Solving the Reswitching Paradox in the Sraffian Theory of Capital. (arXiv:1907.01189v4 [econ.TH] UPDATED)

The possibility of re-switching of techniques in Piero Sraffa’s intersectoral model, namely the returning capital-intensive techniques with monotonic changes in the profit rate, is traditionally considered as a paradox putting at stake the viability of the neoclassical theory of production. It is argued here that this phenomenon can be rationalized within the neoclassical paradigm. Sectoral…

Analysing Global Fixed Income Markets with Tensors. (arXiv:1908.02101v3 [q-fin.PM] UPDATED)

Global fixed income returns span across multiple maturities and economies, that is, they naturally reside on multi-dimensional data structures referred to as tensors. In contrast to standard “flat-view” multivariate models that are agnostic to data structure and only describe linear pairwise relationships, we introduce a tensor-valued approach to model the global risks shared by multiple…

Credit risk with asymmetric information and a switching default threshold. (arXiv:1910.14413v2 [q-fin.PR] UPDATED)

We investigate the impact of available information on the estimation of the default probability within a generalized structural model for credit risk. The traditional structural model where default is triggered when the value of the firm’s asset falls below a constant threshold is extended by relaxing the assumption of a constant default threshold. The default…

The Transport-based Mesh-free Method (TMM) and its applications in finance: a review. (arXiv:1911.00992v2 [math.AP] UPDATED)

We review a numerical technique, referred to as the Transport-based Mesh-free Method (TMM), and we discuss its applications to mathematical finance. We recently introduced this method from a numerical standpoint and investigated the accuracy of integration formulas based on the Monte-Carlo methodology: quantitative error bounds were discussed and, in this short note, we outline the…

Robo-advising: Learning Investors’ Risk Preferences via Portfolio Choices. (arXiv:1911.02067v2 [q-fin.PM] UPDATED)

We introduce a reinforcement learning framework for retail robo-advising. The robo-advisor does not know the investor’s risk preference, but learns it over time by observing her portfolio choices in different market environments. We develop an exploration-exploitation algorithm which trades off costly solicitations of portfolio choices by the investor with autonomous trading decisions based on stale…

Critical synchronization dynamics of the Kuramoto model on connectome and small world graphs. (arXiv:1903.00385v3 [cond-mat.dis-nn] UPDATED)

The hypothesis, that cortical dynamics operates near criticality also suggests, that it exhibits universal critical exponents which marks the Kuramoto equation, a fundamental model for synchronization, as a prime candidate for an underlying universal model. Here, we determined the synchronization behavior of this model by solving it numerically on a large, weighted human connectome network,…

Augmenting expert detection of early coronary artery occlusion from 12 lead electrocardiograms using deep learning. (arXiv:1903.04421v4 [stat.AP] UPDATED)

Early diagnosis of acute coronary artery occlusion based on electrocardiogram (ECG) findings is essential for prompt delivery of primary percutaneous coronary intervention. Current ST elevation (STE) criteria are specific but insensitive. Consequently, it is likely that many patients are missing out on potentially life-saving treatment. Experts combining non-specific ECG changes with STE detect ischaemia with…

Modeling Bottom-Up and Top-Down Attention with a Neurodynamic Model of V1. (arXiv:1904.02741v3 [q-bio.NC] UPDATED)

Previous studies suggested that lateral interactions of V1 cells are responsible, among other visual effects, of bottom-up visual attention (alternatively named visual salience or saliency). Our objective is to mimic these connections with a neurodynamic network of firing-rate neurons in order to predict visual attention. Early visual subcortical processes (i.e. retinal and thalamic) are functionally…

Time-dependent product-form Poisson distributions for reaction networks with higher order complexes. (arXiv:1904.11583v2 [math.PR] UPDATED)

It is well known that stochastically modeled reaction networks that are complex balanced admit a stationary distribution that is a product of Poisson distributions. In this paper, we consider the following related question: supposing that the initial distribution of a stochastically modeled reaction network is a product of Poissons, under what conditions will the distribution…