{"title":"Clustered Feature Importance (Presentation Slides)","authors":"Marcos M. López de Prado","doi":"10.2139/ssrn.3517595","DOIUrl":"https://doi.org/10.2139/ssrn.3517595","url":null,"abstract":"A substitution effect takes place when two or more explanatory variables share a substantial amount of information (predictive power). \u0000 \u0000Under the presence of substitution effects, feature importance methods may not be able to determine robustly which variables are significant. \u0000 \u0000This presentation discusses the Clustered Feature Importance (CFI) method, which is robust to linear as well as non-linear substitution effects.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114056782","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The CV Makes the Difference – Control Variates for Neural Networks","authors":"Joerg Kienitz, S. Acar, Qian Liang, N. Nowaczyk","doi":"10.2139/ssrn.3527314","DOIUrl":"https://doi.org/10.2139/ssrn.3527314","url":null,"abstract":"We consider the application of a control variate technique for Deep Learning. In analogy to applications for Monte Carlo simulation or Fourier integration methods, this technique improves the quality of deep learning applied to option pricing problems. Many well known approximation methods are limited for practical applications but can be used as a control variate. For instance approximation formulas for SABR or the Black-Scholes price when pricing options in the Heston model. The neural network is only applied to calculate the difference to an accurate numerical method. In this way we increase the accuracy of applying neural nets since a large portion of the price is already mimicked by the control variate. This may result in a higher acceptance of such numerical techniques for financial applications.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128801885","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Modelling an Intelligent Schemes for Black Money versus Poverty Using Fuzzy Cognitive Map","authors":"S. Das, M. Sanyal, Debamoy Datta","doi":"10.2139/ssrn.3526701","DOIUrl":"https://doi.org/10.2139/ssrn.3526701","url":null,"abstract":"The economy of the world, its association with poverty and black money has been a long untold story that used to have a major contribution in shaping our society but only a little scientific analysis was available in past centuries. In the present decade, the focus has again been diverted to these topics and an in-depth study has been made on various issues that can’t be described exactly by the mathematical models developed so far. The major tool in shaping this science is Fuzzy Cognitive maps. It has been applied to wide areas including decision-making, managing, and study of the different complicated processes where measurements are not available or imprecise. This tool can be used to simulate a very complicated process that is experimentally infeasible. The present study revolves around the fact that using FCM along with the intuition behind the process, highly accurate models can be developed that exactly predicts the future with a very minimal degree of uncertainty. Various concepts related to the economy has been used to develop this model and results are astounding, based on the results solution to the present-day problems has also been proposed.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"98 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131222770","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Backwardness Advantage and Economic Growth in the Information Age: A Cross-Country Empirical Study","authors":"K. Vu, S. Asongu","doi":"10.2139/ssrn.3656827","DOIUrl":"https://doi.org/10.2139/ssrn.3656827","url":null,"abstract":"This paper seeks to gain insights into whether developing countries benefit more from the backwardness advantage for economic growth in the Information Age. The paper examines this concern through three complementary approaches. First, it derives theoretical grounds from the existing economic models to support the hypothesis that the internet, inter alia, enables developing countries to reap greater growth gains from technology acquisition and catch-up. Second, the paper uses descriptive evidence to show that the growth landscape has indeed shifted decisively in favor of developing countries in the Internet Age in comparison to the pre-internet period. Third, using rigorous econometric techniques with data of 163 countries over a 20-year period, 1996-2016, the paper evidences that developing countries on average reap significantly greater growth gains from internet adoption in comparison to the average advanced country. The paper discusses policy implications from the paper’s findings.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"331 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116646548","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Dining Philosophers, Byzantine Generals, and the Various Nodes, Users, and Citizens under Blockchain Rule","authors":"D. Kera","doi":"10.33166/aetic.2019.05.001","DOIUrl":"https://doi.org/10.33166/aetic.2019.05.001","url":null,"abstract":"Agreements, consensuses, protocols, resource-sharing, and fairness are all examples of social and political metaphors that define and shape new computational algorithms. The thought experiments and allegories about resource-sharing or agreement between nodes played a vital role in the development of \"concurrent programming\" (enabling processor power-sharing and process synchronization) and still later in the development of distributed computing (facilitating data access and synchronization). These paved the way for current concepts of consensus mechanisms, smart contracts, and other descriptions of cryptocurrencies, blockchain, distributed ledger, and hashgraph technologies, paradoxically reversing the relations between metaphor and artifact. New computing concepts and algorithmic processes, such as consensus mechanisms, trustless networks, and automated smart contracts or DAOs (Distributed Autonomous Organizations), aim to disrupt social contracts and political decision-making and replace economic, social, and political institutions (e.g., law, money, voting). Rather than something that needs a metaphor, algorithms are becoming the metaphor of good governance. Current fantasies of algorithmic governance exemplify this reversal of the role played by metaphors: they reduce all concepts of governance to automation and curtail opportunities for defining new computing challenges inspired by the original allegories, thought experiments, and metaphors. Especially now, when we are still learning how best to govern the transgressions and excesses of emerging distributed ledger technologies, productive relations between software and allegory, algorithms and metaphors, code and law are possible so long as they remain transitive. Against this tyranny of algorithms and technologies as metaphors and aspirational models of governance, we propose sandboxes and environments that allow stakeholders to combine prototyping with deliberation, algorithms with metaphors, codes with regulations.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130187280","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Moments of Student's t-distribution: A Unified Approach","authors":"J. Kirkby, Dang Nguyen, D. Nguyen","doi":"10.2139/ssrn.3497188","DOIUrl":"https://doi.org/10.2139/ssrn.3497188","url":null,"abstract":"In this note, we derive the closed form formulae for moments of Student's t-distribution in the one dimensional case as well as in higher dimensions through a unified probability framework. Interestingly, the closed form expressions for the moments of Student's t-distribution can be written in terms of the familiar Gamma function, Kummer's confluent hypergeometric function, and the hypergeometric function.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123420609","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Adolfo E. Carbal Herrera, Carmen Rosales García, Yury Marcela Guevara Huertas, Jaime Yasser Ochoa Uparela
