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arXiv research

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.

168,695 papers · 148 categories

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48 results for transition time

We present a continuous-time maximum likelihood estimation methodology for credit rating transition probabilities, taking into account the presence of censored data. We perform rolling estimates of the transition matrices with exponential time weighting with varying horizons and discuss the underlying dynamics of trans…

2009-12-23abs ↗pdf ↗

A multi-task GP model tracks time-varying transition probabilities between two states.

problem Tracking time-varying transition probabilities between 'moves' and 'pauses' states.
method Kernel-based multi-task Gaussian Process model with time-variability and constraints.
result Enforces constraints while learning transition probabilities.

Paper introduces TtT, market-implied transition time, from greenium term structure.

problem Estimating market-implied transition time to a low-carbon economy.
method Develops inference theory for TtT, introduces two stochastic models.
result Combines two-layer analysis for consistent estimation of diffusion parameters.

Faster sampling in discrete diffusion models with predetermined transition time.

problem Efficiency in sampling discrete diffusion models.
method Discrete Non-Markov Diffusion Models (DNDM) with predetermined transition time.
result Significantly reduces the number of function evaluations for faster sampling.

Study models forest transitions with deep learning for parameter estimation.

problem Complex dynamics of forest, agricultural, and abandoned lands.
method Developed a stochastic differential equation model and used deep learning for parameter estimation.
result Deep learning approach estimates model parameters from time-series data.

We develop a topology data analysis-based method to detect early signs for critical transitions in financial data. From the time-series of multiple stock prices, we build time-dependent correlation networks, which exhibit topological structures. We compute the persistent homology associated to these structures in order…

2017-01-21abs ↗pdf ↗

A novel approach models rating transitions using Lie groups and Deep Learning.

problem Modeling rating transitions with geometric properties and stochastic processes.
method Introducing Itô-SDEs on Lie groups, using TimeGAN for calibration, and examining rating matrix properties.
result The geometric approach using Lie groups and Deep Learning generates a good fit for rating transitions.

ISOKANN learns collective variables and effective dynamics for metastable transitions.

problem Understanding metastable transitions in complex molecular systems.
method Integrates Koopman operators with neural networks to extract CVs and effective dynamics.
result Reconstructs coarse-grained kinetics and reproduces transition times across barriers.

A novel multi-resolution Gaussian process model for efficient time traversal.

problem Inference for long sequences with fast and slow transitions is difficult.
method A novel Gaussian process state-space architecture composed of multiple components, each trained on a different resolution.
result The combined model allows efficient inference for arbitrarily long sequences with complex dynamics.

Proposes a new model for time series that considers smooth transitions between states.

problem Models assume instantaneous transitions between discrete states, ignoring gradual changes.
method Dynamical Wasserstein Barycentric (DWB) model that estimates system state and pure state distributions over time.
result Accurately learns pure state distributions and improves state estimation for transition periods.

Proposes a new model to analyze mortgage delinquency transitions.

problem Analyzing mortgage delinquency transitions in a flexible yet identifiable way.
method Combines structured additive predictor with neural network for complex interactions, orthogonalising components for identifiability.
result The semi-structured model provides modest gains in discrimination compared to a structured model, especially in the early prediction spans.

This work proposes a new feature for transportation mode classification using GPS trajectories.

problem Classifying transportation modes from GPS trajectories to optimize urban mobility.
method The Ordinal Pattern Transition Graph and its self-transition probability are used for classification.
result The proposed feature outperforms existing methods in transportation mode classification.

The paper tackles joint learning of linear systems, improving accuracy with pooled data.

problem Estimating transition matrices of multiple related linear systems more accurately.
method Developed novel techniques to bound estimation errors and establish high probability bounds for singular values.
result Significant gains in accuracy achieved by pooling data across systems.

We analyze the European transition economies and show that time series for most of major indices exhibit (i) power-law correlations in their values, power-law correlations in their magnitudes, and (iii) asymmetric probability distribution. We propose a stochastic model that can generate time series with all the previou…

2006-08-02abs ↗pdf ↗

New methods use machine learning to simulate rare transitions in molecular systems.

problem Simulating rare transitions between metastable states in molecular dynamics.
method Generative models and reinforcement learning for importance sampling.
result Efficiently generated transition paths linking metastable states.

In most sampling algorithms, including Hamiltonian Monte Carlo, transition rates between states correspond to the probability of making a transition in a single time step, and are constrained to be less than or equal to 1. We derive a Hamiltonian Monte Carlo algorithm using a continuous time Markov jump process, and ar…

2015-09-13abs ↗pdf ↗

Bus transit systems are the backbone of public transportation in the United States. An important indicator of the quality of service in such infrastructures is on-time performance at stops, with published transit schedules playing an integral role governing the level of success of the service. However there are relativ…

2019-11-30abs ↗pdf ↗

New STH distance finds patterns in event timeseries without resampling.

problem Lack of efficient analysis methods for event and state timeseries.
method Define STE-ts, propose STH, leveraging both time and state duration.
result Improved precision and computation time compared to resampled metrics.

