pwc-archive/papers-with-abstracts huggingface dataset:
Mean-Reverting SABR Models: Closed-form Surfaces and Calibration for Equities
Authors: V. Perederiy
Date: 2025-02-11 00:00:00
Tasks: Form

In this paper, we consider three stochastic-volatility models, each characterized by distinct dynamics of instantaneous volatility: (1) a CIR process for squared volatility (i.e., the classical Heston model); (2) a mean-reverting lognormal process for volatility; and (3) a CIR process for volatility. Previous research has provided semi-analytical approximations for these models in the form of simple (non-mean-reverting) SABR models, each suitably parameterized for a given expiry. First, using a computer algebra system, we derive closed-form expressions for these semi-analytical approximations, under the assumption that all parameters remain constant (but without the constraint of constant expected volatility). Although the resulting formulas are considerably lengthier than those in simpler SABR models, they remain tractable and are easily implementable even in Excel. Second, employing these closed-form expressions, we calibrate the three models to empirical volatility surfaces observed in EuroStoxx index options. The calibration is well-behaved and achieves excellent fits for the observed equity-volatility surfaces, with only five parameters per surface. Consequently, the approximate models offer a simpler, faster, and (numerically) more reliable alternative to the classical Heston model, or to more advanced models, which lack closed-form solutions and can be numerically challenging, particularly in less sophisticated implementation environments. Third, we examine the stability and correlations of our parameter estimates. In this analysis, we identify certain issues with the models - one of which appears to stem from the sub-lognormal behavior of the actual equity-volatility process. Notably, the CIR-volatility model (3), as opposed to the CIR-variance Heston model (1), seems to best capture this behavior, and also results in more stable parameters.
Intraday order transition dynamics in high, medium, and low market cap stocks: A Markov chain approach
Authors: S. R. Luwang, A. Rai, Md. Nurujjaman, F. Petroni
Date: 2025-02-11 00:00:00

An empirical stochastic analysis of high-frequency, tick-by-tick order data of NASDAQ100 listed stocks is conducted using a first-order discrete-time Markov chain model to explore intraday order transition dynamics. This analysis focuses on three market cap categories: High, Medium, and Low. Time-homogeneous transition probability matrices are estimated and compared across time-zones and market cap categories, and we found that limit orders exhibit higher degree of inertia (DoI), i.e., the probability of placing consecutive limit order is higher, during the opening hour. However, in the subsequent hour, the DoI of limit order decreases, while that of market order increases. Limit order adjustments via additions and deletions of limit orders increases significantly after the opening hour. All the order transitions then stabilize during mid-hours. As the closing hour approaches, consecutive order executions surge, with decreased placement of buy and sell limit orders following sell and buy executions, respectively. In terms of the differences in order transitions between stocks of different market cap, DoI of orders is stronger in high and medium market cap stocks. On the other hand, lower market cap stocks show a higher probability of limit order modifications and greater likelihood of submitting sell/buy limit orders after buy/sell executions. Further, order transitions are clustered across all stocks, except during opening and closing hours. The findings of this study may be useful in understanding intraday order placement dynamics across stocks of varying market cap, thus aiding market participants in making informed order placements at different times of trading hour.
FactorGCL: A Hypergraph-Based Factor Model with Temporal Residual Contrastive Learning for Stock Returns Prediction
Authors: Yitong Duan, Weiran Wang, Jian Li
Date: 2025-02-05 00:00:00
Tasks: Contrastive Learning

