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Index funds are substantially preferred by investors nowadays, and market sensitivities are instrumental in managing index funds. An index fund is a mutual fund aiming to track the returns of a predefined market index (e.g., the S&P 500). A…
The performance of many machine learning techniques depends on the choice of an appropriate similarity or distance measure on the input space. Similarity learning (or metric learning) aims at building such a measure from training data so…
We present a prototype hybrid prediction market and demonstrate the avenue it represents for meaningful human-AI collaboration. We build on prior work proposing artificial prediction markets as a novel machine-learning algorithm. In an…
In this paper, we argue that the prevailing approach to training and evaluating machine learning models often fails to consider their real-world application within organizational or societal contexts, where they are intended to create…
We propose a machine learning method to solve a mean-field game price formation model with common noise. This involves determining the price of a commodity traded among rational agents subject to a market clearing condition imposed by…
When firms want to buy back their own shares, they have a choice between several alternatives. If they often carry out open market repurchase, they also increasingly rely on banks through complex buyback contracts involving option…
A model is proposed for Bitcoin prices that takes into account market attention. Market attention, modeled by a mean-reverting Cox-Ingersoll-Ross processes, affects the volatility of Bitcoin returns, with some delay. The model is affine and…
Model quantization enables efficient deployment of deep neural networks on edge devices through low-bit parameter representation, yet raises critical challenges for implementing machine unlearning (MU) under data privacy regulations.…
Developing a reliable parametric cost model at the conceptual stage of the project is crucial for projects managers and decision-makers. Existing methods, such as probabilistic and statistical algorithms have been developed for project cost…
This paper introduced key aspects of applying Machine Learning (ML) models, improved trading strategies, and the Quasi-Reversibility Method (QRM) to optimize stock option forecasting and trading results. It presented the findings of the…
In this paper the accuracy and robustness of quality measures for the assessment of machine learning models are investigated. The prediction quality of a machine learning model is evaluated model-independent based on a cross-validation…
Cryptocurrencies, such as Bitcoin, are one of the most controversial and complex technological innovations in today's financial system. This study aims to forecast the movements of Bitcoin prices at a high degree of accuracy. To this aim,…
An appropriate calibration and forecasting of volatility and market risk are some of the main challenges faced by companies that have to manage the uncertainty inherent to their investments or funding operations such as banks, pension funds…
The beneficial effects of treatments vary across individuals in most studies. Treatment heterogeneity motivates practitioners to search for the optimal policy based on personal characteristics. A long-standing common practice in policy…
Forecasting stock returns is a challenging problem due to the highly stochastic nature of the market and the vast array of factors and events that can influence trading volume and prices. Nevertheless it has proven to be an attractive…
Users on the internet usually require venues to provide better purchasing recommendations. This can be provided by a reputation system that processes ratings to provide recommendations. The rating aggregation process is a main part of…
The world of empirical machine learning (ML) strongly relies on benchmarks in order to determine the relative effectiveness of different algorithms and methods. This paper proposes the notion of "a benchmark lottery" that describes the…
This paper presents a novel way to predict options price for one day in advance, utilizing the method of Quasi-Reversibility for solving the Black-Scholes equation. The Black-Scholes equation solved forwards in time with Tikhonov…
Machine learning (ML) methods are highly flexible, but their ability to approximate the true data-generating process is fundamentally constrained by finite samples. We characterize a universal lower bound, the Limits-to-Learning Gap (LLG),…
The discrepancy between realized volatility and the market's view of volatility has been known to predict individual equity options at the monthly horizon. It is not clear how this predictability depends on a forecast's ability to predict…