7 papers
Directionally Correct Views in Portfolio Optimization
Ojas Kumar, Sreejit Dey, Sarvesh Ravichandran Iyer +1
Portfolio optimization techniques often use historical data to estimate parameters for Markowitz-type or ML models. Effective allocation requires a way to align the available data…
Bias correcting transaction cost models for characteristic function based estimators
Abhik Rana, Sarvesh Ravichandran Iyer, Sandeep Juneja
Effective transaction cost is a necessary step for devising any competing financial trading strategy in the absence of quote data. Classically, Roll's model estimated the transacti…
AdaWeather: Adaptively Mixing Probabilistic Weather Forecasts with Logarithmic Regret
Saptarishi Dhanuka, Sarvesh Iyer, Manmeet Singh +5
Recent advances in machine learning have produced probabilistic weather forecasting models comparable to state-of-the-art numerical weather predictors. But no model consistently do…
Generating DDPM-based Samples from Tilted Distributions
Himadri Mandal, Dhruman Gupta, Rushil Gupta +5
Given independent samples from a -dimensional probability distribution, our aim is to generate diffusion-based samples from a distribution obtained by tilting the original,…
Fast random sampling and small noise analysis for stochastic control models
Sarvesh Ravichandran Iyer, Vivek Kumar
In this paper, we study a linear control system with a given state feedback law. The system is influenced by rapid random sampling occurring at frequency $\frac 1n, n \in \mathbb N…
Fundamental limits for weighted empirical approximations of tilted distributions
Sarvesh Ravichandran Iyer, Himadri Mandal, Dhruman Gupta +5
Consider the task of generating samples from a tilted distribution of a random vector whose underlying distribution is unknown, but samples from it are available. This finds applic…
The martingale problem for geometric stable-like processes
Sarvesh Ravichandran Iyer
We prove that the martingale problem is well posed for pure-jump Lévy-type operators of the form $$ (\mathcal Lf)(x) = \int_{\mathbb R^d \setminus \{0\}} \left(f(x+h)-f(x) - (\nabl…