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.
Style Miner generates stable and significant style factors for time series analysis.
We propose a deep factorization model for typographic analysis that disentangles content from style. Specifically, a variational inference procedure factors each training glyph into the combination of a character-specific content embedding and a latent font-specific style variable. The underlying generative model combi…
We consider the disentanglement of the representations of the relevant attributes of the data (content) from all other factors of variations (style) using Variational Autoencoders. Some recent works addressed this problem by utilizing grouped observations, where the content attributes are assumed to be common within ea…
Global Style Tokens (GSTs) are a recently-proposed method to learn latent disentangled representations of high-dimensional data. GSTs can be used within Tacotron, a state-of-the-art end-to-end text-to-speech synthesis system, to uncover expressive factors of variation in speaking style. In this work, we introduce the T…
Proposes a VAE variant for ordinal content factors.
Simple method disentangles content and style from pre-trained vision models.
Study examines Indian equity mutual funds' investment style and risk-shifting.
We study the problem of controllable generation of long-term sequential behaviors, where the goal is to calibrate to multiple behavior styles simultaneously. In contrast to the well-studied areas of controllable generation of images, text, and speech, there are two questions that pose significant challenges when genera…
This paper proposes a continuous timing strategy for growth vs. defensive style allocation.
Shrunk sample covariance matrix is a factor model of a special form combining some (typically, style) risk factor(s) and principal components with a (block-)diagonal factor covariance matrix. As such, shrinkage, which essentially inherits out-of-sample instabilities of the sample covariance matrix, is not an alternativ…
Method separates data into class and style factors using semi-supervised learning.
Latent factor models (LFMs) such as matrix factorization achieve the state-of-the-art performance among various Collaborative Filtering (CF) approaches for recommendation. Despite the high recommendation accuracy of LFMs, a critical issue to be resolved is the lack of explainability. Extensive efforts have been made in…
We give a simple explicit algorithm for building multi-factor risk models. It dramatically reduces the number of or altogether eliminates the risk factors for which the factor covariance matrix needs to be computed. This is achieved via a nested "Russian-doll" embedding: the factor covariance matrix itself is modeled v…
We propose a framework for constructing factor models for alpha streams. Our motivation is threefold. 1) When the number of alphas is large, the sample covariance matrix is singular. 2) Its out-of-sample stability is challenging. 3) Optimization of investment allocation into alpha streams can be tractable for a factor …
Proposes iVDFM for identifying latent factors in multivariate time series.
We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in quant trading with much shorter holding horizons is suboptimal: 1) longer horizon …
We give a complete algorithm and source code for constructing general multifactor risk models (for equities) via any combination of style factors, principal components (betas) and/or industry factors. For short horizons we employ the Russian-doll risk model construction to obtain a nonsingular factor covariance matrix.…
This paper describes an empirical study of shortfall optimization with Barra Extreme Risk. We compare minimum shortfall to minimum variance portfolios in the US, UK, and Japanese equity markets using Barra Style Factors (Value, Growth, Momentum, etc.). We show that minimizing shortfall generally improves performance ov…
Machine learning models predict depression risk based on various factors.
We propose an alternative generator architecture for generative adversarial networks, borrowing from style transfer literature. The new architecture leads to an automatically learned, unsupervised separation of high-level attributes (e.g., pose and identity when trained on human faces) and stochastic variation in the g…
Automates model comparison in probabilistic programming.
We identity a by-far-unrecognized problem of Adam-style optimizers which results from unnecessary coupling between momentum and adaptivity. The coupling leads to instability and divergence when the momentum and adaptivity parameters are mismatched. In this work, we propose a method, Laprop, which decouples momentum and…
Arbitrary style transfer is an important problem in computer vision that aims to transfer style patterns from an arbitrary style image to a given content image. However, current methods either rely on slow iterative optimization or fast pre-determined feature transformation, but at the cost of compromised visual qualit…
The artistic style of a painting is a subtle aesthetic judgment used by art historians for grouping and classifying artwork. The recently introduced `neural-style' algorithm substantially succeeds in merging the perceived artistic style of one image or set of images with the perceived content of another. In light of th…
Paper proposes a method to extract style features from unlabeled data.
