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.
Develops method to assess feature importance in black-box models for unconditional distribution.
Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from twelve European bourses, this paper presents VaR measures based on their unconditional and conditional distributions for single and multi-period settings. These measures underpinned by extreme va…
We analyze the (unconditional) distribution of a linear predictor that is constructed after a data-driven model selection step in a linear regression model. First, we derive the exact finite-sample cumulative distribution function (cdf) of the linear predictor, and a simple approximation to this (complicated) cdf. We t…
Coupling the high-fidelity generation capabilities of label-conditional image synthesis methods with the flexibility of unconditional generative models, we propose a semantic bottleneck GAN model for unconditional synthesis of complex scenes. We assume pixel-wise segmentation labels are available during training and us…
Deep generative neural networks have proven effective at both conditional and unconditional modeling of complex data distributions. Conditional generation enables interactive control, but creating new controls often requires expensive retraining. In this paper, we develop a method to condition generation without retrai…
Characterizes Bayesian networks up to unconditional equivalence.
UCoS avoids forward model evaluations in sampling for large-scale linear inverse problems.
Single model detects abnormal samples across diverse tasks.
Develops efficient methods for approximating densities of financial models with jumps.
We discuss promising recent contributions on quantifying feature relevance using Shapley values, where we observed some confusion on which probability distribution is the right one for dropped features. We argue that the confusion is based on not carefully distinguishing between observational and interventional conditi…
MGLM models all possible language channel factorizations for improved multilingual generation.
TSFlow uses Gaussian processes to match priors for better time series forecasting.
A new method tests conditional independence by transforming it into an unconditional problem using transport maps.
Theoretical proof shows COMs are a type of contrastive divergence model with improved sampling.
The style-based GAN architecture (StyleGAN) yields state-of-the-art results in data-driven unconditional generative image modeling. We expose and analyze several of its characteristic artifacts, and propose changes in both model architecture and training methods to address them. In particular, we redesign the generator…
Estimates marginal independence structure of Bayesian networks from data.
New method for efficient conditional sampling from diffusion models.
Extends geostatistical simulation method to handle multiple variables and large grids.
The law of total probability may be deployed in binary classification exercises to estimate the unconditional class probabilities if the class proportions in the training set are not representative of the population class proportions. We argue that this is not a conceptually sound approach and suggest an alternative ba…
DiffWave generates high-fidelity audio waveforms efficiently.
On the framework of the Linear Farmer's Model, we approach the indeterminacy of agents' behaviour by associating with each agent an unconditional probability for her to be active at each time step. We show that Pareto tailed returns can appear even if value investors are the only strategies on the market and give a pro…
We develop a structural default model for interconnected financial institutions in a probabilistic framework. For all possible network structures we characterize the joint default distribution of the system using Bayesian network methodologies. Particular emphasis is given to the treatment and consequences of cyclic fi…
The paper proves new inequalities for convex hypersurfaces using centro-affine geometry.
We study a class of backtests for forecast distributions in which the test statistic depends on a spectral transformation that weights exceedance events by a function of the modeled probability level. The weighting scheme is specified by a kernel measure which makes explicit the user's priorities for model performance.…
Given a nonlinear model, a probabilistic forecast may be obtained by Monte Carlo simulations. At a given forecast horizon, Monte Carlo simulations yield sets of discrete forecasts, which can be converted to density forecasts. The resulting density forecasts will inevitably be downgraded by model mis-specification. In o…
A smaller, less-trained model guides image generation, improving quality without sacrificing variation.
This paper solves the dynamic portfolio choice problem. Using an explicit solution with a power utility, we construct a bridge between a continuous and discrete VAR model to assess portfolio sensitivities. We find, from a well analyzed example that the optimal allocation to stocks is particularly sensitive to Sharpe ra…
Develops a robust method for image reconstruction from limited data.
The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions conditional on default events by means of Monte Carlo simulation, it becomes imp…
We present a new autoencoder-type architecture that is trainable in an unsupervised mode, sustains both generation and inference, and has the quality of conditional and unconditional samples boosted by adversarial learning. Unlike previous hybrids of autoencoders and adversarial networks, the adversarial game in our ap…
Study improves distributional regression evaluation with CRPS, finding optimal rates of convergence.
The book chapter discusses tail risk analysis for financial data using extreme value statistics.
Study on DiTs' rates of approximation and estimation under various data assumptions.
Study on optimal information acquisition in Kyle model with entropy cost.
The unconditional generation of high fidelity images is a longstanding benchmark for testing the performance of image decoders. Autoregressive image models have been able to generate small images unconditionally, but the extension of these methods to large images where fidelity can be more readily assessed has remained…
Neural network approximates diffusion bridges for efficiency and robustness.
CGD improves diffusion models' out-of-distribution generalization.
Autoregressive feedback is considered a necessity for successful unconditional text generation using stochastic sequence models. However, such feedback is known to introduce systematic biases into the training process and it obscures a principle of generation: committing to global information and forgetting local nuanc…
NCP uses neural networks to efficiently learn conditional distributions.
Proposes a simple algorithm to generate data similar to real series.
New method for Bayesian inference in infinite dimensions using SDMs.
Efficient and high-fidelity prior sampling and inversion for complex geological media is still a largely unsolved challenge. Here, we use a deep neural network of the variational autoencoder type to construct a parametric low-dimensional base model parameterization of complex binary geological media. For inversion purp…
We tackle causal inference under conditional moment restrictions using importance weighting.
S2cGAN uses fewer labels to train cGANs effectively.
Jeffrey guidance extends diffusion-model control to more complex applications.
Study of recurrences in earthquakes, climate, financial time-series, etc. is crucial to better forecast disasters and limit their consequences. However, almost all the previous phenomenological studies involved only a long-ranged autocorrelation function, or disregarded the multi-scaling properties induced by potential…
This paper explores using SSIM for better image generation in generative models.
Improves generative models by using heavy-tailed noise in score matching.