{"title":"Una base conceptual para la construcción de un modelo matemático borroso para la medición de impactos sociales (A Conceptual Base for the Construction of a Dumb Mathematical Model for the Measurement of Social Impacts)","authors":"Adolfo E. Carbal Herrera, Carmen Rosales García, Yury Marcela Guevara Huertas, Jaime Yasser Ochoa Uparela","doi":"10.18601/16577175.n25.02","DOIUrl":"https://doi.org/10.18601/16577175.n25.02","url":null,"abstract":"El presente documento hace parte de los resultados de un trabajo de investigacion en curso, el cual tiene por objeto desarrollar una metodologia de medicion de impactos sociales bajo matematica borrosa. En este se presentan los resultados asociados a una exploracion sistematica de literatura, que permitio sintetizar los desarrollos conceptuales en este campo del saber. Tambien los autores plantean un nuevo concepto basado en un ejercicio de analisis y sintesis e identifican las principales variables asociadas a este, esto como base conceptual para la construccion de un modelo de medicion. Se concluye que la evaluacion de impacto social es un campo de estudio en crecimiento, que busca consolidar un marco teorico, realidad que hace relevante el siguiente trabajo.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"81 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116261135","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A New Investment Method with Autoencoder: Applications to Cryptocurrencies","authors":"M. Nakano, Akihiko Takahashi","doi":"10.2139/ssrn.3473684","DOIUrl":"https://doi.org/10.2139/ssrn.3473684","url":null,"abstract":"This paper proposes a novel approach to the portfolio management using an AutoEncoder. In particular, the features learned by an AutoEncoder with ReLU are directly exploited to the portfolio construction. Since the AutoEncoder extracts the characteristics of the data through the non-linear activation function ReLU, its realization is generally difficult due to the non-linear transformation procedure. In the current paper, we solve this problem by taking full advantage of the similarity of the ReLU and the option payoff. Especially, this paper shows that the features are successfully replicated by applying so-called the dynamic delta hedging strategy. An out of sample simulation with crypto currency dataset shows the effectiveness of our proposed strategy. Furthermore, we investigate the background of our proposed methodology, which suggests that the first principal component is quite important.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"100 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127275457","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Peer Awards Increase User Content Generation but Reduce Content Novelty","authors":"Gordon Burtch, Qinglai He, Y. Hong, Dokyun Lee","doi":"10.2139/ssrn.3465879","DOIUrl":"https://doi.org/10.2139/ssrn.3465879","url":null,"abstract":"Platforms that depend on user-generated content spend a great deal of effort crafting policies and mechanisms that can yield a steady stream of engaging content. In this work, we consider the effects of awards offered by peers, a feature that many platforms provide to enable users to recognize the quality of their peers’ contributions. We conduct a large-scale field experiment on Reddit, one of the largest social news aggregation and discussion platforms in the world and evaluate the effect of peer awards on content generation in terms of both volume and novelty. We leverage Reddit’s native peer award feature, the Gold Award, purchasing and randomly assigning Gold to 905 posts, anonymously, over the course of two months. We collect and analyze users’ behavioral trace data and posting content over the period leading up to and following our treatments via Reddit’s API. We find that, on average, peer awards raise the probability that treated subjects will make additional Reddit posts by 6.6%, in addition to lengthening treated subjects’ posts by approximately 39.6%. Interestingly, however, we also observe that the content users post under treatment exhibits greater similarity to past content (particularly the intervention post), indicating a decline in novelty. Based on this result, we conclude that peer awards are a double-edged sword. On the one hand, they foster increased engagement and content production among recipients. On the other hand, the additional content that awards elicit is less novel.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133865276","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Energy Efficient Computing for Smart Phones in Cloud Assisted Environment","authors":"N. Arya, S. Choudhary, S. Taruna","doi":"10.2139/ssrn.3474900","DOIUrl":"https://doi.org/10.2139/ssrn.3474900","url":null,"abstract":"In recent years, the employment of smart mobile phones has increased enormously and are concerned as an area of human life. Smartphones are capable to support immense range of complicated and intensive applications results shortened power capability and fewer performance. Mobile cloud computing is the newly rising paradigm integrates the features of cloud computing and mobile computing to beat the constraints of mobile devices. Mobile cloud computing employs computational offloading that migrates the computations from mobile devices to remote servers. In this paper, a novel model is proposed for dynamic task offloading to attain the energy optimization and better performance for mobile applications in the cloud environment. The paper proposed an optimum offloading algorithm by introducing new criteria such as benchmarking for offloading decision making. It also supports the concept of partitioning to divide the computing problem into various sub-problems. These sub-problems can be executed parallelly on mobile device and cloud. Performance evaluation results proved that the proposed model can reduce around 20% to 53% energy for low complexity problems and up to 98% for high complexity problems.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122919982","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}