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.
Paper introduces -Perfect to estimate model-human correlation in subjective datasets.
The study proposes algorithms to minimize rating discordance in missing data.
Proposes a framework for causal inference with processed outcomes in biomedical research.
Inter-subject variability between individuals poses a challenge in inter-subject brain signal analysis problems. A new algorithm for subject-selection based on clustering covariance matrices on a Riemannian manifold is proposed. After unsupervised selection of the subsets of relevant subjects, data in a cluster is mapp…
Fluctuations in heart rate are intimately tied to changes in the physiological state of the organism. We examine and exploit this relationship by classifying a human subject's wake/sleep status using his instantaneous heart rate (IHR) series. We use a convolutional neural network (CNN) to build features from the IHR se…
Heart rate estimation from electrocardiogram signals is very important for the early detection of cardiovascular diseases. However, due to large individual differences and varying electrocardiogram signal quality, there does not exist a single reliable estimation algorithm that works well on all subjects. Every algorit…
Pairwise ranking aligns subjective clinical evaluations with objective indicators.
Derives equations for life insurance reserves with interest rate uncertainty.
By expressing prior distributions as general stochastic processes, nonparametric Bayesian methods provide a flexible way to incorporate prior knowledge and constrain the latent structure in statistical inference. The Indian buffet process (IBP) is such an example that can be used to define a prior distribution on infin…
A dynamic agent model is introduced with an annual random wealth multiplicative process followed by taxes paid according to a linear wealth-dependent tax rate. If poor agents pay higher tax rates than rich agents, eventually all wealth becomes concentrated in the hands of a single agent. By contrast, if poor agents are…
The aim of this paper is to study the construction of prospective mortality tables from a low number of persons subjected to risk. The presented models are the Lee-Carter and log-Poisson methods respectively. The low number of people subjected to risk, particularly noticed for the persons who are getting on, implies th…
Unified framework for clustering and learning causal graphs across subjects.
Characterizes distribution-free rates in unbalanced classification problems.
We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called {\it probability of drawdown}, namely, the probability that the value of an investment portfolio reaches some fixed proportion of its maximum value to date. We assume that the portfolio is subject to a payout that…
In this manuscript we consider the problem of jointly estimating multiple graphical models in high dimensions. We assume that the data are collected from n subjects, each of which consists of T possibly dependent observations. The graphical models of subjects vary, but are assumed to change smoothly corresponding to a …
Automated video conferencing system improves user experience with ASD and VC.
We propose a simple model of the banking system incorporating a game feature where the evolution of monetary reserve is modeled as a system of coupled Feller diffusions. The Markov Nash equilibrium generated through minimizing the linear quadratic cost subject to Cox-Ingersoll-Ross type processes creates liquidity and …
New bounds for optimal transport using Gaussian processes and rate-distortion functions.
The paper provides mean-square error bounds for stochastic approximation algorithms.
An expanding literature articulates the view that Taylor rules are helpful in predicting exchange rates. In a changing world however, Taylor rule parameters may be subject to structural instabilities, for example during the Global Financial Crisis. This paper forecasts exchange rates using such Taylor rules with Time V…
The future value of a security is described as a random variable. Distribution of this random variable is the formal image of risk uncertainty. On the other side, any present value is defined as a value equivalent to the given future value. This equivalence relationship is a subjective. Thus follows, that present value…
In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements. Specifically, we consider collateralized OTC contracts, that are subject to rating triggers, between two parties -- an investor and a counterpa…
Knowledge bases (KBs) are the backbone of many ubiquitous applications and are thus required to exhibit high precision. However, for KBs that store subjective attributes of entities, e.g., whether a movie is "kid friendly", simply estimating precision is complicated by the inherent ambiguity in measuring subjective phe…
We run experimental asset markets to investigate the emergence of excess trading and the occurrence of synchronised trading activity leading to crashes in the artificial markets. The market environment favours early investment in the risky asset and no posterior trading, i.e. a buy-and-hold strategy with a most probabl…
Wireless communication systems operate in complex time-varying environments. Therefore, selecting the optimal configuration parameters in these systems is a challenging problem. For wireless links, \emph{rate selection} is used to select the optimal data transmission rate that maximizes the link throughput subject to a…
The paper uses filtering techniques to predict rating transitions.