As a fundamental method in economics and finance, the factor model has been extensively utilized in quantitative investment. In recent years, there has been a paradigm shift from traditional linear models with expert-designed factors to more flexible nonlinear machine learning-based models with data-driven factors, aiming to enhance the effectiveness of these factor models. However, due to the low signal-to-noise ratio in market data, mining effective factors in data-driven models remains challenging. In this work, we propose a hypergraph-based factor model with temporal residual contrastive learning (FactorGCL) that employs a hypergraph structure to better capture high-order nonlinear relationships among stock returns and factors. To mine hidden factors that supplement human-designed prior factors for predicting stock returns, we design a cascading residual hypergraph architecture, in which the hidden factors are extracted from the residual information after removing the influence of prior factors. Additionally, we propose a temporal residual contrastive learning method to guide the extraction of effective and comprehensive hidden factors by contrasting stock-specific residual information over different time periods. Our extensive experiments on real stock market data demonstrate that FactorGCL not only outperforms existing state-of-the-art methods but also mines effective hidden factors for predicting stock returns.
Regression and Forecasting of U.S. Stock Returns Based on LSTM
Authors: Shicheng Zhou, Zizhou Zhang, Rong Zhang, Yuchen Yin, Chia Hong Chang, Qinyan Shen
Date: 2025-02-03 00:00:00
Tasks: regression

This paper analyses the investment returns of three stock sectors, Manuf, Hitec, and Other, in the U.S. stock market, based on the Fama-French three-factor model, the Carhart four-factor model, and the Fama-French five-factor model, in order to test the validity of the Fama-French three-factor model, the Carhart four-factor model, and the Fama-French five-factor model for the three sectors of the market. French five-factor model for the three sectors of the market. Also, the LSTM model is used to explore the additional factors affecting stock returns. The empirical results show that the Fama-French five-factor model has better validity for the three segments of the market under study, and the LSTM model has the ability to capture the factors affecting the returns of certain industries, and can better regress and predict the stock returns of the relevant industries. Keywords- Fama-French model; Carhart model; Factor model; LSTM model.
Multimodal Stock Price Prediction
Authors: Furkan Karadaş, Bahaeddin Eravci, Ahmet Murat Özbayoğlu
Date: 2025-01-23 00:00:00
Tasks: Articles, Prediction, Sentiment Analysis, Stock Price Prediction, Time Series Forecasting

In an era where financial markets are heavily influenced by many static and dynamic factors, it has become increasingly critical to carefully integrate diverse data sources with machine learning for accurate stock price prediction. This paper explores a multimodal machine learning approach for stock price prediction by combining data from diverse sources, including traditional financial metrics, tweets, and news articles. We capture real-time market dynamics and investor mood through sentiment analysis on these textual data using both ChatGPT-4o and FinBERT models. We look at how these integrated data streams augment predictions made with a standard Long Short-Term Memory (LSTM model) to illustrate the extent of performance gains. Our study's results indicate that incorporating the mentioned data sources considerably increases the forecast effectiveness of the reference model by up to 5%. We also provide insights into the individual and combined predictive capacities of these modalities, highlighting the substantial impact of incorporating sentiment analysis from tweets and news articles. This research offers a systematic and effective framework for applying multimodal data analytics techniques in financial time series forecasting that provides a new view for investors to leverage data for decision-making.
FinRL-DeepSeek: LLM-Infused Risk-Sensitive Reinforcement Learning for Trading Agents
Authors: Mostapha Benhenda
Date: 2025-02-11 00:00:00

This paper presents a novel risk-sensitive trading agent combining reinforcement learning and large language models (LLMs). We extend the Conditional Value-at-Risk Proximal Policy Optimization (CPPO) algorithm, by adding risk assessment and trading recommendation signals generated by a LLM from financial news. Our approach is backtested on the Nasdaq-100 index benchmark, using financial news data from the FNSPID dataset and the DeepSeek V3, Qwen 2.5 and Llama 3.3 language models. The code, data, and trading agents are available at: https://github.com/benstaf/FinRL_DeepSeek
Forecasting the future development in quality and value of professional football players for applications in team management
Authors: Koen W. van Arem, Floris Goes-Smit, Jakob Söhl
Date: 2025-02-11 00:00:00
Tasks: Explainable Models, Management, Uncertainty Quantification

