Related papers: Are volatility estimators robust with respect to m…
We present an empirical study examining several claims related to option prices in rough volatility literature using SPX options data. Our results show that rough volatility models with the parameter $H \in (0,1/2)$ are inconsistent with…
For a given stable recurrent neural network (RNN) that is trained to perform a classification task using sequential inputs, we quantify explicit robustness bounds as a function of trainable weight matrices. The sequential inputs can be…
The existence of adversarial examples has led to considerable uncertainty regarding the trust one can justifiably put in predictions produced by automated systems. This uncertainty has, in turn, lead to considerable research effort in…
In this paper we formulate and solve a robust least squares problem for a system of linear equations subject to quantization error in the data matrix. Ordinary least squares fails to consider uncertainty in the operator, modeling all noise…
The state-of-the-art methods for estimating high-dimensional covariance matrices all shrink the eigenvalues of the sample covariance matrix towards a data-insensitive shrinkage target. The underlying shrinkage transformation is either…
Randomized smoothing, a method to certify a classifier's decision on an input is invariant under adversarial noise, offers attractive advantages over other certification methods. It operates in a black-box and so certification is not…
In Gatheral et al. 2018, first posted in 2014, volatility is characterized by fractional behavior with a Hurst exponent $H < 0.5$, challenging traditional views of volatility dynamics. Gatheral et al. demonstrated this using realized…
This paper considers the problem of robust stability for a class of uncertain quantum systems subject to unknown perturbations in the system Hamiltonian. Some general stability results are given for different classes of perturbations to the…
In this paper the accuracy and robustness of quality measures for the assessment of machine learning models are investigated. The prediction quality of a machine learning model is evaluated model-independent based on a cross-validation…
Model-based process simulation can be used to derive designs and operating conditions of chemical processes that optimally balance multiple objectives, such as quality, costs, or environmental impacts. This work focuses on identifying…
Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary…
This work proposes a novel theoretical framework of robust limit analysis i.e. the computation of limit loads of structures in presence of uncertainties using limit analysis and robust optimization theories. We first derive generic robust…
The scaling properties of one-dimensional deconstructed surfaces are studied by numerical simulations of a disaggregation model. The model presented here for the disaggregation process takes into account the possibility of having quenched…
In safety-critical deep learning applications, robustness measures the ability of neural models that handle imperceptible perturbations in input data, which may lead to potential safety hazards. Existing pre-deployment robustness assessment…
It is a market practice to express market-implied volatilities in some parametric form. The most popular parametrizations are based on or inspired by an underlying stochastic model, like the Heston model (SVI method) or the SABR model (SABR…
In this paper, we provide non-parametric statistical tools to test stationarity of microstructure noise in general hidden Ito semimartingales, and discuss how to measure liquidity risk using high frequency financial data. In particular, we…
The problem of data uncertainty has motivated the incorporation of robust optimization in various arenas, beyond the Markowitz portfolio optimization. This work presents the extension of the robust optimization framework for the…
We explore the relationship between a machine-learned structural quantity (softness) and excess entropy in simulations of supercooled liquids. Excess entropy is known to scale well the dynamical properties of liquids, but this…
Robust estimators and different filtering techniques are proposed and their impact on the determination of a wide range of turbulence quantities is analysed. High-frequency water level measurements in a stepped spillway are used as a case…
Model uncertainty has been one prominent issue both in the theory of risk measures and in practice such as financial risk management and regulation. Motivated by this observation, in this paper, we take a new perspective to describe the…