Related papers: The Concept of Average Loop Impact as a System-Wid…
Control of drawdown, that is, the control of the drops in wealth over time from peaks to subsequent lows, is of great concern from a risk management perspective. With this motivation in mind, the focal point of this paper is to address the…
The gain-loss ratio is known to enjoy very good properties from a normative point of view. As a confirmation, we show that the best market gain-loss ratio in the presence of a random endowment is an acceptability index and we provide its…
We study infinite-horizon average-reward Markov decision processes (AMDPs) in the context of general function approximation. Specifically, we propose a novel algorithmic framework named Local-fitted Optimization with OPtimism (LOOP), which…
Many language tasks (e.g., Named Entity Recognition, Part-of-Speech tagging, and Semantic Role Labeling) are naturally framed as sequence tagging problems. However, there has been comparatively little work on interpretability methods for…
The performances of braking control systems for robotic platforms, e.g., assisted and autonomous vehicles, airplanes and drones, are deeply influenced by the road-tire friction experienced during the maneuver. Therefore, the availability of…
Significant improvements have been achieved in motion control systems with the availability of high speed power switches and microcomputers on the market. Even though motor drivers are able to provide high torque control bandwidth under…
We consider a microscopic model (a system of self-propelled particles) to study the behaviour of a large group of pedestrians walking in a corridor. Our point of interest is the effect of anisotropic interactions on the global behaviour of…
Internal recirculation in a moving droplet plays an important role in several droplet-based microfluidic devices as it enhances mixing, chemical reaction and heat transfer. The occurrence of fluid slip at the wall, which becomes prominent…
Passivity is an imperative concept and a widely utilized tool in the analysis and control of interconnected systems. It naturally arises in the modelling of physical systems involving passive elements and dynamics. While many theorems on…
One approach for feedback control using high dimensional and rich sensor measurements is to classify the measurement into one out of a finite set of situations, each situation corresponding to a (known) control action. This approach…
The temporal changes in complex systems of interactions have excited the research community in recent years as they encompass understandings on their dynamics and evolution. From the collective dynamics of organizations and online…
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.…
In empirical studies of random walks, continuous trajectories of animals or individuals are usually sampled over a finite number of points in space and time. It is however unclear how this partial observation affects the measured…
By applying network analysis techniques to large input-output system, we identify key sectors in the local/regional economy. We overcome the limitations of traditional measures of centrality by using random-walk based measures, as an…
Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…
The two most used citation impact indicators in the assessment of scientific journals are, nowadays, the impact factor and the h-index. However, both indicators are not field normalized (vary heavily depending on the scientific category)…
We propose a method for average partial effect estimation in high-dimensional single-index models that is root-n-consistent and asymptotically unbiased given sparsity assumptions on the underlying regression model. This note was prepared as…
Considering the matter power spectrum covariance matrix, it has recently been found that there is a potentially dominant effect on mildly non-linear scales due to power in modes of size equal to and larger than the survey volume. This {\it…
Price gap, defined as the logarithmic price difference between the first two occupied price levels on the same side of a limit order book (LOB), is a key determinant of market depth, which is one of the dimensions of liquidity. However, the…
Control theory arose from a need to control synthetic systems. From regulating steam engines to tuning radios to devices capable of autonomous movement, it provided a formal mathematical basis for understanding the role of feedback in the…