Transfers in professional football (soccer) are risky investments because of the large transfer fees and high risks involved. Although data-driven models can be used to improve transfer decisions, existing models focus on describing players' historical progress, leaving their future performance unknown. Moreover, recent developments have called for the use of explainable models combined with uncertainty quantification of predictions. This paper assesses explainable machine learning models based on predictive accuracy and uncertainty quantification methods for the prediction of the future development in quality and transfer value of professional football players. Using a historical data set of data-driven indicators describing player quality and the transfer value of a football player, the models are trained to forecast player quality and player value one year ahead. These two prediction problems demonstrate the efficacy of tree-based models, particularly random forest and XGBoost, in making accurate predictions. In general, the random forest model is found to be the most suitable model because it provides accurate predictions as well as an uncertainty quantification method that naturally arises from the bagging procedure of the random forest model. Additionally, our research shows that the development of player performance contains nonlinear patterns and interactions between variables, and that time series information can provide useful information for the modeling of player performance metrics. Our research provides models to help football clubs make more informed, data-driven transfer decisions by forecasting player quality and transfer value.
Quantitative evaluation of unsupervised clustering algorithms for dynamic total-body PET image analysis
Authors: Oona Rainio, Maria K. Jaakkola, Riku Klén
Date: 2025-02-11 00:00:00
Tasks: Clustering

Background. Recently, dynamic total-body positron emission tomography (PET) imaging has become possible due to new scanner devices. While clustering algorithms have been proposed for PET analysis already earlier, there is still little research systematically evaluating these algorithms for processing of dynamic total-body PET images. Materials and methods. Here, we compare the performance of 15 unsupervised clustering methods, including K-means either by itself or after principal component analysis (PCA) or independent component analysis (ICA), Gaussian mixture model (GMM), fuzzy c-means (FCM), agglomerative clustering, spectral clustering, and several newer clustering algorithms, for classifying time activity curves (TACs) in dynamic PET images. We use dynamic total-body $^{15}$O-water PET images collected from 30 patients with suspected or confirmed coronary artery disease. To evaluate the clustering algorithms in a quantitative way, we use them to classify 5000 TACs from each image based on whether the curve is taken from brain, right heart ventricle, right kidney, lower right lung lobe, or urinary bladder. Results. According to our results, the best methods are GMM, FCM, and ICA combined with mini batch K-means, which classified the TACs with a median accuracies of 89\%, 83\%, and 81\%, respectively, in a processing time of half a second or less on average for each image. Conclusion. GMM, FCM, and ICA with mini batch K-means show promise for dynamic total-body PET analysis.
Likelihood-Free Estimation for Spatiotemporal Hawkes processes with missing data and application to predictive policing
Authors: Pramit Das, Moulinath Banerjee, Yuekai Sun
Date: 2025-02-10 00:00:00

With the growing use of AI technology, many police departments use forecasting software to predict probable crime hotspots and allocate patrolling resources effectively for crime prevention. The clustered nature of crime data makes self-exciting Hawkes processes a popular modeling choice. However, one significant challenge in fitting such models is the inherent missingness in crime data due to non-reporting, which can bias the estimated parameters of the predictive model, leading to inaccurate downstream hotspot forecasts, often resulting in over or under-policing in various communities, especially the vulnerable ones. Our work introduces a Wasserstein Generative Adversarial Networks (WGAN) driven likelihood-free approach to account for unreported crimes in Spatiotemporal Hawkes models. We demonstrate through empirical analysis how this methodology improves the accuracy of parametric estimation in the presence of data missingness, leading to more reliable and efficient policing strategies.
A Framework for Supervised and Unsupervised Segmentation and Classification of Materials Microstructure Images
Authors: Kungang Zhang, Daniel W. Apley, Wei Chen, Wing K. Liu, L. Catherine Brinson
Date: 2025-02-10 00:00:00
Tasks: Data Augmentation, Segmentation, Uncertainty Quantification

