We investigate the statistical evidence for the use of `rough' fractional processes with Hurst exponent $H< 0.5$ for the modeling of volatility of financial assets, using a model-free approach. We introduce a non-parametric method for estimating the roughness of a function based on discrete sample, using the concept of normalized $p$-th variation along a sequence of partitions. We investigate the finite sample performance of our estimator for measuring the roughness of sample paths of stochastic processes using detailed numerical experiments based on sample paths of fractional Brownian motion and other fractional processes. We then apply this method to estimate the roughness of realized volatility signals based on high-frequency observations. Detailed numerical experiments based on stochastic volatility models show that, even when the instantaneous volatility has diffusive dynamics with the same roughness as Brownian motion, the realized volatility exhibits rough behaviour corresponding to a Hurst exponent significantly smaller than $0.5$. Comparison of roughness estimates for realized and instantaneous volatility in fractional volatility models with different values of Hurst exponent shows that, irrespective of the roughness of the spot volatility process, realized volatility always exhibits `rough' behaviour with an apparent Hurst index $\hat{H}<0.5$. These results suggest that the origin of the roughness observed in realized volatility time-series lies in the microstructure noise rather than the volatility process itself.
The aim of this paper is to combine several Ivev-like modal systems characterized by 4-valued non-deterministic matrices (Nmatrices) with IDM4, a 4-valued expansion of Belnap-Dunn's logic FDE with an implication introduced by Pynko in 1999. In order to to this, we introduce a new methodology for combining logics which are characterized by means of swap structures, based on what we call superposition of snapshots. In particular, the combination of IDM4 with Tm, the 4-valued Ivlev's version of KT, will be analyzed with more details. From the semantical perspective, the idea is to combine the 4-valued swap structures (Nmatrices) for Tm (and several of its extensions) with the 4-valued twist structure (logical matrix) for IDM4. This superposition produces a universe of 6 snapshots, with 3 of them being designated. The multioperators over the new universe are defined by combining the specifications of the given swap and twist structures. This gives origin to 6 different paradefinite Ivlev-like modal logics, each one of them characterized by a 6-valued Nmatrix, and conservatively extending the original modal logic and IDM4. This important feature allows us to consider the proposed construction as a genuine technique for combining logics. In addition, it is possible to define in the combined logics a classicality operator in the sense of logics of evidence and truth (LETs). A sound and complete Hilbert-style axiomatization is also presented for the 6 combined systems, as well as a very simple Prolog program which implements the swap structures semantics for the 6 systems, which gives a decision procedure for satisfiability, refutability and validity of formulas in these logics.
We present a framework for approximate Bayesian inference when only a limited number of noisy log-likelihood evaluations can be obtained due to computational constraints, which is becoming increasingly common for applications of complex models. We model the log-likelihood function using a Gaussian process (GP) and the main methodological innovation is to apply this model to emulate the progression that an exact Metropolis-Hastings (MH) sampler would take if it was applicable. Informative log-likelihood evaluation locations are selected using a sequential experimental design strategy until the MH accept/reject decision is done accurately enough according to the GP model. The resulting approximate sampler is conceptually simple and sample-efficient. It is also more robust to violations of GP modelling assumptions compared with earlier, related "Bayesian optimisation-like" methods tailored for Bayesian inference. We discuss some theoretical aspects and various interpretations of the resulting approximate MH sampler, and demonstrate its benefits in the context of Bayesian and generalised Bayesian likelihood-free inference for simulator-based statistical models.
Existing emotion prediction benchmarks contain coarse emotion labels which do not consider the diversity of emotions that an image and text can elicit in humans due to various reasons. Learning diverse reactions to multimodal content is important as intelligent machines take a central role in generating and delivering content to society. To address this gap, we propose Socratis, a \underline{soc}ietal \underline{r}e\underline{a}c\underline{ti}on\underline{s} benchmark, where each image-caption (IC) pair is annotated with multiple emotions and the reasons for feeling them. Socratis contains 18K free-form reactions for 980 emotions on 2075 image-caption pairs from 5 widely-read news and image-caption (IC) datasets. We benchmark the capability of state-of-the-art multimodal large language models to generate the reasons for feeling an emotion given an IC pair. Based on a preliminary human study, we observe that humans prefer human-written reasons over 2 times more often than machine-generated ones. This shows our task is harder than standard generation tasks because it starkly contrasts recent findings where humans cannot tell apart machine vs human-written news articles, for instance. We further see that current captioning metrics based on large vision-language models also fail to correlate with human preferences. We hope that these findings and our benchmark will inspire further research on training emotionally aware models.
Gaussian elimination (GE) is the most used dense linear solver. Error analysis of GE with selected pivoting strategies on well-conditioned systems can focus on studying the behavior of growth factors. Although exponential growth is possible with GE with partial pivoting (GEPP), growth tends to stay much smaller in practice. Support for this behavior was provided last year by Huang and Tikhomirov's average-case analysis of GEPP, which showed GEPP growth factors stay at most polynomial with very high probability when using small Gaussian perturbations. GE with complete pivoting (GECP) has also seen a lot of recent interest, with recent improvements to lower bounds on worst-case GECP growth provided by Edelman and Urschel earlier this year. We are interested in studying how GEPP and GECP behave on the same linear systems as well as studying large growth on particular subclasses of matrices, including orthogonal matrices. We will also study systems when GECP leads to larger growth than GEPP, which will lead to new empirical lower bounds on how much worse GECP can behave compared to GEPP in terms of growth. We also present an empirical study on a family of exponential GEPP growth matrices whose polynomial behavior in small neighborhoods limits to the initial GECP growth factor.
