Related papers: Noise-proofing Universal Portfolio Shrinkage

This dissertation shows that careful injection of noise into sample data can substantially speed up Expectation-Maximization algorithms. Expectation-Maximization algorithms are a class of iterative algorithms for extracting maximum…

Consistent weighted least square estimators are proposed for a wide class of nonparametric regression models with random regression function, where this real-valued random function of $k$ arguments is assumed to be continuous with…

Principal Component Analysis (PCA) has been widely used for dimensionality reduction and feature extraction. Robust PCA (RPCA), under different robust distance metrics, such as l1-norm and l2, p-norm, can deal with noise or outliers to some…

We investigate robustness of probabilistic storage and retrieval device optimized for phase gates to noise. We use noisy input composed of convex combination of unitary channel with either depolarizing or dephasing channel. We find out that…

With the increasing use of deep learning on data collected by non-perfect sensors and in non-perfect environments, the robustness of deep learning systems has become an important issue. A common approach for obtaining robustness to noise…

We present an empirical study of a range of evolutionary algorithms applied to various noisy combinatorial optimisation problems. There are three sets of experiments. The first looks at several toy problems, such as OneMax and other linear…

Subspace clustering (SC) is a popular method for dimensionality reduction of high-dimensional data, where it generalizes Principal Component Analysis (PCA). Recently, several methods have been proposed to enhance the robustness of PCA and…

The measure of portfolio risk is an important input of the Markowitz framework. In this study, we explored various methods to obtain a robust covariance estimators that are less susceptible to financial data noise. We evaluated the…

We study certified robustness of machine learning classifiers against adversarial perturbations. In particular, we propose the first universally approximated certified robustness (UniCR) framework, which can approximate the robustness…

We develop a rotation-invariant neural network that provides the global minimum-variance portfolio by jointly learning how to lag-transform historical returns and marginal volatilities and how to regularise the eigenvalues of large equity…

When Perturbation Analysis (PA) yields unbiased sensitivity estimators for expected-value performance functions in discrete event dynamic systems, it can be used for performance optimization of those functions. However, when PA is known to…

This paper investigates the enhancement of financial time series forecasting with the use of neural networks through supervised autoencoders, aiming to improve investment strategy performance. It specifically examines the impact of noise…

This paper addresses the long-standing challenge of estimating the leverage effect from high-frequency data contaminated by dependent, non-Gaussian microstructure noise. We depart from the conventional reliance on pre-averaging or…

Consider a linear model $Y=X\beta+z$, $z\sim N(0,I_n)$. Here, $X=X_{n,p}$, where both $p$ and $n$ are large, but $p>n$. We model the rows of $X$ as i.i.d. samples from $N(0,\frac{1}{n}\Omega)$, where $\Omega$ is a $p\times p$ correlation…

Adversarial images are designed to mislead deep neural networks (DNNs), attracting great attention in recent years. Although several defense strategies achieved encouraging robustness against adversarial samples, most of them fail to…

In portfolio analysis, the traditional approach of replacing population moments with sample counterparts may lead to suboptimal portfolio choices. I show that optimal portfolio weights can be estimated using a machine learning (ML)…

In this paper we propose a modified version of the simulated annealing algorithm for solving a stochastic global optimization problem. More precisely, we address the problem of finding a global minimizer of a function with noisy…

We use multi-class machine learning classifiers to identify the stocks that outperform or underperform other stocks. The resulting long-short portfolios achieve annual Sharpe ratios of 1.67 (value-weighted) and 3.35 (equal-weighted), with…

We describe a procedure to perform approximate inference on the achieved signal-noise ratio of the Markowitz Portfolio under Gaussian i.i.d. returns. The procedure relies on a statistic similar to the Sharpe Ratio Information Criterion.…

One way to reduce the time of conducting optimization studies is to evaluate designs in parallel rather than just one-at-a-time. For expensive-to-evaluate black-boxes, batch versions of Bayesian optimization have been proposed. They work by…