Microstructure of materials is often characterized through image analysis to understand processing-structure-properties linkages. We propose a largely automated framework that integrates unsupervised and supervised learning methods to classify micrographs according to microstructure phase/class and, for multiphase microstructures, segments them into different homogeneous regions. With the advance of manufacturing and imaging techniques, the ultra-high resolution of imaging that reveals the complexity of microstructures and the rapidly increasing quantity of images (i.e., micrographs) enables and necessitates a more powerful and automated framework to extract materials characteristics and knowledge. The framework we propose can be used to gradually build a database of microstructure classes relevant to a particular process or group of materials, which can help in analyzing and discovering/identifying new materials. The framework has three steps: (1) segmentation of multiphase micrographs through a recently developed score-based method so that different microstructure homogeneous regions can be identified in an unsupervised manner; (2) {identification and classification of} homogeneous regions of micrographs through an uncertainty-aware supervised classification network trained using the segmented micrographs from Step $1$ with their identified labels verified via the built-in uncertainty quantification and minimal human inspection; (3) supervised segmentation (more powerful than the segmentation in Step $1$) of multiphase microstructures through a segmentation network trained with micrographs and the results from Steps $1$-$2$ using a form of data augmentation. This framework can iteratively characterize/segment new homogeneous or multiphase materials while expanding the database to enhance performance. The framework is demonstrated on various sets of materials and texture images.
Uncertainty-Aware Adaptation of Large Language Models for Protein-Protein Interaction Analysis
Authors: Sanket Jantre, Tianle Wang, Gilchan Park, Kriti Chopra, Nicholas Jeon, Xiaoning Qian, Nathan M. Urban, Byung-Jun Yoon
Date: 2025-02-10 00:00:00
Tasks: Uncertainty Quantification

Identification of protein-protein interactions (PPIs) helps derive cellular mechanistic understanding, particularly in the context of complex conditions such as neurodegenerative disorders, metabolic syndromes, and cancer. Large Language Models (LLMs) have demonstrated remarkable potential in predicting protein structures and interactions via automated mining of vast biomedical literature; yet their inherent uncertainty remains a key challenge for deriving reproducible findings, critical for biomedical applications. In this study, we present an uncertainty-aware adaptation of LLMs for PPI analysis, leveraging fine-tuned LLaMA-3 and BioMedGPT models. To enhance prediction reliability, we integrate LoRA ensembles and Bayesian LoRA models for uncertainty quantification (UQ), ensuring confidence-calibrated insights into protein behavior. Our approach achieves competitive performance in PPI identification across diverse disease contexts while addressing model uncertainty, thereby enhancing trustworthiness and reproducibility in computational biology. These findings underscore the potential of uncertainty-aware LLM adaptation for advancing precision medicine and biomedical research.
Multi-scale Masked Autoencoder for Electrocardiogram Anomaly Detection
Authors: Ya Zhou, Yujie Yang, Jianhuang Gan, Xiangjie Li, Jing Yuan, Wei Zhao
Date: 2025-02-08 00:00:00
Tasks: Anomaly Detection

Electrocardiogram (ECG) analysis is a fundamental tool for diagnosing cardiovascular conditions, yet anomaly detection in ECG signals remains challenging due to their inherent complexity and variability. We propose Multi-scale Masked Autoencoder for ECG anomaly detection (MMAE-ECG), a novel end-to-end framework that effectively captures both global and local dependencies in ECG data. Unlike state-of-the-art methods that rely on heartbeat segmentation or R-peak detection, MMAE-ECG eliminates the need for such pre-processing steps, enhancing its suitability for clinical deployment. MMAE-ECG partitions ECG signals into non-overlapping segments, with each segment assigned learnable positional embeddings. A novel multi-scale masking strategy and multi-scale attention mechanism, along with distinct positional embeddings, enable a lightweight Transformer encoder to effectively capture both local and global dependencies. The masked segments are then reconstructed using a single-layer Transformer block, with an aggregation strategy employed during inference to refine the outputs. Experimental results demonstrate that our method achieves performance comparable to state-of-the-art approaches while significantly reducing computational complexity-approximately 1/78 of the floating-point operations (FLOPs) required for inference. Ablation studies further validate the effectiveness of each component, highlighting the potential of multi-scale masked autoencoders for anomaly detection.
Analyzing Geospatial and Socioeconomic Disparities in Breast Cancer Screening Among Populations in the United States: Machine Learning Approach
Authors: Soheil Hashtarkhani, Yiwang Zhou, Fekede Asefa Kumsa, Shelley White-Means, David L Schwartz, Arash Shaban-Nejad
Date: 2025-01-30 00:00:00

