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This study presents an unsupervised machine learning approach for optimizing Profit and Loss (PnL) in quantitative finance. Our algorithm, akin to an unsupervised variant of linear regression, maximizes the Sharpe Ratio of PnL generated…

Statistical Finance · Quantitative Finance 2024-01-12 Pierre Renucci

Optimization-based problems have become of great interest for signal approximation purposes, as they achieved good accuracy results while being extremely flexible and versatile. In this work, we put our focus on the context of periodic…

Optimization and Control · Mathematics 2021-11-30 Adrian Jarret

Quantum sensing and quantum information processing use quantum advantages such as squeezed states that encode a quantity of interest with higher precision and generate quantum correlations to outperform classical methods. In harmonic…

Quantum Physics · Physics 2021-10-28 Mingjie Xin , Wui Seng Leong , Zilong Chen , Yu Wang , Shau-Yu Lan

This paper proposes a novel, rigorous and simple Fourier-transformation approach to study resonances in a perfectly conducting slab with finite number of subwavelength slits of width $h\ll 1$. Since regions outside the slits are variable…

Numerical Analysis · Mathematics 2020-12-29 Jiaxin Zhou , Wangtao Lu

A wireless network operator typically divides the radio spectrum it possesses into a number of subbands. In a cellular network those subbands are then reused in many cells. To mitigate co-channel interference, a joint spectrum and power…

Signal Processing · Electrical Eng. & Systems 2020-12-22 Yasar Sinan Nasir , Dongning Guo

Instead of sampling a function at a single point, average sampling takes the weighted sum of function values around the point. Such a sampling strategy is more practical and more stable. In this note, we present an explicit method with an…

Information Theory · Computer Science 2014-12-23 Wenjian Chen , Haizhang Zhang

In this paper, we consider the energy-bandwidth allocation for a network of multiple users, where the transmitters each powered by both an energy harvester and conventional grid, access the network orthogonally on the assigned frequency…

Information Theory · Computer Science 2017-08-04 Vaneet Aggarwal , Mark R. Bell , Anis Elgabli , Xiaodong Wang , Shan Zhong

Large-amplitude oscillations of foils have been observed to yield greater propulsive efficiency than small-amplitude oscillations. Using scaling relations and experiments on foils with peak-to-peak trailing edge amplitudes of up to two…

Fluid Dynamics · Physics 2019-09-30 Daniel Floryan , Tyler Van Buren , Alexander J. Smits

We show that it is possible to construct spectrally lower bound limited functions which can oscillate locally at an arbitrarily low frequency. Such sub-oscillatory functions are complementary to super-oscillatory functions which are…

Optics · Physics 2017-10-31 Yaniv Eliezer , Alon Bahabad

We suggest an adaptive sampling rule for obtaining information from noisy signals using wavelet methods. The technique involves increasing the sampling rate when relatively high-frequency terms are incorporated into the wavelet estimator,…

Statistics Theory · Mathematics 2007-06-13 Peter Hall , Spiridon Penev

We introduce a fast algorithm for computing sparse Fourier transforms supported on smooth curves or surfaces. This problem appear naturally in several important problems in wave scattering and reflection seismology. The main observation is…

Numerical Analysis · Mathematics 2008-01-11 Lexing Ying

Superimposed signals are anticipated to improve wireless spectrum efficiency to support the ever-growing IoT applications. Implementing the superimposed signal demands on ideally aligned signals in both the time and frequency domains. Prior…

Signal Processing · Electrical Eng. & Systems 2019-07-29 Wen Cui , Chen Liu , Lin Cai , Jianping Pan

Stochastic optimization problems often involve data distributions that change in reaction to the decision variables. This is the case for example when members of the population respond to a deployed classifier by manipulating their features…

Optimization and Control · Mathematics 2020-12-15 Dmitriy Drusvyatskiy , Lin Xiao

A theoretical analysis, aimed at characterizing the degradation induced by the resampling and requantization processes applied to band-limited Gaussian signals with flat power spectrum, available through their digitized samples, is…

Information Theory · Computer Science 2009-08-19 Marco Lanucara , Riccardo Borghi

Line spectral estimation is the problem of recovering the frequencies and amplitudes of a mixture of a few sinusoids from equispaced samples. However, in a variety of signal processing problems arising in imaging, radar, and localization we…

Information Theory · Computer Science 2016-09-28 Reinhard Heckel , Mahdi Soltanolkotabi

We consider running-time optimization for band-joins in a distributed system, e.g., the cloud. To balance load across worker machines, input has to be partitioned, which causes duplication. We explore how to resolve this tension between…

Databases · Computer Science 2020-04-15 Rundong Li , Wolfgang Gatterbauer , Mirek Riedewald

Reconstruction of undersampled periodic signals of unknown period is an important signal processing operation. It is especially difficult operation when the sequences of samples are short and no information on the inter-sequence time…

Signal Processing · Electrical Eng. & Systems 2021-05-18 Marek W. Rupniewski

We reconsider the study of optimal dividend strategies in the Cram\'er-Lundberg risk model. It is well-known that the solution of the classical dividend problem is in general a band strategy. However, the numerical techniques for the…

Optimization and Control · Mathematics 2022-07-05 Hansjörg Albrecher , Brandon García Flores

In this paper, we explore statistical versus computational trade-off to address a basic question in the application of a distributed algorithm: what is the minimal computational cost in obtaining statistical optimality? In smoothing spline…

Statistics Theory · Mathematics 2017-07-25 Zuofeng Shang , Guang Cheng

We develop a systematic theory of quantum fluctuations in the driven parametric oscillator (OPO), including the region near threshold. This allows us to treat the limits imposed by nonlinearities to quantum squeezing and noise reduction, in…

Quantum Physics · Physics 2007-05-23 S. Chaturvedi , K. Dechoum , P. D. Drummond