanding people's perception towards a product, service, or topic. Many natural language processing models have been proposed to solve the sentiment classification problem. However, most of them have focused on binary sentiment classification. In this paper, we u…
Vocal disorders have affected several patients all over the world. Due to the inherent difficulty of diagnosing vocal disorders without sophisticated equipment and trained personnel, a number of patients remain undiagnosed. To alleviate the monetary cost of diagnosis, there has been a recent growth in the use of data a…
Recent studies using data on social media and stock markets have mainly focused on predicting stock returns. Instead of predicting stock price movements, we examine the relation between Facebook data and investors' decision making in stock markets with a unique data on investors' transactions on Nokia. We find that the…
Face recognition systems are vulnerable to composite face reconstruction attacks.
Several probabilistic models from high-dimensional statistics and machine learning reveal an intriguing --and yet poorly understood-- dichotomy. Either simple local algorithms succeed in estimating the object of interest, or even sophisticated semi-definite programming (SDP) relaxations fail. In order to explore this p…
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 …
Existing high-performance deep learning models require very intensive computing. For this reason, it is difficult to embed a deep learning model into a system with limited resources. In this paper, we propose the novel idea of the network compression as a method to solve this limitation. The principle of this idea is t…