A new method automatically and dynamically sets learning rates in deep learning.
Enhanced ontology learning from text improves question-answering systems.
This paper analyzes how machine learning models resist adversarial attacks in nonparametric regression.
The paper reconciles two conflicting fairness criteria in algorithmic risk scores.
Rate change calculations in the literature involve deterministic methods that measure the change in premium for a given policy. The definition of rate change as a statistical parameter is proposed to address the stochastic nature of the premium charged for a policy. It promotes the idea that rate change is a property o…
Photoplethysmogram (PPG) is increasingly used to provide monitoring of the cardiovascular system under ambulatory conditions. Wearable devices like smartwatches use PPG to allow long term unobtrusive monitoring of heart rate in free living conditions. PPG based heart rate measurement is unfortunately highly susceptible…
We develop a unified approach for classification and regression support vector machines for data subject to right censoring. We provide finite sample bounds on the generalization error of the algorithm, prove risk consistency for a wide class of probability measures, and study the associated learning rates. We apply th…
A robust machine learning approach forecasts U.S. Treasury yields, reducing risk for investors.
Monge matrices and their permuted versions known as pre-Monge matrices naturally appear in many domains across science and engineering. While the rich structural properties of such matrices have long been leveraged for algorithmic purposes, little is known about their impact on statistical estimation. In this work, we …
Traditional voxel-level multiple testing procedures in neuroimaging, mostly -value based, often ignore the spatial correlations among neighboring voxels and thus suffer from substantial loss of power. We extend the local-significance-index based procedure originally developed for the hidden Markov chain models, whic…
Multi-view data, that is matched sets of measurements on the same subjects, have become increasingly common with advances in multi-omics technology. Often, it is of interest to find associations between the views that are related to the intrinsic class memberships. Existing association methods cannot directly incorpora…
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model subject to inter-temporal default risk, and provides a semigroup approximation for the utility indifference price. The key tool is the splitting method, whose convergence is proved based on the Barles-Souganidis…
Paper quarantines unreliable Yelp users by detecting review spam.
Classifiers trained using conventional empirical risk minimization or maximum likelihood methods are known to suffer dramatic performance degradations when tested over examples adversarially selected based on knowledge of the classifier's decision rule. Due to the prominence of Artificial Neural Networks (ANNs) as clas…
We extend the fundamental theorem of asset pricing to a model where the risky stock is subject to proportional transaction costs in the form of bid-ask spreads and the bank account has different interest rates for borrowing and lending. We show that such a model is free of arbitrage if and only if one can embed in it a…
A new method improves EEG classification across subjects efficiently.
We characterize the asymptotic performance of nonparametric goodness of fit testing. The exponential decay rate of the type-II error probability is used as the asymptotic performance metric, and a test is optimal if it achieves the maximum rate subject to a constant level constraint on the type-I error probability. We …
We consider settings in which the right notion of fairness is not captured by simple mathematical definitions (such as equality of error rates across groups), but might be more complex and nuanced and thus require elicitation from individual or collective stakeholders. We introduce a framework in which pairs of individ…
Deep learning detects face swapping with high accuracy and uncertainty.
The manipulation of LIBOR by a group of banks became one of the major blows to the remaining confidence in financial industry. Yet, despite an enormous amount of popular literature on the subject, rigorous time-series studies are few. In my paper, I discuss the following hypothesis. Namely, if we should assume for a st…
PhysioMTL learns personalized HRV rhythms from wearable data, improving prediction and counterfactual analysis.
New method improves convergence of spatial filters in neural networks.