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.
An Atlas model is a rank-based system of continuous semimartingales for which the steady-state values of the processes follow a power law, or Pareto distribution. For a power law, the log-log plot of these steady-state values versus rank is a straight line. Zipf's law is a power law for which the slope of this line is …
In this work we present a modification in the conventional flow of information through a LSTM network, which we consider well suited for RNNs in general. The modification leads to a iterative scheme where the computations performed by the LSTM cell are repeated over a constant input and cell state values, while updatin…
Enhances financial market valuation and trading algorithms using distributional value functions.
problem Accurate valuation and optimal trading decisions in financial markets.
method Combines predictive knowledge and deep reinforcement learning to introduce CDG-Model, a flexible framework for financial market valuation and trading.
result Improved market valuation and trading performance through enhanced feature creation and integration of real-world market factors.
The width w of a curve γ in Euclidean space Rn is the infimum of the distances between all pairs of parallel hyperplanes which bound γ, while its inradius r is the supremum of the radii of all spheres which are contained in the convex hull of γ and are disjoint from γ. We use a mixture of topological and…
We establish a new connection between value and policy based reinforcement learning (RL) based on a relationship between softmax temporal value consistency and policy optimality under entropy regularization. Specifically, we show that softmax consistent action values correspond to optimal entropy regularized policy pro…
Paper proposes using expectation models for planning in stochastic environments.
problem Intractability of learning distribution and sample models in large state and action spaces.
method Proposes using approximate expectation models for MBRL, analyzes linear and non-linear parametrizations, and presents a policy evaluation algorithm.
result Planning with an expectation model is equivalent to planning with a distribution model under certain conditions.
Estimates hybrid dynamical systems with polynomial expansions and Markovian switching.
problem Identifying hybrid dynamical systems with nonlinear autoregressive exogenous (NARX) components and Markovian switching.
method Probabilistic framework using Expectation Maximization for parameter estimation, including submodel coefficients, hidden state values, and transition probabilities. Disentangles mode classification and NARX regression tasks. Uses soft-labels and coordinate descent approach for parameter fitting.
result Demonstrated on a SMNARX problem with three nonlinear sub-models, achieving parsimonious models through l1-norm bridge estimation and hard-thresholding.
Strong worst-case performance bounds for episodic reinforcement learning exist but fortunately in practice RL algorithms perform much better than such bounds would predict. Algorithms and theory that provide strong problem-dependent bounds could help illuminate the key features of what makes a RL problem hard and reduc…
This paper presents a new meta-modeling framework to employ deep reinforcement learning (DRL) to generate mechanical constitutive models for interfaces. The constitutive models are conceptualized as information flow in directed graphs. The process of writing constitutive models are simplified as a sequence of forming g…
Current imitation learning techniques are too restrictive because they require the agent and expert to share the same action space. However, oftentimes agents that act differently from the expert can solve the task just as good. For example, a person lifting a box can be imitated by a ceiling mounted robot or a desktop…
Unified q-learning for mean-field jump-diffusion models with unobservable population distribution.
problem Continuous-time q-learning in mean-field jump-diffusion models with unobservable population distribution.
method Proposed decoupled Iq-function for unified policy evaluation in MFG and MFC problems; unified q-learning algorithm based on test policies and averaged martingale orthogonality condition.
result Unified policy evaluation rule for MFG and MFC problems based on decoupled Iq-function.
The complex, time-dependent statistical structures observed in the Dow Jones Industrial Average on a typical trading day are modeled with Lorentzian functions. The resonant-like structures are characterized by the values of the basic ratio: the average lifetime of the individual states associated with a given structura…
Combining deep model-free reinforcement learning with on-line planning is a promising approach to building on the successes of deep RL. On-line planning with look-ahead trees has proven successful in environments where transition models are known a priori. However, in complex environments where transition models need t…
Activities in reinforcement learning (RL) revolve around learning the Markov decision process (MDP) model, in particular, the following parameters: state values, V; state-action values, Q; and policy, pi. These parameters are commonly implemented as an array. Scaling up the problem means scaling up the size of the arra…