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arXiv research

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.

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48 results for spanning sets

New methods evaluate stock market anomalies for prospect investors.

problem Determining if new securities or investment changes improve prospect investors' opportunities.
method Developed and implemented a new testing procedure for prospect spanning using subsampling and Linear Programming.
result Many well-known anomalies expand prospect investors' opportunity sets, indicating real economic value.

We derive properties of the cdf of random variables defined as saddle-type points of real valued continuous stochastic processes. This facilitates the derivation of the first-order asymptotic properties of tests for stochastic spanning given some stochastic dominance relation. We define the concept of Markowitz stochas…

2018-10-25abs ↗pdf ↗

The paper identifies the minimum mean-variance spanning set and its importance in asset evaluation.

problem Estimating the minimum subset of assets that span the efficient frontier.
method Established identification conditions and developed a novel procedure for MSS estimation and inference.
result The MSS estimator accurately covers the true MSS and converges to it at any desired confidence level.

We use the methods of Hedden, Juhasz, and Sarkar to exhibit a set of arborescent knots that bound large numbers of non-isotopic minimal genus spanning surfaces. In particular, we describe a sequence of prime knots K_{n} which will bound at least 2^{2n-1} non-isotopic minimal spanning surfaces of genus n.

2013-08-13abs ↗pdf ↗

Plateau's problem is to find a surface with minimal area spanning a given boundary. In 1960, Reifenberg and Adams developed a definition for "span" using Čech homology, and variants of this definition have been used ever sense. However, limitations of Čech homology resulted in the lack of a natural definition for a bou…

2014-12-06abs ↗pdf ↗

Traditional automatic speech recognition (ASR) systems often use an acoustic model (AM) built on handcrafted acoustic features, such as log Mel-filter bank (FBANK) values. Recent studies found that AMs with convolutional neural networks (CNNs) can directly use the raw waveform signal as input. Given sufficient training…

2019-06-21abs ↗pdf ↗

Plateau's soap film problem is to find a surface of least area spanning a given boundary. We begin with a compact orientable (n2)(n-2)-dimensional submanifold MM of Rn\R^n. If MM is connected, we say a compact set XX "spans" MM if XX intersects every Jordan curve whose linking number with MM is 1. Picture a soap fi…

2013-10-01abs ↗pdf ↗

Let X and Y be infinite graphs, such that the automorphism group of X is nonamenable, and the automorphism group of Y has an infinite orbit. We prove that there is no automorphism-invariant measure on the set of spanning trees in the direct product X times Y. This implies that the minimal spanning forest corresponding …

2004-04-05abs ↗pdf ↗

New algorithms reduce reinforcement learning regret in factored MDPs.

problem Optimizing reinforcement learning in non-episodic factored MDPs.
method Proposed two near-optimal and oracle-efficient algorithms for FMDPs.
result Oracle-efficient algorithms achieve near-optimal regret bounds of O(DSAT)O(DS\sqrt{AT}).

We introduce the notion of a "state function" for framed tangles in a disk. After choosing a finite set of states for each marked disk, a state function is a projection from the vector space spanned by all tangles to the vector space spanned by the states, that is local, and topologically invariant. Given the states fo…

2018-06-25abs ↗pdf ↗

New dataset and models detect cryptocurrency bubbles using social media data.

problem Detecting anomalous market behavior in cryptocoins and meme stocks.
method Developed a novel multi-span identification task and sequence-to-sequence hyperbolic models.
result Models effectively detect cryptocoins and meme stocks bubbles in zero-shot settings.

New methods show sparse portfolios offer no advantage over mean-variance in diversification.

problem Investment diversification and risk management with sparse portfolios.
method Developed and implemented a new estimation procedure for sparse second-order stochastic spanning using a greedy algorithm and Linear Programming.
result No benefit from expanding a sparse opportunity set beyond 45 assets; optimal sparse portfolio reduces tail risk.