Study identifies transitions between traffic modes on Cologne motorways.

problem Understanding transitions between different traffic modes.
method Constructed state transition network, identified dominant states using PageRank algorithm.
result Identified seasonal dependence in traffic modes.

Study analyzes order transitions in high, medium, and low market cap stocks using Markov chains.

problem Understanding order transitions in stocks of different market caps.
method First-order discrete-time Markov chain model applied to NASDAQ100 stocks.
result Limit orders exhibit higher inertia during opening hours but decrease in subsequent hours, while market orders increase.

New concept of Lorentzian-Euclidean black holes and metric transitions explored.

problem Signature-changing spacetimes and their geometric properties.
method Introduction and analysis of Lorentzian-Euclidean black holes and transitions.
result Consistency of proper time to horizon in Lorentzian-Euclidean black holes.

Diffusion models reveal a phase transition in reconstructing high-level features.

problem Understanding the hierarchical structure of natural data.
method Study of hierarchical generative models of data using diffusion models.
result The backward diffusion process shows a phase transition at a threshold time, where high-level features suddenly drop in reconstructibility.

We consider branes $N=I\times\so$, where $\so$ is an nn\ndash dimensional space form, not necessarily compact, in a Schwarzschild-AdS_{(n+2)} bulk $\mc N$. The branes have a big crunch singularity. If a brane is an ARW space, then, under certain conditions, there exists a smooth natural transition flow through the sin…

2004-04-13abs ↗pdf ↗

We introduce a new geometric approach that constructs a transition kernel of Markov chain. Our method always minimizes the average rejection rate and even reduce it to zero in many relevant cases, which cannot be achieved by conventional methods, such as the Metropolis-Hastings algorithm or the heat bath algorithm (Gib…

2011-06-17abs ↗pdf ↗

Persistent entropy detects phase transitions in complex systems.

problem Detecting phase transitions in complex systems.
method Established a general theorem for persistent entropy to reliably detect phase transitions, introduced operational framework for finite-time computations.
result Persistent entropy exhibits an asymptotically non-vanishing gap across phases, robust numerical signatures across experiments.

GDM models time series with smoother transitions and interpretable states.

problem Capturing smooth, variable-speed transitions and stochastic mixtures of states.
method Introduces a continuous relaxation of discrete states and a Gumbel noise model.
result Models real-world datasets more faithfully with smoother dynamics and interpretable states.

Modeling poverty transitions in India over 54 years, showing rising but persistent poverty.

problem Understanding and addressing poverty dynamics in India over long periods.
method Stochastic model of Geometric Brownian Motion with reallocation (RGBM).
result Annual poverty transitions are common, but poverty persists, especially among the poorest.

We study the phase transition of dynamical herd behaviors for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution of returns satisfies the power-law behavior with three different values of the scaling exponent 3.11 (one time lag ττ = 1 minute), 2.81 (30 minut…

2004-08-28abs ↗pdf ↗

We derive the exact solution of a one-dimensional Markov functional model with log-normally distributed interest rates in discrete time. The model is shown to have two distinct limiting states, corresponding to small and asymptotically large volatilities, respectively. These volatility regimes are separated by a phase …

2010-07-05abs ↗pdf ↗

Change-point analysis is a flexible and computationally tractable tool for the analysis of times series data from systems that transition between discrete states and whose observables are corrupted by noise. The change-point algorithm is used to identify the time indices (change points) at which the system transitions …

2015-05-21abs ↗pdf ↗

QTD integrates quantization with diffusion for efficient data generation.

problem Challenges in continuous diffusion models, especially long-range transitions and biases.
method Quantized Transition Diffusion (QTD) integrates data quantization with discrete diffusion dynamics.
result QTD achieves efficient data generation with minimal score evaluations.

Study uncovers new phase transitions in asymmetric causal inference scenarios.

problem Understanding typical phase transitions in asymmetric causal inference.
method Combining Causal inference (C-inf) and Low-rank recovery (LRR) with Random duality - Free probability theory (RDT-FPT).
result Discovering a doubling low-rankness phenomenon in asymmetric scenarios.

The study explores spacetimes with changing spatial curvature, leading to topological transitions.

problem The need for a model that avoids infinite matter and energy after the Big Bang.
method Investigates spacetimes with time-dependent spatial curvature, allowing it to change sign.
result Topological transitions are possible in spacetimes with time-dependent spatial curvature.