Related papers: Machine Learning for Yield Curve Feature Extractio…
Auto-encoder is a special kind of neural network based on reconstruction. De-noising auto-encoder (DAE) is an improved auto-encoder which is robust to the input by corrupting the original data first and then reconstructing the original…
We introduce an end-to-end learnable technique to robustly identify feature edges in 3D point cloud data. We represent these edges as a collection of parametric curves (i.e.,lines, circles, and B-splines). Accordingly, our deep neural…
Transformer-based Self-supervised Representation Learning methods learn generic features from unlabeled datasets for providing useful network initialization parameters for downstream tasks. Recently, self-supervised learning based upon…
Unraveling the relation between structural information and the dynamic properties of supercooled liquids is one of the grand challenges of physics. Dynamic heterogeneity, characterized by the propensity of particles, is often used as a…
Masked Autoencoders (MAEs) have emerged as a powerful pretraining technique for vision foundation models. Despite their effectiveness, they require extensive hyperparameter tuning (masking ratio, patch size, encoder/decoder layers) when…
Forecasting stock market direction is always an amazing but challenging problem in finance. Although many popular shallow computational methods (such as Backpropagation Network and Support Vector Machine) have extensively been proposed,…
B-mode ultrasound tongue imaging is widely used in the speech production field. However, efficient interpretation is in a great need for the tongue image sequences. Inspired by the recent success of unsupervised deep learning approach, we…
The generative learning phase of Autoencoder (AE) and its successor Denosing Autoencoder (DAE) enhances the flexibility of data stream method in exploiting unlabelled samples. Nonetheless, the feasibility of DAE for data stream analytic…
The application of deep learning to time series forecasting is one of the major challenges in present machine learning. We propose a novel methodology that combines machine learning and image processing methods to define and predict market…
Extracting implied information, like volatility and/or dividend, from observed option prices is a challenging task when dealing with American options, because of the computational costs needed to solve the corresponding mathematical problem…
Yield curve modeling is an essential problem in finance. In this work, we explore the use of Bayesian statistical methods in conjunction with Nelson-Siegel model. We present the hierarchical Bayesian model for the parameters of the…
The discovery of new materials is often constrained by the need for large labelled datasets or expensive simulations. In this study, we explore the use of Disentangling Autoencoders (DAEs) to learn compact and interpretable representations…
Building a scalable machine learning system for unsupervised anomaly detection via representation learning is highly desirable. One of the prevalent methods is using a reconstruction error from variational autoencoder (VAE) via maximizing…
Stochastic differential equation (SDE) models are the foundation for pricing and hedging financial derivatives. The drift and volatility functions in SDE models are typically chosen to be algebraic functions with a small number (less than…
We use deep neural networks to estimate an asset pricing model for individual stock returns that takes advantage of the vast amount of conditioning information, while keeping a fully flexible form and accounting for time-variation. The key…
The special and important problems of default prediction for municipal bonds are addressed using a combination of text embeddings from a pre-trained transformer network, a fully connected neural network, and synthetic oversampling. The…
We present a deep learning framework for pricing options based on market-implied volatility surfaces. Using end-of-day S\&P 500 index options quotes from 2018-2023, we construct arbitrage-free volatility surfaces and generate training data…
This paper comprehensively reviews the application of machine learning (ML) and AI in finance, specifically in the context of asset pricing. It starts by summarizing the traditional asset pricing models and examining their limitations in…
We develop an arbitrage-free deep learning framework for yield curve and bond price forecasting based on the Heath-Jarrow-Morton (HJM) term-structure model and a dynamic Nelson-Siegel parameterization of forward rates. Our approach embeds a…
Predicting a fast and accurate model for stock price forecasting is been a challenging task and this is an active area of research where it is yet to be found which is the best way to forecast the stock price. Machine learning, deep…