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We propose an alternative framework for quantifying coherence. The framework is based on a natural property of coherence, the additivity of coherence for subspace-independent states, which is described by an operation-independent equality…

In this paper, we propose a framework for achieving long-term fair sequential decision making. By conducting both the hard and soft interventions, we propose to take path-specific effects on the time-lagged causal graph as a quantitative…

The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are considered and capital requirements can be…

Norms of Persistent Homology introduced in topological data analysis are seen as indicators of system instability, analogous to the changing predictability that is captured in financial market uncertainty indexes. This paper demonstrates…

Recently, we have proposed a new diffusive representation for fractional derivatives and, based on this representation, suggested an algorithm for their numerical computation. From the construction of the algorithm, it is immediately…

Random residue sequences (RR) may be used in many random number applications including those related to multiple access in communications. This paper investigates variations on an algorithm to generate RR sequences that was proposed earlier…

The use of computational methods to evaluate aesthetics in photography has gained interest in recent years due to the popularization of convolutional neural networks and the availability of new annotated datasets. Most studies in this area…

The study of time series has motivated many researchers, particularly on the area of multivariate-analysis. The study of co-movements and dependency between random variables leads us to develop metrics to describe existing connection…

Quantile regression permits describing how quantiles of a scalar response variable depend on a set of predictors. Because a unique definition of multivariate quantiles is lacking, extending quantile regression to multivariate responses is…

Using high frequency data, we have studied empirically the change of volatility, also called volatility derivative, for various time horizons. In particular, the correlation between the volatility derivative and the volatility realized in…

Correctness of concurrent objects is defined in terms of safety properties such as linearizability, sequential consistency, and quiescent consistency, and progress properties such as wait-, lock-, and obstruction-freedom. These properties,…

Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…

Relative weight analysis is a classic tool for detecting whether one variable or interaction in a model is relevant. In this study, we focus on the construction of relative weights for non-linear interactions using restricted cubic splines.…

Multiplicative random cascade model naturally reproduces the intermittency or multifractality, which is frequently shown among hierarchical complex systems such as turbulence and financial markets. As described herein, we investigate the…

Patterns in temporal data can often be found across different scales, such as days, weeks, and months, making effective visualization of time-based data challenging. Here we propose a new approach for providing focus and context in…

We formulate coherence modeling as a regression task and propose two novel methods to combine techniques from our setup with pairwise approaches. The first of our methods is a model that we call "first-next," which operates similarly to…

The concept of multifractality offers a powerful formal tool to filter out multitude of the most relevant characteristics of complex time series. The related studies thus far presented in the scientific literature typically limit themselves…

Monotonicity and recursivity are central assumptions in intertemporal consumption problems under ambiguity. We show that monotone recursive preferences admit both a recursive and an ex-ante representation, and that the certainty equivalent…

Reconfigurable interaction induces another dimension of nondeterminism in concurrent systems which makes it hard to reason about the different choices of the system from a global perspective. Namely, (1) choices that correspond to…

Algorithmic Recourse aims to provide actionable explanations, or recourse plans, to overturn potentially unfavourable decisions taken by automated machine learning models. In this paper, we propose an interaction paradigm based on a guided…