Breast cancer screening plays a pivotal role in early detection and subsequent effective management of the disease, impacting patient outcomes and survival rates. This study aims to assess breast cancer screening rates nationwide in the United States and investigate the impact of social determinants of health on these screening rates. Data on mammography screening at the census tract level for 2018 and 2020 were collected from the Behavioral Risk Factor Surveillance System. We developed a large dataset of social determinants of health, comprising 13 variables for 72337 census tracts. Spatial analysis employing Getis-Ord Gi statistics was used to identify clusters of high and low breast cancer screening rates. To evaluate the influence of these social determinants, we implemented a random forest model, with the aim of comparing its performance to linear regression and support vector machine models. The models were evaluated using R2 and root mean squared error metrics. Shapley Additive Explanations values were subsequently used to assess the significance of variables and direction of their influence. Geospatial analysis revealed elevated screening rates in the eastern and northern United States, while central and midwestern regions exhibited lower rates. The random forest model demonstrated superior performance, with an R2=64.53 and root mean squared error of 2.06 compared to linear regression and support vector machine models. Shapley Additive Explanations values indicated that the percentage of the Black population, the number of mammography facilities within a 10-mile radius, and the percentage of the population with at least a bachelor's degree were the most influential variables, all positively associated with mammography screening rates.
Causal Additive Models with Unobserved Causal Paths and Backdoor Paths
Authors: Thong Pham, Takashi Nicholas Maeda, Shohei Shimizu
Date: 2025-02-11 00:00:00
Tasks: Additive models, Causal Discovery, regression

Causal additive models have been employed as tractable yet expressive frameworks for causal discovery involving hidden variables. State-of-the-art methodologies suggest that determining the causal relationship between a pair of variables is infeasible in the presence of an unobserved backdoor or an unobserved causal path. Contrary to this assumption, we theoretically show that resolving the causal direction is feasible in certain scenarios by incorporating two novel components into the theory. The first component introduces a novel characterization of regression sets within independence between regression residuals. The second component leverages conditional independence among the observed variables. We also provide a search algorithm that integrates these innovations and demonstrate its competitive performance against existing methods.
Distributional Instrumental Variable Method
Authors: Anastasiia Holovchak, Sorawit Saengkyongam, Nicolai Meinshausen, Xinwei Shen
Date: 2025-02-11 00:00:00

The instrumental variable (IV) approach is commonly used to infer causal effects in the presence of unmeasured confounding. Existing methods typically aim to estimate the mean causal effects, whereas a few other methods focus on quantile treatment effects. The aim of this work is to estimate the entire interventional distribution. We propose a method called Distributional Instrumental Variable (DIV), which uses generative modelling in a nonlinear IV setting. We establish identifiability of the interventional distribution under general assumptions and demonstrate an 'under-identified' case, where DIV can identify the causal effects while two-step least squares fails to. Our empirical results show that the DIV method performs well for a broad range of simulated data, exhibiting advantages over existing IV approaches in terms of the identifiability and estimation error of the mean or quantile treatment effects. Furthermore, we apply DIV to an economic data set to examine the causal relation between institutional quality and economic development and our results align well with the original study. We also apply DIV to a single-cell data set, where we study the generalizability and stability in predicting gene expression under unseen interventions. The software implementations of DIV are available in R and Python.