Sodium-ion batteries (SIBs) are suitable candidates for the field of large-scale energy storage due to infinite global reserves and low-cost of sodium. Prussian blue (PB) and its analogues are promising cathode materials for SIBs because of their environmental friendliness, open framework, and...

This paper develops a new neural network architecture for modeling spatial distributions (i.e., distributions on R^d) which is computationally efficient. The design of the architecture takes advantage of the specific structure of limit order books. The new architecture, which we refer to as a...

We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated firm-by-firm default timing. We prove a weak convergence result for the fluctuation process and use it for developing a conditionally Gaussian approximation to the...

Using a large-scale Deep Learning approach applied to a high-frequency database containing billions of electronic market quotes and transactions for US equities, we uncover nonparametric evidence for the existence of a universal and stationary price formation mechanism relating the dynamics of...

We treat the parameter estimation problem for mean-field models of large interacting financial systems such as the banking system and a pool of assets held by an institution or backing a security. We develop an asymptotic inference approach that addresses the scale and complexity of such...

Financial institutions, government-sponsored enterprises, and asset-backed security in- vestors are often exposed to delinquency and prepayment risk from large numbers of loans. Examples include mortgages, credit cards, auto, student, and business loans. Due to the size of the pools, the...

We examine the behavior of mortgage borrowers over several economic cycles using an unprecedented dataset of origination and monthly performance records for over 120 million mortgages originated across the US between 1995 and 2014. Our deep learning model of multi-period mortgage delinquency,...