Yi Tang

h-index20
2papers
2,718citations

2 Papers

3.3CCSep 9, 2021
Improved Hardness of BDD and SVP Under Gap-(S)ETH

Huck Bennett, Chris Peikert, Yi Tang

We show improved fine-grained hardness of two key lattice problems in the $\ell_p$ norm: Bounded Distance Decoding to within an $α$ factor of the minimum distance ($\mathrm{BDD}_{p, α}$) and the (decisional) $γ$-approximate Shortest Vector Problem ($\mathrm{SVP}_{p,γ}$), assuming variants of the Gap (Strong) Exponential Time Hypothesis (Gap-(S)ETH). Specifically, we show: 1. For all $p \in [1, \infty)$, there is no $2^{o(n)}$-time algorithm for $\mathrm{BDD}_{p, α}$ for any constant $α> α_\mathsf{kn}$, where $α_\mathsf{kn} = 2^{-c_\mathsf{kn}}$ and $c_\mathsf{kn}$ is the $\ell_2$ kissing-number constant, assuming $c_\mathsf{kn} > 0$ and that non-uniform Gap-ETH holds. 2. For all $p \in [1, \infty)$, there is no $2^{o(n)}$-time algorithm for $\mathrm{BDD}_{p, α}$ for any constant $α> α^\ddagger_p$, where $α^\ddagger_p$ is explicit and satisfies $α^\ddagger_p = 1$ for $1 \leq p \leq 2$, $α^\ddagger_p < 1$ for all $p > 2$, and $α^\ddagger_p \to 1/2$ as $p \to \infty$, unless randomized Gap-ETH is false. 3. For all $p \in [1, \infty) \setminus 2 \mathbb{Z}$ and all $C > 1$, there is no $2^{n/C}$-time algorithm for $\mathrm{BDD}_{p, α}$ for any constant $α> α^\dagger_{p, C}$, where $α^\dagger_{p, C}$ is explicit and satisfies $α^\dagger_{p, C} \to 1$ as $C \to \infty$ for any fixed $p \in [1, \infty)$, assuming $c_\mathsf{kn} > 0$ and that non-uniform Gap-SETH holds. 4. For all $p > p_0 \approx 2.1397$, $p \notin 2\mathbb{Z}$, and all $C > C_p$, there is no $2^{n/C}$-time algorithm for $\mathrm{SVP}_{p, γ}$ for some constant $γ> 1$, where $C_p > 1$ is explicit and satisfies $C_p \to 1$ as $p \to \infty$, unless randomized Gap-SETH is false.

3.3STAug 5, 2021
A Hybrid Learning Approach to Detecting Regime Switches in Financial Markets

Peter Akioyamen, Yi Zhou Tang, Hussien Hussien

Financial markets are of much interest to researchers due to their dynamic and stochastic nature. With their relations to world populations, global economies and asset valuations, understanding, identifying and forecasting trends and regimes are highly important. Attempts have been made to forecast market trends by employing machine learning methodologies, while statistical techniques have been the primary methods used in developing market regime switching models used for trading and hedging. In this paper we present a novel framework for the detection of regime switches within the US financial markets. Principal component analysis is applied for dimensionality reduction and the k-means algorithm is used as a clustering technique. Using a combination of cluster analysis and classification, we identify regimes in financial markets based on publicly available economic data. We display the efficacy of the framework by constructing and assessing the performance of two trading strategies based on detected regimes.