Develops tests for Markowitz stochastic dominance spanning using saddle points.
problem Determining if adding securities or relaxing investment constraints improves investment opportunity sets.
method Derives properties of cdfs, defines Markowitz stochastic dominance spanning, constructs non-parametric tests based on subsampling.
result Rejects market portfolio Markowitz efficiency and finds evidence of outperformance.
New framework tests mean-variance spanning in high dimensions.
problem Testing mean-variance spanning in high-dimensional asset spaces.
method Robust Student-t statistic based on batch-mean method, combined using Cauchy combination test.
result Advantages of diversification vary by economic conditions and cross-country.
This work extends SVM error bounds to weighted SVM and introduces hyperparameter selection methods.
problem Improving SVM performance through effective hyperparameter selection.
method Extending span error bound theory to weighted SVM and introducing hyperparameter selection methods.
result The span rule is the most effective method for weighted SVM hyperparameter selection and provides the best predictor of test error.
We consider the detection of activations over graphs under Gaussian noise, where signals are piece-wise constant over the graph. Despite the wide applicability of such a detection algorithm, there has been little success in the development of computationally feasible methods with proveable theoretical guarantees for ge…
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.
OCmst detects anomalies using CNN features and MSTs.
problem Novelty detection in data with no outliers.
method Uses CNN for feature extraction and MSTs for graph-based modeling.
result Achieved state-of-the-art results on CIFAR10 dataset.
Optimizes balanced treatment assignment for experiments.
problem Balancing treatment groups in experiments for optimal results.
method Optimization of a two-sample test, using minimum spanning tree test.
result Optimal assignment algorithm with polynomial time complexity.
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.
This note improves correlation stress tests using geodesic distance.
problem Improving financial risk management through better covariance stress tests.
method Proposes a new geometrically invariant definition of correlation stress tests.
result Demonstrates a submanifold approach to stress testing covariance matrices.
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.
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.
New method uses neural networks for better financial hedging.
problem Spanning multi-asset payoffs with vanilla options.
method One-hidden-layer feedforward neural networks for numerical solution.
result Better hedging results with neural networks compared to single-asset approaches.
New method infers viral load from pooled tests.
problem Inefficient viral load inference in pooled testing.
method Message passing algorithm with PCR noise function.
result Accurate viral load inference possible.
Test-asset construction affects factor model performance.
problem How test assets are constructed impacts factor model performance.
method Forming characteristic-unsorted random portfolios and varying stock selection, initial weighting, holding, and rebalancing.
result Test-asset construction shifts factor model rankings materially.
Novel online graph-based method detects changes in high-dimensional data.
problem Challenges in detecting changes in high-dimensional data.
method Graph-based similarity measure derived from graph-spanning ratio.
result High detection power and controlled false alarm rate for high-dimensional data.
We introduce Universum learning for multiclass problems and propose a novel formulation for multiclass universum SVM (MU-SVM). We also propose an analytic span bound for model selection with almost 2-4x faster computation times than standard resampling techniques. We empirically demonstrate the efficacy of the proposed…
Tests factor models by decomposing market into body and tail legs, revealing inconsistent results.
problem Inconsistency between factor models and market behavior.
method Decomposes market into body and tail legs, testing factor models at daily and monthly frequencies.
result q5 model shows inconsistent results, with negative body and positive tail alphas at all split ratios.
Extracts credit-relevant information from earnings calls.
problem Investors do not fully internalize credit-relevant information from earnings calls.
method Develops a novel technique to extract credit-relevant information from earnings call text.
result The extracted information forecasts future credit spread changes and firm profitability.
Three methods combine one-class classifiers with MST-CD and N-ary Trees for binary classification.
problem Binary classification with overlapping and imbalanced classes.
method Combining one-class classifiers with MST-CD and N-ary Trees to handle inconsistencies and spurious connections.
result The proposed methods are feasible and comparable to state-of-the-art algorithms.
New spanning 3-disks found for unlink in 4-sphere.
problem 2-component unlink in 4-sphere.
method Found infinitely many isotopy classes of Brunnian spanning 3-disks.
result Infinitely many Brunnian spanning 3-disks for 2-unlink in 4-sphere.
Paper proposes a method to improve language model performance on unknown distributions.
problem Language models trained on diverse data can perform poorly on unseen distributions.
method Distributionally robust optimization (DRO) to minimize worst-case performance over a mixture of potential test distributions.
result Topic CVaR approach reduces perplexity by 5.5 points compared to standard maximum likelihood.
Study on cryptocurrency market correlations at various time scales.
problem Understanding the hierarchical structure of cryptocurrency market dynamics.
method Analysis of MST and TMFG for 25 liquid cryptocurrencies at different time horizons.
result Cryptocurrency market correlations decrease with finer time scales and show a growing hierarchical structure with coarser scales.
Sharp bounds for spanning tree entropy in planar lattices.
problem Estimating spanning tree entropy in planar lattice graphs.
method Using hyperbolic geometry and polyhedra volumes.
result Proved bounds are easy to compute and provide excellent estimates.
