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Financial disclosure analysis and Knowledge extraction is an important financial analysis problem. Prevailing methods depend predominantly on quantitative ratios and techniques, which suffer from limitations like window dressing and past…

Trading and Market Microstructure · Quantitative Finance 2021-01-13 Sridhar Ravula

We propose several deep-learning accelerated optimization solvers with convergence guarantees. We use ideas from the analysis of accelerated forward-backward schemes like FISTA, but instead of the classical approach of proving convergence…

Optimization and Control · Mathematics 2021-05-12 Sebastian Banert , Jevgenija Rudzusika , Ozan Öktem , Jonas Adler

Stock price prediction has been the focus of a large amount of research but an acceptable solution has so far escaped academics. Recent advances in deep learning have motivated researchers to apply neural networks to stock prediction. In…

Statistical Finance · Quantitative Finance 2021-03-29 Firuz Kamalov , Linda Smail , Ikhlaas Gurrib

Random forests on the one hand, and neural networks on the other hand, have met great success in the machine learning community for their predictive performance. Combinations of both have been proposed in the literature, notably leading to…

Machine Learning · Computer Science 2021-10-15 Ludovic Arnould , Claire Boyer , Erwan Scornet , Sorbonne Lpsm

Deep Learning (DL) models can be used to tackle time series analysis tasks with great success. However, the performance of DL models can degenerate rapidly if the data are not appropriately normalized. This issue is even more apparent when…

Computational Finance · Quantitative Finance 2019-09-24 Nikolaos Passalis , Anastasios Tefas , Juho Kanniainen , Moncef Gabbouj , Alexandros Iosifidis

We present a deep transformation model for probabilistic regression. Deep learning is known for outstandingly accurate predictions on complex data but in regression tasks, it is predominantly used to just predict a single number. This…

Machine Learning · Statistics 2020-04-02 Beate Sick , Torsten Hothorn , Oliver Dürr

Existing methods for estimating uncertainty in deep learning tend to require multiple forward passes, making them unsuitable for applications where computational resources are limited. To solve this, we perform probabilistic reasoning over…

Machine Learning · Statistics 2020-12-08 Javier Antorán , James Urquhart Allingham , José Miguel Hernández-Lobato

Based on decision trees, many fields have arguably made tremendous progress in recent years. In simple words, decision trees use the strategy of "divide-and-conquer" to divide the complex problem on the dependency between input features and…

Machine Learning · Computer Science 2021-01-22 Jinxiong Zhang

This paper presents machine learning techniques and deep reinforcement learningbased algorithms for the efficient resolution of nonlinear partial differential equations and dynamic optimization problems arising in investment decisions and…

Optimization and Control · Mathematics 2021-04-19 Maximilien Germain , Huyên Pham , Xavier Warin

In this paper we survey the most recent advances in supervised machine learning and high-dimensional models for time series forecasting. We consider both linear and nonlinear alternatives. Among the linear methods we pay special attention…

Econometrics · Economics 2021-04-12 Ricardo P. Masini , Marcelo C. Medeiros , Eduardo F. Mendes

The unchecked spread of digital information, combined with increasing political polarization and the tendency of individuals to isolate themselves from opposing political viewpoints, has driven researchers to develop systems for…

Computation and Language · Computer Science 2024-11-08 Manuel Nunez Martinez , Sonja Schmer-Galunder , Zoey Liu , Sangpil Youm , Chathuri Jayaweera , Bonnie J. Dorr

We propose using deep reinforcement learning to solve dynamic stochastic general equilibrium models. Agents are represented by deep artificial neural networks and learn to solve their dynamic optimisation problem by interacting with the…

Econometrics · Economics 2023-01-06 Mingli Chen , Andreas Joseph , Michael Kumhof , Xinlei Pan , Xuan Zhou

This paper tries to address the problem of stock market prediction leveraging artificial intelligence (AI) strategies. The stock market prediction can be modeled based on two principal analyses called technical and fundamental. In the…

Statistical Finance · Quantitative Finance 2021-07-05 Sohrab Mokhtari , Kang K. Yen , Jin Liu

Derivative hedging and pricing are important and continuously studied topics in financial markets. Recently, deep hedging has been proposed as a promising approach that uses deep learning to approximate the optimal hedging strategy and can…

Computational Finance · Quantitative Finance 2024-04-16 Masanori Hirano

This paper attempts to analyze the effectiveness of deep learning for tabular data processing. It is believed that decision trees and their ensembles is the leading method in this domain, and deep neural networks must be content with…

Machine Learning · Computer Science 2021-12-08 Ivan Bondarenko

Current pharmaceutical formulation development still strongly relies on the traditional trial-and-error approach by individual experiences of pharmaceutical scientists, which is laborious, time-consuming and costly. Recently, deep learning…

Machine Learning · Computer Science 2018-12-05 Yilong Yang , Zhuyifan Ye , Yan Su , Qianqian Zhao , Xiaoshan Li , Defang Ouyang

Experience has shown that trading in stock and cryptocurrency markets has the potential to be highly profitable. In this light, considerable effort has been recently devoted to investigate how to apply machine learning and deep learning to…

Machine Learning · Computer Science 2022-05-18 Mohammadmahdi Ghahramani , Hamid Esmaeili Najafabadi

Portfolio management issues have been extensively studied in the field of artificial intelligence in recent years, but existing deep learning-based quantitative trading methods have some areas where they could be improved. First of all, the…

Computational Finance · Quantitative Finance 2024-02-27 Qishuo Cheng , Le Yang , Jiajian Zheng , Miao Tian , Duan Xin

Business analytics refers to methods and practices that create value through data for individuals, firms, and organizations. This field is currently experiencing a radical shift due to the advent of deep learning: deep neural networks…

Machine Learning · Computer Science 2019-09-13 Mathias Kraus , Stefan Feuerriegel , Asil Oztekin

Deep neural networks are powerful tools to detect hidden patterns in data and leverage them to make predictions, but they are not designed to understand uncertainty and estimate reliable probabilities. In particular, they tend to be…

Machine Learning · Statistics 2022-11-10 Bat-Sheva Einbinder , Yaniv Romano , Matteo Sesia , Yanfei Zhou
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