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.
A method estimates causal parameters using a latent variable recovery.
We analyze the practical consequences of the bilateral counterparty risk adjustment. We point out that past literature assumes that, at the moment of the first default, a risk-free closeout amount will be used. We argue that the legal (ISDA) documentation suggests in many points that a substitution closeout should be u…
The treatment effects of medications play a key role in guiding medical prescriptions. They are usually assessed with randomized controlled trials (RCTs), which are expensive. Recently, large-scale electronic health records (EHRs) have become available, opening up new opportunities for more cost-effective assessments. …
The empirical practice of using factor models to adjust for shared, unobserved confounders, , in observational settings with multiple treatments, , is widespread in fields including genetics, networks, medicine, and politics. Wang and Blei (2019, WB) formalizes these procedures and develops the …
CDVAE estimates treatment effects over time by accounting for unobserved variables.
Modified cosine distance improves similarity performance in data with variance and correlation.
We define 2-dimensional topological substitutions. A tiling of the Euclidean plane, or of the hyperbolic plane, is substitutive if the underlying 2-complex can be obtained by iteration of a 2-dimensional topological substitution. We prove that there is no primitive substitutive tiling of the hyperbolic plane $\mathbb{H…
In two previous papers the author developed a second-order price adjustment (tâtonnement) process. This paper extends the approach to include both quantity and price adjustments. We demonstrate three results: a analogue to physical energy, called "activity" arises naturally in the model, and is not conserved in general…
We introduce Markov substitute processes, a new model at the crossroad of statistics and formal grammars, and prove its main property : Markov substitute processes with a given support form an exponential family.
Study generalizes Lebesgue curves to new space-filling and fractal sets.
The definition of deposit substitutes in Philippine tax law fails to consider the maturity of a debt instrument. This makes it possible for long-term bonds to be considered as deposit substitutes if they meet the 20-lender rule, taxable at 20% final tax. However, long-term debt instruments cannot realistically function…
Geometric theory explains substitutability in market outcomes based on production constraints.
SAFER method certifies robustness to word substitutions without model structure.
New algorithm for clustering data streams with no substitutions.
Defect of knot polynomials remains invariant under certain braid substitutions.
Study many-player investment-consumption games with power FPPs, finding market-risk preference affects consumption.
We study the sample-based k-median clustering objective under a sequential setting without substitutions. In this setting, an i.i.d. sequence of examples is observed. An example can be selected as a center only immediately after it is observed, and it cannot be substituted later. The goal is to select a set of centers …
This paper investigates and compares currency substitution between the currencies of Central and Eastern European (CEE) countries and the euro. In addition, we develop a model with microeconomic foundations, which identifies difference between currency substitution and money demand sensitivity to exchange rate variatio…
PASS protects private attributes by stochastically substituting data.
Suppose that f and g are Markov surjections, each defined on a wedge of circles, each fixing the branch point and having the branch point as the only critical value. We show that if the points in the inverse limit spaces associated with f and g corresponding to the branch point are distinguished then these inverse limi…
Deep neural networks (DNNs) are one of the most prominent technologies of our time, as they achieve state-of-the-art performance in many machine learning tasks, including but not limited to image classification, text mining, and speech processing. However, recent research on DNNs has indicated ever-increasing concern o…
This paper explores how the generalization of substitute classifiers affects the success of black-box adversarial attacks.
Network models assume unrealistic idiosyncratic risk, which can be mitigated by allowing for correlated shocks.
The paper introduces a method to improve adversarial robustness in neural networks using randomized perturbations.
Develops methods to improve demand counterfactuals from imperfect proxies.
Flexible Kernels for Protein Property Prediction
Integrated Assessment Models (IAMs) are mainstay tools for assessing the long-term interactions between climate and the economy and for deriving optimal policy responses in the form of carbon prices. IAMs have been criticized for controversial discount rate assumptions, arbitrary climate damage functions, and the inade…
Develops methods for causal inference in longitudinal data.
The "color" in the colored Jones polynomial is an integer parameter. In this paper, a periodic pattern of the values of the colored Jones polynomial at the second and the third roots of unity is found. If we substitute -1 to the colored Jones polynomial, the value is alternately 1 or the determinant of the given link. …
New proof shows how to fill a square with Fibonacci curve.
The goal of homomorphic encryption is to encrypt data such that another party can operate on it without being explicitly exposed to the content of the original data. We introduce an idea for a privacy-preserving transformation on natural language data, inspired by homomorphic encryption. Our primary tool is {\em obfusc…
We present Distributed Equivalent Substitution (DES) training, a novel distributed training framework for large-scale recommender systems with dynamic sparse features. DES introduces fully synchronous training to large-scale recommendation system for the first time by reducing communication, thus making the training of…
Deep neural network (DNN) as a popular machine learning model is found to be vulnerable to adversarial attack. This attack constructs adversarial examples by adding small perturbations to the raw input, while appearing unmodified to human eyes but will be misclassified by a well-trained classifier. In this paper, we fo…
New method estimates treatment effects over time with unobserved confounders.
We develop SHOPPER, a sequential probabilistic model of shopping data. SHOPPER uses interpretable components to model the forces that drive how a customer chooses products; in particular, we designed SHOPPER to capture how items interact with other items. We develop an efficient posterior inference algorithm to estimat…
The paper studies symplectic operations on Stein fillings of Brieskorn singularities.
Is the elasticity of intertemporal substitution (EIS) more or less than one? This question can be answered by confronting theoretical results of asset pricing models with investor behaviour during episodes of stock market panic. If we consider these episodes as periods of high risk aversion, then lower asset prices are…
We introduce several new families of relations in the mapping class groups of planar surfaces, each equating two products of right-handed Dehn twists. The interest of these relations lies in their geometric interpretation in terms of rational blowdowns of 4-manifolds, specifically via monodromy substitution in Lefschet…
We construct new families of non-hyperelliptic Lefschetz fibrations by applying the daisy substitutions to the families of words , , and in the mapping …
Optimizes capital structure for life insurance companies with surplus participation.
We begin the systematic study of knot polynomials for the twist satellites of a knot, when its strand is substituted by a 2-strand twist knot. This is a generalization of cabling (torus satellites), when the substitute of the strand was a torus knot. We describe a general decomposition of satellite's colored HOMFLY in …
Motivated by the construction of H. Endo and Y. Gurtas, changing a positive relator in Dehn twist generators of the mapping class group by using lantern substitutions, we show that 4-manifold $K3#2\CPb$ equipped with the genus two Lefschetz fibration can be rationally blown down along six disjoint copies of the configu…
Value-at-Risk is a flawed substitute for non-ruin capital, leading to misleading financial standards.
Structural reliability methods aim at computing the probability of failure of systems with respect to some prescribed performance functions. In modern engineering such functions usually resort to running an expensive-to-evaluate computational model (e.g. a finite element model). In this respect simulation methods, whic…
New statistical model improves protein alignment accuracy.
The central task in modeling complex dynamical systems is parameter estimation. This task involves numerous evaluations of a computationally expensive objective function. Surrogate-based optimization introduces a computationally efficient predictive model that approximates the value of the objective function. The stand…
Management of a portfolio that includes an illiquid asset is an important problem of modern mathematical finance. One of the ways to model illiquidity among others is to build an optimization problem and assume that one of the assets in a portfolio can not be sold until a certain finite, infinite or random moment of ti…
Interpretable machine learning has become a strong competitor for traditional black-box models. However, the possible loss of the predictive performance for gaining interpretability is often inevitable, putting practitioners in a dilemma of choosing between high accuracy (black-box models) and interpretability (interpr…