Optimal Entry and Consumption under Habit Formation

This paper studies a composite problem involving the decision making of the optimal entry time and dynamic consumption afterwards. In stage-1, the investor has access to full market information subjecting to some information costs and needs to choose an optimal stopping time to initiate stage-2; in stage-2, the investor terminates the costly full information acquisition and starts dynamic investment and consumption under partial observations of free public stock prices. The habit formation preference is employed, in which the past consumption affects the investor's current decisions. By using the stochastic Perron's method, the value function of the composite problem is proved to be the unique viscosity solution of some variational inequalities.Comment: Final version, forthcoming in Advances in Applied Probabilit

Sketch-a-Net that Beats Humans

We propose a multi-scale multi-channel deep neural network framework that, for the first time, yields sketch recognition performance surpassing that of humans. Our superior performance is a result of explicitly embedding the unique characteristics of sketches in our model: (i) a network architecture designed for sketch rather than natural photo statistics, (ii) a multi-channel generalisation that encodes sequential ordering in the sketching process, and (iii) a multi-scale network ensemble with joint Bayesian fusion that accounts for the different levels of abstraction exhibited in free-hand sketches. We show that state-of-the-art deep networks specifically engineered for photos of natural objects fail to perform well on sketch recognition, regardless whether they are trained using photo or sketch. Our network on the other hand not only delivers the best performance on the largest human sketch dataset to date, but also is small in size making efficient training possible using just CPUs.Comment: Accepted to BMVC 2015 (oral