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.
Framework for pricing waterfall structures using simulation and uncertainty modeling.
New algorithm learns optimal ad pricing in online advertising.
SHAP clustering explains model predictions by grouping similar feature contributions.
Hybrid approach combines user feedback and machine learning for predicting user satisfaction.
Algorithm recommends trades based on crypto asset prices and market conditions.
We introduce a dynamic model of the default waterfall of derivatives CCPs and propose a risk sensitive method for sizing the initial margin (IM), and the default fund (DF) and its allocation among clearing members. Using a Markovian structure model of joint credit migrations, our evaluation of DF takes into account the…
We present a feature engineering pipeline for the construction of musical signal characteristics, to be used for the design of a supervised model for musical genre identification. The key idea is to extend the traditional two-step process of extraction and classification with additive stand-alone phases which are no lo…
OpenAlpha validates decentralized capital strategies using game theory and market aggregation.
This paper develops an XVA (costs) analysis of centrally cleared trading, parallel to the one that has been developed in the last years for bilateral transactions. We introduce a dynamic framework that incorporates the sequence of cash-flows involved in the waterfall of resources of a clearing house. The total cost of …
Input-dependent smoothing mitigates classical issues but suffers from the curse of dimensionality.