Deep learning-based style transfer between images has recently become a popular area of research. A common way of encoding "style" is through a feature representation based on the Gram matrix of features extracted by some pre-trained neural network or some other form of feature statistics. Such a definition is based on…
In this article, we focus on decomposing latent representations in generative adversarial networks or learned feature representations in deep autoencoders into semantically controllable factors in a semisupervised manner, without modifying the original trained models. Particularly, we propose factors' decomposer-entang…
We propose Gaussian optimal transport for Image style transfer in an Encoder/Decoder framework. Optimal transport for Gaussian measures has closed forms Monge mappings from source to target distributions. Moreover interpolates between a content and a style image can be seen as geodesics in the Wasserstein Geometry. Usi…
Deep learning system generates new Chinese fonts via style variables.
We propose Style Conditioned Recommendations (SCR) and introduce style injection as a method to diversify recommendations. We use Conditional Variational Autoencoder (CVAE) architecture, where both the encoder and decoder are conditioned on a user profile learned from item content data. This allows us to apply style tr…
Source code reviews are manual, time-consuming, and expensive. Human involvement should be focused on analyzing the most relevant aspects of the program, such as logic and maintainability, rather than amending style, syntax, or formatting defects. Some tools with linting capabilities can format code automatically and r…
Text style transfer aims to modify the style of a sentence while keeping its content unchanged. Recent style transfer systems often fail to faithfully preserve the content after changing the style. This paper proposes a structured content preserving model that leverages linguistic information in the structured fine-gra…
When creating an outfit, style is a criterion in selecting each fashion item. This means that style can be regarded as a feature of the overall outfit. However, in various previous studies on outfit generation, there have been few methods focusing on global information obtained from an outfit. To address this deficienc…
RB-Modulation trains free diffusion models without external adapters.
In this paper, we price American-style Parisian down-and-in call options under the Black-Scholes framework. Usually, pricing an American-style option is much more difficult than pricing its European-style counterpart because of the appearance of the optimal exercise boundary in the former. Fortunately, the optimal exer…
We use customer demand data for fashion articles on Myntra, and derive a fashionability or style quotient, which represents customer demand for the stylistic content of a fashion article, decoupled with its commercials (price, offers, etc.). We demonstrate learning for assortment planning in fashion that would aim to k…
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consist of the pricing of nth-to-default baskets under the Gaussian copula model (GCM). We provide necessary and sufficient co…
Most existing word embedding methods can be categorized into Neural Embedding Models and Matrix Factorization (MF)-based methods. However some models are opaque to probabilistic interpretation, and MF-based methods, typically solved using Singular Value Decomposition (SVD), may incur loss of corpus information. In addi…
In this paper, we introduce an unsupervised learning approach to automatically discover, summarize, and manipulate artistic styles from large collections of paintings. Our method is based on archetypal analysis, which is an unsupervised learning technique akin to sparse coding with a geometric interpretation. When appl…
New method disentangles style features from data augmentations.
Current multi-reference style transfer models for Text-to-Speech (TTS) perform sub-optimally on disjoints datasets, where one dataset contains only a single style class for one of the style dimensions. These models generally fail to produce style transfer for the dimension that is underrepresented in the dataset. In th…
We consider visual domains in which a class label specifies the content of an image, and class-irrelevant properties that differentiate instances constitute the style. We present a domain-independent method that permits the open-ended recombination of style of one image with the content of another. Open ended simply me…
The paper finds new inequalities for convex polygons.
Deep conditional generative models are developed to simultaneously learn the temporal dependencies of multiple sequences. The model is designed by introducing a three-way weight tensor to capture the multiplicative interactions between side information and sequences. The proposed model builds on the Temporal Sigmoid Be…
Benchmark evaluates LLM trading agents by masking identifiers to prevent memory leaks.
In this paper we do the first large scale analysis of writing style development among Danish high school students. More than 10K students with more than 100K essays are analyzed. Writing style itself is often studied in the natural language processing community, but usually with the goal of verifying authorship, assess…
In this paper, we present a new method for calculating the limit of early exercise boundary at expiry. We price American style of general derivative using a formula expressed as a sum of the value of European style of derivative and so called American premium. We use the latter expression to calculate an analytic formu…
We introduce MIDI-VAE, a neural network model based on Variational Autoencoders that is capable of handling polyphonic music with multiple instrument tracks, as well as modeling the dynamics of music by incorporating note durations and velocities. We show that MIDI-VAE can perform style transfer on symbolic music by au…