Related papers: Trading with the Devil: Risk and Return in Foundat…
eCommerce transaction frauds keep changing rapidly. This is the major issue that prevents eCommerce merchants having a robust machine learning model for fraudulent transactions detection. The root cause of this problem is that rapid…
Asset prices contain information about the probability distribution of future states and the stochastic discounting of those states as used by investors. To better understand the challenge in distinguishing investors' beliefs from…
One of the most challenging aspects in the analysis and modelling of financial markets, including Credit Default Swap (CDS) markets, is the presence of an emergent, intermediate level of structure standing in between the microscopic…
The need for control strategies that can address dynamic system uncertainty is becoming increasingly important. In this work, we propose a Model Predictive Control by quantifying the risk of failure in our system model. The proposed control…
Advancements in foundation models (FMs) have led to a paradigm shift in machine learning. The rich, expressive feature representations from these pre-trained, large-scale FMs are leveraged for multiple downstream tasks, usually via…
The widespread adoption of large language models (LLMs) across industries has increased the demand for high-quality and customizable outputs. However, traditional alignment methods often require retraining large pretrained models, making it…
Time series foundation models (FMs) have emerged as a popular paradigm for zero-shot multi-domain forecasting. These models are trained on numerous diverse datasets and claim to be effective forecasters across multiple different time series…
Alphas are stock prediction models capturing trading signals in a stock market. A set of effective alphas can generate weakly correlated high returns to diversify the risk. Existing alphas can be categorized into two classes: Formulaic…
Many machine learning problems require the prediction of multi-dimensional labels. Such structured prediction models can benefit from modeling dependencies between labels. Recently, several deep learning approaches to structured prediction…
In today's interconnected digital landscape, the proliferation of malware poses a significant threat to the security and stability of computer networks and systems worldwide. As the complexity of malicious tactics, techniques, and…
We introduce a model-free approach for analyzing the risk and return for a broad class of dynamic trading strategies, including pairs trading, mean-reversion trading and other statistical arbitrage strategies, in terms of excursions of a…
The paper examines the potential of deep learning to support decisions in financial risk management. We develop a deep learning model for predicting whether individual spread traders secure profits from future trades. This task embodies…
Popular approaches for quantifying predictive uncertainty in deep neural networks often involve distributions over weights or multiple models, for instance via Markov Chain sampling, ensembling, or Monte Carlo dropout. These techniques…
We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional transaction costs and portfolio constraints and full…
We introduce obfuscation testing, a novel methodology for validating whether large language models detect structural market patterns through causal reasoning rather than temporal association. Testing three dealer hedging constraint patterns…
Deep learning searches for nonlinear factors for predicting asset returns. Predictability is achieved via multiple layers of composite factors as opposed to additive ones. Viewed in this way, asset pricing studies can be revisited using…
We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in…
Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress,…
Methodologies for development of complex systems and models include external reviews by domain and technology experts. Among others, such reviews can uncover undocumented built-in assumptions that may be critical for correct and safe…
We propose two structural models for stochastic losses given default which allow to model the credit losses of a portfolio of defaultable financial instruments. The credit losses are integrated into a structural model of default events…