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.
Iterative thresholding algorithms seek to optimize a differentiable objective function over a sparsity or rank constraint by alternating between gradient steps that reduce the objective, and thresholding steps that enforce the constraint. This work examines the choice of the thresholding operator, and asks whether it i…
Adaptive algorithm for outlier detection by balancing arm exploration and threshold estimation.
problem Identifying outliers in a set of rewards where the threshold is a function of all rewards.
method Adaptively updated confidence interval for the threshold based on previous rounds' estimates, balancing exploration of individual arms and the outlier threshold.
result Efficient algorithm with reduced sample complexity for outlier detection.
In this paper we studied about the wavelet identification of the thresholds and time delay for more general case without the constraint that the time delay is smaller than the order of the model. Here we composed an empirical wavelet from the SETAR (Self-Exciting Threshold Autoregressive) model and identified the thres…
In the work of Ammann, Dahl and Humbert it has turned out that the Yamabe invariant on closed manifolds is a bordism invariant below a certain threshold constant. A similar result holds for a spinorial analogon. These threshold constants are characterized through Yamabe-type equations on products of spheres with rescal…
Although the threshold network is one of the most used tools to characterize the underlying structure of a stock market, the identification of the optimal threshold to construct a reliable stock network remains challenging. In this paper, the concept of dynamic consistence between the threshold network and the stock ma…
New method trains neural networks with threshold activation functions efficiently.
problem Training neural networks with threshold activation functions is challenging due to zero gradients.
method We study weight decay regularized training problems of deep neural networks with threshold activations, showing they can be formulated as convex optimization problems.
result Regularized deep threshold network training problems can be formulated as standard convex optimization problems, paralleling the LASSO method.
The paper considers an investment timing problem appearing in real options theory. Present values from an investment project are modeled by general diffusion process. We prove necessary and sufficient conditions under which an optimal investment time is induced by threshold strategy. We study also the conditions of opt…
In this paper, we propose a new threshold-kernel jump-detection method for jump-diffusion processes, which iteratively applies thresholding and kernel methods in an approximately optimal way to achieve improved finite-sample performance. We use the expected number of jump misclassifications as the objective function to…
We consider a univariate semimartingale model for (the logarithm of) an asset price, containing jumps having possibly infinite activity (IA). The nonparametric threshold estimator of the integrated variance IV proposed in Mancini 2009 is constructed using observations on a discrete time grid, and precisely it sums up t…
Typically, operational risk losses are reported above a threshold. Fitting data reported above a constant threshold is a well known and studied problem. However, in practice, the losses are scaled for business and other factors before the fitting and thus the threshold is varying across the scaled data sample. A report…
This paper describes the black hole threshold in a moduli space of spherically symmetric spacetimes.
problem Understanding the black hole threshold in a moduli space of spherically symmetric spacetimes.
method Complete description and analysis of the black hole threshold in the moduli space M.
result The black hole threshold is the extremal leaf of a C1 foliation of the moduli space, separating black hole solutions from non-collapsing solutions.
This paper considers the problem of estimating multiple related Gaussian graphical models from a p-dimensional dataset consisting of different classes. Our work is based upon the formulation of this problem as group graphical lasso. This paper proposes a novel hybrid covariance thresholding algorithm that can effecti…
Study fairness in ordinal regression using threshold models.
problem Fairness in ordinal regression predictions.
method Adapted fairness notions from fair ranking; use threshold model with scoring function and thresholds; apply binary classification for scoring function and local search for thresholds.
result Generalization guarantees on predictor error and fairness violation; effectiveness demonstrated in experiments.
Sparse reconstruction approaches using the re-weighted l1-penalty have been shown, both empirically and theoretically, to provide a significant improvement in recovering sparse signals in comparison to the l1-relaxation. However, numerical optimization of such penalties involves solving problems with l1-norms in the ob…
Ridge regression is revisited with debiasing and thresholding, offering advantages over Lasso.
problem High-dimensional data challenges classical ridge regression's sparsity detection and bias issues.
method Debiasing and thresholding ridge regression, introducing a wild bootstrap for confidence regions and hypothesis testing, and a hybrid bootstrap for prediction intervals.
result Debiased and thresholded ridge regression can offer similar performance to thresholded Lasso and may be preferable in some settings.
The thresholded feature has recently emerged as an extremely efficient, yet rough empirical approximation, of the time-consuming sparse coding inference process. Such an approximation has not yet been rigorously examined, and standard dictionaries often lead to non-optimal performance when used for computing thresholde…
Nuclear norm minimization (NNM) has recently gained significant attention for its use in rank minimization problems. Similar to compressed sensing, using null space characterizations, recovery thresholds for NNM have been studied in \cite{arxiv,Recht_Xu_Hassibi}. However simulations show that the thresholds are far fro…
Iterative shrinkage/thresholding algorithm (ISTA) is a well-studied method for finding sparse solutions to ill-posed inverse problems. In this letter, we present a data-driven scheme for learning optimal thresholding functions for ISTA. The proposed scheme is obtained by relating iterations of ISTA to layers of a simpl…
Based on the daily data of American and Chinese stock markets, the dynamic behavior of a financial network with static and dynamic thresholds is investigated. Compared with the static threshold, the dynamic threshold suppresses the large fluctuation induced by the cross-correlation of individual stock prices, and leads…
Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reaches a threshold level. The rate of convergence of the expected squared hedging error as the threshold level approaches z…
We investigate the impact of available information on the estimation of the default probability within a generalized structural model for credit risk. The traditional structural model where default is triggered when the value of the firm's asset falls below a constant threshold is extended by relaxing the assumption of…