Related papers: On a fundamental statistical edge principle
Statistical machine learning theory often tries to give generalization guarantees of machine learning models. Those models naturally underlie some fluctuation, as they are based on a data sample. If we were unlucky, and gathered a sample…
Determinantal point process have recently been used as models in machine learning and this has raised questions regarding the characterizations of conditional independence. In this paper we investigate characterizations of conditional…
While statistics focusses on hypothesis testing and on estimating (properties of) the true sampling distribution, in machine learning the performance of learning algorithms on future data is the primary issue. In this paper we bridge the…
The problem of online matching with stochastic rewards is a generalization of the online bipartite matching problem where each edge has a probability of success. When a match is made it succeeds with the probability of the corresponding…
The key objective of this paper is to develop an empirical model for pricing SPX options that can be simulated over future paths of the SPX. To accomplish this, we formulate and rigorously evaluate several statistical models, including…
We study hypothesis testing over a heterogeneous population of strategic agents with private information. Any single test applied uniformly across the population yields statistical error that is sub-optimal relative to the performance of an…
A class of heterogeneous agent models is investigated where investors switch trading position whenever their motivation to do so exceeds some critical threshold. These motivations can be psychological in nature or reflect behaviour…
Off-policy policy evaluation methods for sequential decision making can be used to help identify if a proposed decision policy is better than a current baseline policy. However, a new decision policy may be better than a baseline policy for…
Feature selection is a crucial tool in machine learning and is widely applied across various scientific disciplines. Traditional supervised methods generally identify a universal set of informative features for the entire population.…
In this paper we consider the Stochastic Matching problem, which is motivated by applications in kidney exchange and online dating. We are given an undirected graph in which every edge is assigned a probability of existence and a positive…
The main object of investigation in this paper is a very general regression model in optional setting - when an observed process is an optional semimartingale depending on an unknown parameter. It is well-known that statistical data may…
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…
Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a discrete time financial market with one risky asset. Investor's portfolio consists of a dynamically traded stock and a static…
We present a general theoretical analysis of structured prediction with a series of new results. We give new data-dependent margin guarantees for structured prediction for a very wide family of loss functions and a general family of…
The Eulerian extension number of any graph~\(H\) (i.e. the minimum number of edges needed to be added to make~\(H\) Eulerian) is at least~\(t(H),\) half the number of odd degree vertices of~\(H.\) In this paper we consider an inhomogenous…
We introduce and study a simple model of a limit order-driven market. Traders in this model can either trade at the market price or place a limit order, i.e. an instruction to buy (sell) a certain amount of the stock if its price falls…
We consider a conditional factor model for a multivariate portfolio of United States equities in the context of analysing a statistical arbitrage trading strategy. A state space framework underlies the factor model whereby asset returns are…
In this paper, we study the target controllability problem of networked dynamical systems, in which we are tasked to steer a subset of network states towards a desired objective. More specifically, we derive necessary and sufficient…
Whether you trade futures for yourself or a hedge fund, your strategy is counted. Long and short position limits make the number of unique strategies finite. Formulas of the numbers of strategies, transactions, do nothing actions are…
Market events such as order placement and order cancellation are examples of the complex and substantial flow of data that surrounds a modern financial engineer. New mathematical techniques, developed to describe the interactions of complex…