This paper addresses a mathematically tractable model of the Prisoner's Dilemma using the framework of active inference. In this work, we design pairs of Bayesian agents that are tracking the joint game state of their and their opponent's choices in an Iterated Prisoner's Dilemma game. The specification of the agents' belief architecture in the form of a partially-observed Markov decision process allows careful and rigourous investigation into the dynamics of two-player gameplay, including the derivation of optimal conditions for phase transitions that are required to achieve certain game-theoretic steady states. We show that the critical time points governing the phase transition are linearly related to each other as a function of learning rate and the reward function. We then investigate the patterns that emerge when varying the agents' learning rates, as well as the relationship between the stochastic and deterministic solutions to the two-agent system.
As the development of formal proofs is a time-consuming task, it is important to devise ways of sharing the already written proofs to prevent wasting time redoing them. One of the challenges in this domain is to translate proofs written in proof assistants based on impredicative logics to proof assistants based on predicative logics, whenever impredicativity is not used in an essential way. In this paper we present a transformation for sharing proofs with a core predicative system supporting prenex universe polymorphism (like in Agda). It consists in trying to elaborate a potentially impredicative term into a predicative universe polymorphic term as general as possible. The use of universe polymorphism is justified by the fact that mapping each universe to a fixed one in the target theory is not sufficient in most cases. During the algorithm, we need to solve unification problems in the equational theory of universe levels. In order to do this, we give a complete characterization of when a single equation admits a most general unifier. This characterization is then employed in an algorithm which uses a constraint-postponement strategy to solve unification problems. The proposed translation is of course partial, but in practice allows one to translate many proofs that do not use impredicativity in an essential way. Indeed, it was implemented in the tool Predicativize and then used to translate semi-automatically many non-trivial developments from Matita's arithmetic library to Agda, including proofs of Bertrand's Postulate and Fermat's Little Theorem, which (as far as we know) were not available in Agda yet.
Enumeration problems are often encountered as key subroutines in the exact computation of graph parameters such as chromatic number, treewidth, or treedepth. In the case of treedepth computation, the enumeration of inclusion-wise minimal separators plays a crucial role. However and quite surprisingly, the complexity status of this problem has not been settled since it has been posed as an open direction by Kloks and Kratsch in 1998. Recently at the PACE 2020 competition dedicated to treedepth computation, solvers have been circumventing that by listing all minimal $a$-$b$ separators and filtering out those that are not inclusion-wise minimal, at the cost of efficiency. Naturally, having an efficient algorithm for listing inclusion-wise minimal separators would drastically improve such practical algorithms. In this note, however, we show that no efficient algorithm is to be expected from an output-sensitive perspective, namely, we prove that there is no output-polynomial time algorithm for inclusion-wise minimal separators enumeration unless P = NP.
We consider spin systems on general $n$-vertex graphs of unbounded degree and explore the effects of spectral independence on the rate of convergence to equilibrium of global Markov chains. Spectral independence is a novel way of quantifying the decay of correlations in spin system models, which has significantly advanced the study of Markov chains for spin systems. We prove that whenever spectral independence holds, the popular Swendsen--Wang dynamics for the $q$-state ferromagnetic Potts model on graphs of maximum degree $\Delta$, where $\Delta$ is allowed to grow with $n$, converges in $O((\Delta \log n)^c)$ steps where $c > 0$ is a constant independent of $\Delta$ and $n$. We also show a similar mixing time bound for the block dynamics of general spin systems, again assuming that spectral independence holds. Finally, for monotone spin systems such as the Ising model and the hardcore model on bipartite graphs, we show that spectral independence implies that the mixing time of the systematic scan dynamics is $O(\Delta^c \log n)$ for a constant $c>0$ independent of $\Delta$ and $n$. Systematic scan dynamics are widely popular but are notoriously difficult to analyze. Our result implies optimal $O(\log n)$ mixing time bounds for any systematic scan dynamics of the ferromagnetic Ising model on general graphs up to the tree uniqueness threshold. Our main technical contribution is an improved factorization of the entropy functional: this is the common starting point for all our proofs. Specifically, we establish the so-called $k$-partite factorization of entropy with a constant that depends polynomially on the maximum degree of the graph.
When testing a statistical hypothesis, is it legitimate to deliberate on the basis of initial data about whether and how to collect further data? Game-theoretic probability's fundamental principle for testing by betting says yes, provided that you are testing by betting and do not risk more capital than initially committed. Standard statistical theory uses Cournot's principle, which does not allow such optional continuation. Cournot's principle can be extended to allow optional continuation when testing is carried out by multiplying likelihood ratios, but the extension lacks the simplicity and generality of testing by betting. Game-theoretic probability can also help us with descriptive data analysis. To obtain a purely and honestly descriptive analysis using competing probability distributions, we have them bet against each other using the Kelly principle. The place of confidence intervals is then taken by a sets of distributions that do relatively well in the competition. In the simplest implementation, these sets coincide with R. A. Fisher's likelihood intervals.
We introduce an algorithm for estimating the trace of a matrix function $f(\mathbf{A})$ using implicit products with a symmetric matrix $\mathbf{A}$. Existing methods for implicit trace estimation of a matrix function tend to treat matrix-vector products with $f(\mathbf{A})$ as a black-box to be computed by a Krylov subspace method. Like other recent algorithms for implicit trace estimation, our approach is based on a combination of deflation and stochastic trace estimation. However, we take a closer look at how products with $f(\mathbf{A})$ are integrated into these approaches which enables several efficiencies not present in previously studied methods. In particular, we describe a Krylov subspace method for computing a low-rank approximation of a matrix function by a computationally efficient projection onto Krylov subspace.