Totally geodesic surfaces found in knots and links.
problem Finding totally geodesic surfaces in knots and links.
method Constructing infinite families of knots and links with totally geodesic spanning surfaces in various 3-manifolds.
result Infinite families of knots and links with totally geodesic spanning surfaces in multiple 3-manifolds.
The study finds that factor momentum is significant only at short lags compared to stock momentum.
problem Investigating the relationship between factor momentum and stock momentum.
method Replicated earlier findings and conducted a spanning test controlling for stock momentum and factor exposure.
result Factor momentum is significant only at short lags after controlling for stock momentum and factor exposure.
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 …
A new classification method based on Minimum Spanning Trees
problem Improving classification in supervised learning
method Proposing a classification algorithm based on Minimum Spanning Trees
result The proposed method is effective and computationally efficient
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.
Refines knot defect measurement in 3D and 4D.
problem Measuring how far knots are from being alternating.
method Extends spanning surface defect to 4-ball, making comparisons and proving formulas.
result Connected sum formula proven.
Ancient curves span halfplanes via flow.
problem Ancient solutions to Curve Shortening Flow.
method Constructing infinite family of solutions.
result Spanning halfplane with ancient curves.
Proves bounds on spanning two-forests and random cut sizes.
problem Counting spanning two-forests and estimating random cut sizes.
method Uses pairwise effective resistances and potential theory.
result Establishes bounds on the number of spanning two-forests and average cut size.
Alexander polynomial equals spanning tree count at t=1.
problem Alexander polynomial for spatial graphs.
method Combinatorial constructions generalized to weighted graphs.
result Value of Alexander polynomial at t=1 equals weighted spanning tree count.
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…
Since its inception, the modus operandi of multi-task learning (MTL) has been to minimize the task-wise mean of the empirical risks. We introduce a generalized loss-compositional paradigm for MTL that includes a spectrum of formulations as a subfamily. One endpoint of this spectrum is minimax MTL: a new MTL formulation…
SPAN learns functions over sets invariant to permutations, outperforming existing methods.
problem Learning functions over sets invariant to permutations.
method SPAN architecture that combines neural networks with adversarial permutations.
result SPAN achieves nearly permutation-invariant functions while maintaining accuracy.
This paper improves speech recognition by using raw waveform signals in multi-span CNN acoustic models.
problem Improving speech recognition accuracy using raw waveform signals.
method Proposes a novel multi-span structure for acoustic modelling based on raw waveform signals with multiple CNN input layers.
result Multi-span acoustic models yield a lower word error rate (WER) than traditional FBANK feature-based models.
New spanning tree model connects knot homology, s-invariant, and exotic discs.
problem Understanding exotic discs in the 4-ball for knots.
method Explicitly defined differential in spanning tree complex, described Rasmussen's s-invariant.
result Identified new infinite family of knots bounding exotic discs.
New algorithms find optimal policies without knowing MDP span.
problem Finding optimal policies in MDPs without knowing span.
method Horizon calibration and span penalization techniques.
result First algorithms achieving optimal span-based complexity without prior knowledge.
Study asymptotic expansion of graph Laplacian on discretized surfaces, relating spanning trees and cycle-rooted forests.
problem Asymptotic expansion of graph Laplacian on discretized surfaces.
method Relate spanning trees and cycle-rooted spanning forests to zeta-regularized determinants.
result Explicit formula for limit of cycle-rooted spanning forest probability and topological observables.
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.
Method for factor analysis in short panels without assuming sphericity or Gaussianity.
problem Factor analysis in short panels without assuming sphericity or Gaussianity.
method Pseudo maximum likelihood method and asymptotically uniformly most powerful invariant test.
result Systematic risk explains a large part of cross-sectional total variance in bear markets but is not spanned by observed factors.
Under the Fundamental Review of the Trading Book (FRTB) capital charges for the trading book are based on the coherent expected shortfall (ES) risk measure, which show greater sensitivity to tail risk. In this paper it is argued that backtesting of expected shortfall - or the trading book model from which it is calcula…
Study Murasugi sum in 4D for knotted surfaces, defining arborescent surfaces.
problem Defining and understanding Murasugi sum in 4D for knotted surfaces.
method Introduced a 4D Murasugi sum to define arborescent knotted surfaces.
result Defined and studied arborescent knotted surfaces using 4D Murasugi sum.
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.
For a spanning tree T of a connected graph G and for a labelling φ: E(T) \rightarrow {+, -}, φis called an alternating sign on a spanning tree T of a graph G if for any cotree edge e \in E(G)-E(T), the unique path in T joining both end vertices of e has alternating signs. In the present note, we prove that any graph ha…
We investigate the time series of the degree of minimum spanning trees obtained by using a correlation based clustering procedure which is starting from (i) asset return and (ii) volatility time series. The minimum spanning tree is obtained at different times by computing correlation among time series over a time windo…
We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping by industrial categories, and found a decreasing in trend for the coefficient. This phenomenon supports the increasing external influences …
Researchers use human-in-the-loop to create counterfactually augmented data, improving model performance.
problem Creating ML models less reliant on spurious patterns in NLP datasets.
method A human-in-the-loop process to curate counterfactually augmented data (CAD), prohibiting unnecessary edits.
result Models trained on CAD appear to rely less on semantically irrelevant words and generalize better out of domain.