Multivariate sparse interpolation using randomized Kronecker substitutions

We present new techniques for reducing a multivariate sparse polynomial to a univariate polynomial. The reduction works similarly to the classical and widely-used Kronecker substitution, except that we choose the degrees randomly based on the number of nonzero terms in the multivariate polynomial, that is, its sparsity. The resulting univariate polynomial often has a significantly lower degree than the Kronecker substitution polynomial, at the expense of a small number of term collisions. As an application, we give a new algorithm for multivariate interpolation which uses these new techniques along with any existing univariate interpolation algorithm.Comment: 21 pages, 2 tables, 1 procedure. Accepted to ISSAC 201

Custom v. Standardized Risk Models

We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in quant trading with much shorter holding horizons is suboptimal: 1) longer horizon risk factors (value, growth, etc.) increase noise trades and trading costs; 2) arbitrary risk factors can neutralize alpha; 3) "standardized" industries are artificial and insufficiently granular; 4) normalization of style risk factors is lost for the trading universe; 5) diversifying risk models lowers P&L correlations, reduces turnover and market impact, and increases capacity. We discuss various aspects of custom risk model building.Comment: 30 pages; minor improvements, more source code added; to appear in Risk

Enhancing Fault / Intrusion Tolerance through Design and Configuration Diversity

Fault/intrusion tolerance is usually the only viable way of improving the system dependability and security in the presence of continuously evolving threats. Many of the solutions in the literature concern a specific snapshot in the production or deployment of a fault-tolerant system and no immediate considerations are made about how the system should evolve to deal with novel threats. In this paper we outline and evaluate a set of operating systems’ and applications’ reconfiguration rules which can be used to modify the state of a system replica prior to deployment or in between recoveries, and hence increase the replicas chance of a longer intrusion-free operation