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We test for departures from normal and independent and identically distributed (NIID) returns, when returns under the alternative hypothesis are self-affine. Self-affine returns are either fractionally integrated and long-range dependent,…

Federated Learning (FL) involves training a model over a dataset distributed among clients, with the constraint that each client's dataset is localized and possibly heterogeneous. In FL, small and noisy datasets are common, highlighting the…

Detecting a minor average treatment effect is a major challenge in large-scale applications, where even minimal improvements can have a significant economic impact. Traditional methods, reliant on normal distribution-based or expanded…

Federated learning (FL) is an emerging technique used to train a machine-learning model collaboratively using the data and computation resource of the mobile devices without exposing privacy-sensitive user data. Appropriate incentive…

We study alpha factor mining, the automated discovery of predictive signals from noisy, non-stationary market data-under a practical requirement that mined factors be directly executable and auditable, and that the discovery process remain…

This paper presents a data-driven interpretable machine learning algorithm for semi-static hedging of Exchange Traded options, considering transaction costs with efficient run-time. Further, we provide empirical evidence on the performance…

Multiple hypothesis testing with false discovery rate (FDR) control is a fundamental problem in statistical inference, with broad applications in genomics, drug screening, and outlier detection. In many such settings, researchers may have…

While traditional equity factor investing relies heavily on slow-moving fundamental accounting metrics, these models frequently suffer from factor crowding and miss real-time, sentiment-driven market dislocations. This study explores how…

Federated Learning (FL) is a paradigm in Machine Learning (ML) that addresses data privacy, security, access rights and access to heterogeneous information issues by training a global model using distributed nodes. Despite its advantages,…

With the recent rise of Machine Learning as a candidate to partially replace classic Financial Mathematics methodologies, we investigate the performances of both in solving the problem of dynamic portfolio optimization in continuous-time,…

With the increasing number of financial services available online, the rate of financial fraud has also been increasing. The traffic and transaction rates on the internet have increased considerably, leading to a need for fast…

When selecting a classification algorithm to be applied to a particular problem, one has to simultaneously select the best algorithm for that dataset \emph{and} the best set of hyperparameters for the chosen model. The usual approach is to…

Sampling-based approaches are widely used in systems without analytic models to estimate risk or find optimal control. However, gathering sufficient data in such scenarios can be prohibitively costly. On the other hand, in many situations,…

Hyperspectral bands offer rich spectral and spatial information; however, their high dimensionality poses challenges for efficient processing. Band selection (BS) methods aim to extract a smaller subset of bands to reduce spectral…

The use of machine learning (ML) in high-stakes societal decisions has encouraged the consideration of fairness throughout the ML lifecycle. Although data integration is one of the primary steps to generate high quality training data, most…

Phase III randomized clinical trials play a monumentally critical role in the evaluation of new medical products. Because of the intrinsic nature of uncertainty embedded in our capability in assessing the efficacy of a medical product,…

Federated learning (FL) has shown promising potential in safeguarding data privacy in healthcare collaborations. While the term "FL" was originally coined by the engineering community, the statistical field has also explored similar…

We study the problem of pure exploration in matching markets under uncertain preferences, where the goal is to identify a stable matching with confidence parameter $\delta$ and minimal sample complexity. Agents learn preferences via…

We study the problems of sequential nonparametric two-sample and independence testing. Sequential tests process data online and allow using observed data to decide whether to stop and reject the null hypothesis or to collect more data,…

We propose a new empirical Bayes method for covariate-assisted multiple testing with false discovery rate (FDR) control, where we model the local false discovery rate for each hypothesis as a function of both its covariates and p-value. Our…