New complexity measure helps in agnostic reinforcement learning with or without access to MDP dynamics.

problem Understanding the number of rounds needed to learn an ε-suboptimal policy in unknown MDPs.
method Introducing spanning capacity as a new complexity measure and developing POPLER algorithm.
result There is a separation between generative and online access models for agnostic learnability.

The Jones polynomial can be expressed in terms of spanning trees of the graph obtained by checkerboard coloring a knot diagram. We show there exists a complex generated by these spanning trees whose homology is the reduced Khovanov homology. The spanning trees provide a filtration on the reduced Khovanov complex and a …

2006-07-20abs ↗pdf ↗

Spanning attack improves black-box attacks with unlabeled data.

problem Query inefficiency in black-box attacks due to high input space dimensionality.
method Proposes spanning attack by constraining adversarial perturbations in a low-dimensional subspace via an auxiliary unlabeled dataset.
result Significantly improves query efficiency of black-box attacks.

We introduce the warping polynomial of an oriented knot diagram. In this paper, we characterize the warping polynomial, and define the span of a knot to be the minimal span of the warping polynomial for all diagrams of the knot. We show that the span of a knot is one if and only if it is non-trivial and alternating, an…

2011-09-27abs ↗pdf ↗

Non-spanning identification of scheduled event risk in option pricing.

problem Separating continuous surface from scheduled jump in option pricing.
method Modeling FOMC decisions, CPI releases, and NFP reports as deterministic-time jumps in risk-neutral option pricing.
result Improves held-out event-spanning pricing with Gaussian and two-component mixture jumps.

We address the problem of computing reliable policies in reinforcement learning problems with limited data. In particular, we compute policies that achieve good returns with high confidence when deployed. This objective, known as the \emph{percentile criterion}, can be optimized using Robust MDPs~(RMDPs). RMDPs general…

2019-10-23abs ↗pdf ↗

New invariants measure how far spanning surfaces are from being compressible.

problem Understanding how essential spanning surfaces are in 3-manifolds.
method Introducing algebraic and geometric essence invariants, proving plumbing respects algebraic essence, and extending results to arbitrary 3-manifolds.
result Plumbing respects the algebraic essence of spanning surfaces, extending Ozawa's theorem.

A behavior of extreme networks under deformations of their boundary sets is investigated. It is shown that analyticity of a deformation of boundary set guarantees preservation of the networks types for minimal spanning trees, minimal fillings and so-called stable shortest trees in the Euclidean space.

2015-06-23abs ↗pdf ↗

Nonorientable spanning surfaces of periodic knots can have arbitrarily high first Betti number.

problem Periodic knots do not always have nonorientable spanning surfaces of high genus.
method Examples and calculations of nonorientable spanning surfaces of periodic knots.
result The first Betti number of nonorientable spanning surfaces can be arbitrarily large.

This paper proposes a new method to adapt ROMs for new parameter settings.

problem ROMs lack robustness when applied to new parameter settings.
method Regression trees on Grassmann Manifold to learn the mapping between parameters and POD bases.
result The proposed method is capable of establishing the mapping between parameters and POD bases, thus adapting ROMs for new parameters.

The Plateau-Douglas problem asks to find an area minimizing surface of fixed or bounded genus spanning a given finite collection of Jordan curves in Euclidean space. In the present paper we solve this problem in the setting of proper metric spaces admitting a local quadratic isoperimetric inequality for curves. We more…

2019-04-04abs ↗pdf ↗

We define a geometric flow that is designed to change surfaces of cylindrical type spanning two disjoint boundary curves into solutions of the Douglas-Plateau problem of finding minimal surfaces with given boundary curves. We prove that also in this new setting and for arbitrary initial data, solutions of the Teichmüll…

2015-01-29abs ↗pdf ↗

In this paper we provide the first examples of non-flat soap films proven to span tetrahedra. These are members of a continuous two parameter family of soap films with tetrahedral boundaries. Of particular interest is a two parameter subfamily where each spanning soap film has the property that two minimal surfaces mee…

2008-09-02abs ↗pdf ↗