Publications associées à Affine Processes On Positive Semidefinite Matrices

Machine Learning for Modeling Stock Returns

Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...

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Functional connectomes (FCs) containing pairwise estimations of functional couplings between pairs of brain regions are commonly represented by correlation matrices. As symmetric positive definite matrices, FCs can be transformed via tangent space projecti ...

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IMPROVED VARIANTS OF THE HUTCH plus plus ALGORITHM FOR TRACE ESTIMATION

Daniel Kressner, Ulf David Persson, Alice Cortinovis

This paper is concerned with two improved variants of the Hutch++ algorithm for estimating the trace of a square matrix, implicitly given through matrix-vector products. Hutch++ combines randomized low-rank approximation in a first phase with stochastic tr ...

SIAM PUBLICATIONS2022

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This thesis focuses on non-parametric covariance estimation for random surfaces, i.e.~functional data on a two-dimensional domain. Non-parametric covariance estimation lies at the heart of functional data analysis, andconsiderations of statistical and comp ...

EPFL2022

On Randomized Trace Estimates for Indefinite Matrices with an Application to Determinants

Daniel Kressner, Alice Cortinovis

Randomized trace estimation is a popular and well-studied technique that approximates the trace of a large-scale matrix B by computing the average of x(T) Bx for many samples of a random vector X. Often, B is symmetric positive definite (SPD) but a number ...

2021

On maximum volume submatrices and cross approximation for symmetric semidefinite and diagonally dominant matrices

Daniel Kressner, Stefano Massei, Alice Cortinovis

The problem of finding a k x k submatrix of maximum volume of a matrix A is of interest in a variety of applications. For example, it yields a quasi-best low-rank approximation constructed from the rows and columns of A. We show that such a submatrix can a ...

ELSEVIER SCIENCE INC2020

Informed Trading in the Stock Market and Option Price Discovery

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When activist shareholders file Schedule 13D filings, the average excess return on target stocks is 6% and stock price volatility drops by about 10%. Prior to filing days, volatility (price) information is reflected in option (stock) prices. Using a compre ...

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MATHICSE Technical Report : On maximum volume submatrices and cross approximation for symmetric semidefinite and diagonally dominant matrices

Daniel Kressner, Stefano Massei, Alice Cortinovis

The problem of finding a

k\times k

submatrix of maximum volume of a matrix A is of interest in a variety of applications. For example, it yields a quasi-best low-rank approximation constructed from the rows and columns of A. We show that such a submatrix ...

MATHICSE2019

Global eigenvalue distribution of matrices defined by the skew-shift

Marius Christopher Lemm

We consider large Hermitian matrices whose entries are defined by evaluating the exponential function along orbits of the skew-shift

\binom{j}{2} \omega+jy+x \mod 1

for irrational

\omega

. We prove that the eigenvalue distribution of these matrices conv ...

2019

Rational Krylov for Stieltjes matrix functions: convergence and pole selection

Stefano Massei

Evaluating the action of a matrix function on a vector, that is

x=f(\mathcal M)v

, is an ubiquitous task in applications. When

\mathcal M

is large, one usually relies on Krylov projection methods. In this paper, we provide effective choices for the pole ...

2019

Affine Processes On Positive Semidefinite Matrices

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Machine Learning for Modeling Stock Returns

Tangent functional connectomes uncover more unique phenotypic traits

IMPROVED VARIANTS OF THE HUTCH plus plus ALGORITHM FOR TRACE ESTIMATION

Covariance Estimation for Random Surfaces beyond Separability

On Randomized Trace Estimates for Indefinite Matrices with an Application to Determinants

On maximum volume submatrices and cross approximation for symmetric semidefinite and diagonally dominant matrices

Informed Trading in the Stock Market and Option Price Discovery

MATHICSE Technical Report : On maximum volume submatrices and cross approximation for symmetric semidefinite and diagonally dominant matrices

Global eigenvalue distribution of matrices defined by the skew-shift

Rational Krylov for Stieltjes matrix functions: convergence and pole selection

Machine Learning for Modeling Stock Returns

Global eigenvalue distribution of matrices defined by the skew-shift

Tangent functional connectomes uncover more unique phenotypic traits

IMPROVED VARIANTS OF THE HUTCH plus plus ALGORITHM FOR TRACE ESTIMATION

On Randomized Trace Estimates for Indefinite Matrices with an Application to Determinants

On maximum volume submatrices and cross approximation for symmetric semidefinite and diagonally dominant matrices

MATHICSE Technical Report : On maximum volume submatrices and cross approximation for symmetric semidefinite and diagonally dominant matrices

Informed Trading in the Stock Market and Option Price Discovery

Covariance Estimation for Random Surfaces beyond Separability

Rational Krylov for Stieltjes matrix functions: convergence and pole selection