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G. Le Pera

Publications and source records attributed to G. Le Pera.

5 recordsLinked to original sources

Learning as a Geometric Phase Transition: Renormalization Group Flow and Anisotropic Symmetry Breaking in Deep Networks

We formulate feature learning as a geometric critical phenomenon of the lifted tensor-product learning metric. The central object is not a scalar overlap, but the target-active geometry of \[ \mathcal N_{0,L}=\frac1N\sum_{r=1}^{L}\Sigma_{r\to L}\otimes T_{0\to r-1}, \] which entangles forward pullback survival with backward push-forward visibility. The neutral phase is target-isotropic: after restriction to endpoint target-active states and trace normalization, the lifted metric is proportional to the identity. Learning corresponds to an instability of this target-isotropic fixed point and to the emergence of traceless target-aligned eigentensors. We derive discrete Dyson expansions for local anisotropic insertions and their continuous Callan--Symanzik flow. Crucially, before constructing the full temporal mean-field theory, we identify the local spatial source of the $\beta$-functions directly from microscopic kinematics: asynchronous gradient updates generate synchronous metric strains, whose target-active symmetric traceless components act as curvature-like defects. The Wilsonian depth RG flow is then governed by the transport, balance, and coarse-grained irrelevance of these defects. Heavy-tailed spectra arise, under a scale-free counting hypothesis, as the spectrum of the target-active lifted geometry, with exponent addition in the matched pullback--push-forward sector. Finally, we relate this depth RG picture to temporal stochastic training dynamics and to the kinematic imprint of the learned channel on empirical weight Gram matrices.

cond-mat.dis-nn

Temporal-Aligned Meta-Learning for Risk Management: A Stacking Approach for Multi-Source Credit Scoring

This paper presents a meta-learning framework for credit risk assessment of Italian Small and Medium Enterprises (SMEs) that explicitly addresses the temporal misalignment of credit scoring models. The approach aligns financial statement reference dates with evaluation dates, mitigating bias arising from publication delays and asynchronous data sources. It is based on a two-step temporal decomposition that at first estimates annual probabilities of default (PDs) anchored to balance-sheet reference dates (December 31st) through a static model. Then it models the monthly evolution of PDs using higher-frequency behavioral data. Finally, we employ stacking-based architecture to aggregate multiple scoring systems, each capturing complementary aspects of default risk, into a unified predictive model. In this way, first level model outputs are treated as learned representations that encode non-linear relationships in financial and behavioral indicators, allowing integration of new expert-based features without retraining base models. This design provides a coherent and interpretable solution to challenges typical of low-default environments, including heterogeneous default definitions and reporting delays. Empirical validation shows that the framework effectively captures credit risk evolution over time, improving temporal consistency and predictive stability relative to standard ensemble methods.

q-fin.RM

Bridging Human Cognition and AI: A Framework for Explainable Decision-Making Systems

Explainability in AI and ML models is critical for fostering trust, ensuring accountability, and enabling informed decision making in high stakes domains. Yet this objective is often unmet in practice. This paper proposes a general purpose framework that bridges state of the art explainability techniques with Malle's five category model of behavior explanation: Knowledge Structures, Simulation/Projection, Covariation, Direct Recall, and Rationalization. The framework is designed to be applicable across AI assisted decision making systems, with the goal of enhancing transparency, interpretability, and user trust. We demonstrate its practical relevance through real world case studies, including credit risk assessment and regulatory analysis powered by large language models (LLMs). By aligning technical explanations with human cognitive mechanisms, the framework lays the groundwork for more comprehensible, responsible, and ethical AI systems.

q-fin.ST

Cross-Domain Behavioral Credit Modeling: transferability from private to central data

This paper introduces a credit risk rating model for credit risk assessment in quantitative finance, aiming to categorize borrowers based on their behavioral data. The model is trained on data from Experian, a widely recognized credit bureau, to effectively identify instances of loan defaults among bank customers. Employing state-of-the-art statistical and machine learning techniques ensures the model's predictive accuracy. Furthermore, we assess the model's transferability by testing it on behavioral data from the Bank of Italy, demonstrating its potential applicability across diverse datasets during prediction. This study highlights the benefits of incorporating external behavioral data to improve credit risk assessment in financial institutions.

q-fin.RM

Machine Learning approach for Credit Scoring

In this work we build a stack of machine learning models aimed at composing a state-of-the-art credit rating and default prediction system, obtaining excellent out-of-sample performances. Our approach is an excursion through the most recent ML / AI concepts, starting from natural language processes (NLP) applied to economic sectors' (textual) descriptions using embedding and autoencoders (AE), going through the classification of defaultable firms on the base of a wide range of economic features using gradient boosting machines (GBM) and calibrating their probabilities paying due attention to the treatment of unbalanced samples. Finally we assign credit ratings through genetic algorithms (differential evolution, DE). Model interpretability is achieved by implementing recent techniques such as SHAP and LIME, which explain predictions locally in features' space.

q-fin.ST