Related papers: Affine Models
We extend the now classic structural credit modeling approach of Black and Cox to a class of "two-factor" models that unify equity securities such as options written on the stock price, and credit products like bonds and credit default…
Binary matrix codes with restricted row and column weights are a desirable method of coded modulation for power line communication. In this work, we construct such matrix codes that are obtained as products of affine codes - cosets of…
Explainable machine learning methods have been accompanied by substantial development. Despite their success, the existing approaches focus more on the general framework with no prior domain expertise. High-stakes financial sectors have…
This article discuss a class of tractable model in the form of polynomial type.
In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the set of adapted strategies to the set of random variables…
Recently, there has been considerable progress on designing algorithms with provable guarantees -- typically using linear algebraic methods -- for parameter learning in latent variable models. But designing provable algorithms for inference…
I extend the definitions of schemes relative to monoids with zero - and therefore, toric geometry - to the world of formal schemes. This expands the usual framework to include, for instance, models for Mumford's degenerating Abelian…
This paper discusses desirable properties of forecasting models in production systems. It then develops a family of models which are designed to satisfy these properties: highly customizable to capture complex patterns; accommodates a large…
We study complements of hypersurfaces in schemes with respect to the property being affine.
Correlated pattern mining has increasingly become an important task in data mining since these patterns allow conveying knowledge about meaningful and surprising relations among data. Frequent correlated patterns were thoroughly studied in…
Circuit representations are becoming the lingua franca to express and reason about tractable generative and discriminative models. In this paper, we show how complex inference scenarios for these models that commonly arise in machine…
Data analysis focuses on harnessing advanced statistics, programming, and machine learning techniques to extract valuable insights from vast datasets. An increasing volume and variety of research emerged, addressing datasets of diverse…
This study presents an analytical approach to sector rotation, leveraging both factor models and fundamental metrics. We initiate with a systematic classification of sectors, followed by an empirical investigation into their returns.…
We provide a unified framework for modeling LIBOR rates using general semimartingales as driving processes and generic functional forms to describe the evolution of the dynamics. We derive sufficient conditions for the model to be…
Active object systems are a model of distributed computation that has been adopted for modelling distributed systems and business process workflows. This field of modelling is, in essence, concurrent and resource-aware, motivating the…
Properties of the recently reported homogeneous Hilbert curves are deduced and reported. The nature of the affine transformations involved in the construction of the Hilbert curves is explored. The analytical representation of proper and…
We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of semimartingale characteristics. This turns out to be very…
We introduce weighted finite finance automata (WFFA), a formal framework for modeling and analyzing quantitative properties of financial systems driven by uncertain economic variables such as stock prices, interest rates, and exchange…
With reference to a baseline parametrization, we explore highly efficient fractional factorial designs for inference on the main effects and, perhaps, some interactions. Our tools include approximate theory together with certain carefully…
We propose FC, a new logic on words that combines finite model theory with the theory of concatenation - a first-order logic that is based on word equations. Like the theory of concatenation, FC is built around word equations; in contrast…