相关论文: Gimme That Model!: A Trusted ML Model Trading Prot…

The paper discusses a path-wise approach to stock price modelling.

This paper studies the question whether automated market maker protocols such as Uniswap can sustainably retain a portion of their trading fees for the protocol. We approach the problem by modelling how to optimally choose a pool's take…

Predicting patient features from single-cell data can help identify cellular states implicated in health and disease. Linear models and average cell type expressions are typically favored for this task for their efficiency and robustness,…

This paper presents a data-driven strategy to streamline the deployment of model-based controllers in legged robotic hardware platforms. Our approach leverages a model-free safe learning algorithm to automate the tuning of control gains,…

This paper focus on pricing exchange option based on copulas by MCMC algorithm. Initially, we introduce the methodologies concerned about risk-netural pricing, copulas and MCMC algorithm. After the basic knowledge, we compare the option…

We propose a top-down model for cash CLO. This model can consistently price cash CLO tranches both within the same deal and across different deals. Meaningful risk measures for cash CLO tranches can also be defined and computed. This method…

We provide a general and tractable framework under which all multiple yield curve modeling approaches based on affine processes, be it short rate, Libor market, or HJM modeling, can be consolidated. We model a numeraire process and…

We address the problem of executing large client orders in continuous double-auction markets under time and liquidity constraints. We propose a model predictive control (MPC) framework that balances three competing objectives: order…

In this paper, we consider the pricing and hedging of a financial derivative for an insider trader, in a model-independent setting. In particular, we suppose that the insider wants to act in a way which is independent of any modelling…

In our work, we propose to represent HTM as a set of flat models, or layers, and a set of topical hierarchies, or edges. We suggest several quality measures for edges of hierarchical models, resembling those proposed for flat models. We…

Models derived from other models are extremely common in machine learning (ML) today. For example, transfer learning is used to create task-specific models from "pre-trained" models through finetuning. This has led to an ecosystem where…

Several phenomena are available representing market activity: volumes, number of trades, durations between trades or quotes, volatility - however measured - all share the feature to be represented as positive valued time series. When…

Certainly, the success of the Unified Modeling Language (UML) as the de facto standard for modeling software systems does not imply closing the door on scientific exploration or experimentation with modeling in the field. Continuing studies…

This paper considers generalized linear models using rule-based features, also referred to as rule ensembles, for regression and probabilistic classification. Rules facilitate model interpretation while also capturing nonlinear dependences…

A closer integration of machine learning and relational databases has gained steam in recent years due to the fact that the training data to many ML tasks is the results of a relational query (most often, a join-select query). In a…

In this paper, we describe a brand new key exchange protocol based on a semidirect product of (semi)groups (more specifically, on extension of a (semi)group by automorphisms), and then focus on practical instances of this general idea. Our…

The application of graph representation learning techniques to the area of financial risk management (FRM) has attracted significant attention recently. However, directly modeling transaction networks using graph neural models remains…

We construct an empirically founded model of a repo trade intermediated by two broker-dealers and prove multiple equilibrium and the existence of equilibrium at the joint profit maximizing volume of trade. We then present a smart contract…

In several settings of practical interest, two parties seek to collaboratively perform inference on their private data using a public machine learning model. For instance, several hospitals might wish to share patient medical records for…

In the rapidly growing digital economy, protecting intellectual property (IP) associated with digital products has become increasingly important. Within this context, machine learning (ML) models, being highly valuable digital assets, have…