arXiv research

Adversarial examples fool both computer vision and humans.

Paper presents a unique method to recover signals from their bispectrum.

This paper derives explicit formulas for both the small and large time limits of the implied volatility in the minimal market model. It is shown that interest rates do impact on the implied volatility in the long run even though they are negligible in the short time limit.

Study on quaternionic stochastic areas and their large-time limits.

We derive the ODE of MAML and propose a new BI-MAML algorithm.

Paper solves Bayesian bandit problem with continuous-time limit and approximate policy.

Semistatic trading strategies can be taken to limits in discrete time.

Time-limited metaheuristics find near-optimal solutions for constrained portfolio optimisation.

We compute explicitly, and without any extra regularity assumptions, the large time limit of the fibrewise heat operator for Bismut-Lott type superconnections in the L^2-setting. This is motivated by index theory on certain non-compact spaces (families of manifolds with cocompact group action) where the convergence of …

We consider the pricing of derivatives written on the discretely sampled realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limit, the quadratic variation of the underlying log-price. Here, we characterize the small-time limits of options…

New RL algorithms adapt to time limits, improving task performance.

We consider arbitrage free valuation of European options in Black-Scholes and Merton markets, where the general structure of the market is known, however the specific parameters are not known. In order to reflect this subjective uncertainty of a market participant, we follow a Bayesian approach to option pricing. Here …

DEBIAS learns causal effects from psychiatric longitudinal data by optimizing outcome weights.

Paper uses optimal transport for Bayesian filtering, deriving new EnKF and FPF formulations.

Develops a gradient flow for Muon optimizer, a method for optimization.

Diffusion means converge to extrinsic means for long times on spheres.

We obtain a lower bound for the diameter of a solution to the Ricci flow on a compact manifold with nonvanishing first real cohomology. A consequence of our result is an affirmative answer to Hamilton's conjecture that a product metric on $(S^{1}\times S^{n-1}$ cannot arise as a final time limit flow.

New MCMC method tackles label-switching problem for clustering.

Finding the reduced-dimensional structure is critical to understanding complex networks. Existing approaches such as spectral clustering are applicable only when the full network is explicitly observed. In this paper, we focus on the online factorization and partition of implicit large-scale networks based on observati…

In this paper a multi-factor generalization of Ho-Lee model is proposed. In sharp contrast to the classical Ho-Lee, this generalization allows for those movements other than parallel shifts, while it still is described by a recombining tree, and is stationary to be compatible with principal component analysis. Based on…

Study on Ricci flows of awesome homogeneous spaces, proving finite extinction time.

Gradient descent variants improve phase retrieval accuracy.

Method uses trinomial trees to price nontraditional options.

We apply the formalism of the continuous time random walk (CTRW) theory to financial tick data of the bond futures transacted in Korean Futures Exchange (KOFEX) market. For our case, the tick dynamical behaviors of the returns and volatility for bond futures are treated particularly at the long-time limit. The volatili…

We study the continuous time random walk theory from financial tick data of the yen-dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at the long-time limit. We find that the volatility for prices shows a power-law w…

We show that three-dimensional homogeneous Ricci flow solutions that admit finite-volume quotients have long-time limits given by expanding solitons. We show that the same is true for a large class of four-dimensional homogeneous solutions. We give an extension of Hamilton's compactness theorem that does not assume a l…

NAPLES resolves lead-lag analysis challenges in non-synchronous high-frequency data.

Novel method models dynamic brain graphs from time series data.

Stein transport improves Bayesian inference with faster convergence and reduced variance.

Work on SGDm under heavy-tailed noise, revealing its generalization properties.

Improved prediction algorithm for 'easy' sequences with reduced regret.

We prove limit theorems for the super-replication cost of European options in a Binomial model with friction. The examples covered are markets with proportional transaction costs and the illiquid markets. The dual representation for the super-replication cost in these models are obtained and used to prove the limit the…

Recent theoretical results establish that time-consistent valuations (i.e. pricing operators) can be created by backward iteration of one-period valuations. In this paper we investigate the continuous-time limits of well-known actuarial premium principles when such backward iteration procedures are applied. We show tha…

Proof confirms condition for Kähler-Einstein metrics on toric Fano manifolds.

One of the key socioeconomic phenomena to explain is the distribution of wealth. Bouchaud and Mézard have proposed an interesting model of economy [Bouchaud and Mézard (2000)] based on trade and investments of agents. In the mean-field approximation, the model produces a stationary wealth distribution with a power-law …

We study the tick dynamical behavior of the bond futures in Korean Futures Exchange(KOFEX) market. Since the survival probability in the continuous-time random walk theory is applied to the bond futures transaction, the form of the decay function in our bond futures model is discussed from two kinds of Korean Treasury …

Study of particle system for sampling from probability densities.

Study long-term asset liquidation behavior with external flows.

Proposes SME for ASGD, revealing dynamics and optimal mini-batching.

Analyzes SGD's behavior under heavy-tailed noise, deriving step-size conditions for metastability.

The study examines the long-term behavior of mean curvature flows in closed 3-manifolds.

Constructs constant spacetime mean curvature surfaces for hyperboloidal initial data sets.

Subjective expected utility theory assumes that decision-makers possess unlimited computational resources to reason about their choices; however, virtually all decisions in everyday life are made under resource constraints - i.e. decision-makers are bounded in their rationality. Here we experimentally tested the predic…

We study an agent-based stock market model with heterogeneous agents and friction. Our model is based on that of Foellmer-Schweizer(1993): The process of a stock price in a discrete-time framework is determined by temporary equilibria via agents' excess demand functions, and the diffusion approximation approach is appl…

Study on how non-reversible diffusion processes affect homology on manifolds.

This paper studies a limit order book (LOB) model, in which the order dynamics depend on both, the current best available prices and the current volume density functions. For the joint dynamics of the best bid price, the best ask price, and the standing volume densities on both sides of the LOB we derive a weak law of …

Improved spectral clustering via Gromov-Wasserstein Learning.

Blockchain trading faces limits due to time-consuming settlement, exposing arbitrageurs to price risk.