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.
New approach finds analytic interpretation of algebraic invariants for balanced metrics.
problem Finding analytic interpretation of algebraic invariants for balanced metrics.
method Using log canonical thresholds and basis divisors, the approach involves quantized Ding functionals on Bergman spaces.
result Each δ_m is the coercivity threshold of a quantized Ding functional on the m-th Bergman space, characterizing the existence of balanced metrics.
I show the equivalence between a model of financial contagion and the threshold model of global cascades proposed by Watts (2002). The model financial network comprises banks that hold risky external assets as well as interbank assets. It is shown that a simple threshold model can replicate the size and the frequency o…
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 high-dimensional classification settings, we wish to seek a balance between high power and ensuring control over a desired loss function. In many settings, the points most likely to be misclassified are those who lie near the decision boundary of the given classification method. Often, these uninformative points sho…
"Sparse" neural networks, in which relatively few neurons or connections are active, are common in both machine learning and neuroscience. Whereas in machine learning, "sparsity" is related to a penalty term that leads to some connecting weights becoming small or zero, in biological brains, sparsity is often created wh…
We construct the Google matrices of bitcoin transactions for all year quarters during the period of January 11, 2009 till April 10, 2013. During the last quarters the network size contains about 6 million users (nodes) with about 150 million transactions. From PageRank and CheiRank probabilities, analogous to trade imp…
Development of stock networks is an important approach to explore the relationship between different stocks in the era of big-data. Although a number of methods have been designed to construct the stock correlation networks, it is still a challenge to balance the selection of prominent correlations and connectivity of …
The personal income distribution (PID) above the Pareto threshold is studied and modeled. A microeconomic model is proposed to simulate the PID and its evolution below and above the Pareto income threshold. The model balances processes of income production and dissipation for any person above 15 years of age. The model…
Class imbalance presents a major hurdle in the application of data mining methods. A common practice to deal with it is to create ensembles of classifiers that learn from resampled balanced data. For example, bagged decision trees combined with random undersampling (RUS) or the synthetic minority oversampling technique…
Novel active learning framework using sparse approximation for efficient model training.
problem Efficient model training with limited labeled data.
method Formulates batch active learning as sparsity-constrained discontinuous optimization problems, using greedy or proximal iterative hard thresholding algorithms.
result Achieves competitive performance with lower computational complexity across different settings.
Optimal control of reserve assets for stablecoins to maintain peg stability.
problem Balancing immediate liquidity and yield on reserve assets for stablecoin peg maintenance.
method Developed a stochastic model predictive control framework with moment closure for event intensities, incorporating a soft-thresholding structure for rebalancing.
result Optimal policy shifts predictably toward cash as expected outflows intensify or windows lengthen, preserving most bill carry in calm markets and quickly building cash during stress.
A federated model learns shared archetypes from heterogeneous clients in continual learning.
problem Federated learning struggles with client heterogeneity and streaming distribution shifts.
method Clients encode their data as low-rank Hebbian operators, which are sent to a central server for aggregation and factorization into global archetypes.
result Improved global archetype reconstruction and associative retrieval in heterogeneous clients, drift, and novelty settings.
Recurrent neural networks and sequence to sequence models require a predetermined length for prediction output length. Our model addresses this by allowing the network to predict a variable length output in inference. A new loss function with a tailored gradient computation is developed that trades off prediction accur…
Neural networks improve VaR estimation accuracy and robustness.
problem Estimating Value at Risk (VaR) in financial markets.
method Generative regime switching framework with Monte-Carlo simulations, neural networks initialized via best model, balanced incentive function, reduced training data.
result Neural networks outperform traditional methods in VaR estimation, especially with less data.
Let {α} and {β} be nef cohomology classes of bidegree (1,1) on a compact n-dimensional Kähler manifold X such that the difference of intersection numbers {α}n−n{α}n−1.{β} is positive. We solve in a number of special but rather inclusive cases the quantitative part of Demailly's Transce…
The intrinsic error tolerance of neural network (NN) makes approximate computing a promising technique to improve the energy efficiency of NN inference. Conventional approximate computing focuses on balancing the efficiency-accuracy trade-off for existing pre-trained networks, which can lead to suboptimal solutions. In…
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…