Related papers: Data manipulation detection via permutation inform…
We define a new measure of causation from a fluctuation-response theorem for Kullback-Leibler divergences, based on the information-theoretic cost of perturbations. This information response has both the invariance properties required for…
The spectrum of primordial fluctuations from inflation can be obtained using a mathematically controlled, and systematically extendable, uniform approximation. Closed-form expressions for power spectra and spectral indices may be found…
We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion restrictions over time and, as a condition for the search,…
A potential concern when simulating populations of large language models (LLMs) is data contamination, i.e. the possibility that training data may shape outcomes in unintended ways. While this concern is important and may hinder certain…
We develop a technique to construct analytical solutions of the linear perturbations of inflation with a nonlinear dispersion relation, due to quantum effects of the early universe. Error bounds are given and studied in detail. The…
The existence of asymmetric information has always been a major concern for financial institutions. Financial intermediaries such as commercial banks need to study the quality of potential borrowers in order to make their decision on…
In this paper we develop a set of algorithms that can detect the identities of malicious data-manipulators in distributed optimization loops for estimating oscillation modes in large power system models. The estimation is posed in terms of…
This note continues study of exchangeability martingales, i.e., processes that are martingales under any exchangeable distribution for the observations. Such processes can be used for detecting violations of the IID assumption, which is…
Detection of the gravitational waves excited during inflation as quantum mechanical fluctuations is a key test of inflation and crucial to learning about the specifics of the inflationary model. We discuss the potential of Cosmic Background…
We propose a new model for the level I of a Limit Order Book (LOB), which incorporates the information about the standing orders at the opposite side of the book after each price change and the arrivals of new orders within the spread. Our…
Recent advances in Large Language Models (LLMs) have led to the widespread adoption of third-party inference services, raising critical privacy concerns. Existing methods of performing private third-party inference, such as Secure…
Benford's law is frequently used to evaluate the likihood that data is misrepresentative. Typically statistical tests measure the likihood. Another method of employing Benford's law is to compare the frequency of leading digits to the…
Bias in financial language models constitutes a major obstacle to their adoption in real-world applications. Detecting such bias is challenging, as it requires identifying inputs whose predictions change when varying properties unrelated to…
In this work we propose a statistical approach to handling sources of theoretical uncertainty in string theory models of inflation. By viewing a model of inflation as a probabilistic graph, we show that there is an inevitable information…
Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits…
The aim of this work is to provide fast and accurate approximation schemes for the Monte Carlo pricing of derivatives in LIBOR market models. Standard methods can be applied to solve the stochastic differential equations of the successive…
Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step…
Estimating mutual information accurately is pivotal across diverse applications, from machine learning to communications and biology, enabling us to gain insights into the inner mechanisms of complex systems. Yet, dealing with…
Oftentimes in practice, the observed process changes statistical properties at an unknown point in time and the duration of a change is substantially finite, in which case one says that the change is intermittent or transient. We provide an…
In this article, we review the construction and properties of some popular approaches to modeling LIBOR rates. We discuss the following frameworks: classical LIBOR market models, forward price models and Markov-functional models. We close…