game-theory

Kyle's Market Micro-architecture Model

The trading behavior in a market is often backed by asymmetric information, making the market a asymmetric game. Albert S. Kyle proposed a micro-structure formulation in 1985, stating that such market consists of three players: an insider, a random noise trader, and a market maker. His successors also proved that there exist an equilibrium with additional conditions. In this post, we will discuss the formulation of Kyle’s model formulated as an extensive form game and an Optimal-Transport based setting of equilibrium.

diffusion

Notes on ScoreGrad

ScoreGrad is a EBM make use of iterative conditional SDE sampling via diffusion to perform multi-variate probabilistic time series prediction. Basically it uses RNN/LSTM/GRU to encode past time series as a condition and sample a probability distribution of predicting time series based on this.

NeRF

[Reading]PARIS: Part-level Reconstruction and Motion Analysis for Articulated Objects

ABSTRACT: This paper introduces a self-supervised, end-to-end architecture that learns part-level implicit shape and appearance models and optimizes motion parameters jointly without requiring any 3D supervision, motion, or semantic annotation. The training process is similar to original NeRF but and extend the ray marching and volumetric rendering procedure to compose the two fields.