Related papers: Aggregate Learning for Mixed Frequency Data

We propose a Neural Hidden Markov Model (HMM) with Adaptive Granularity Attention (AGA) for high-frequency order flow modeling. The model addresses the challenge of capturing multi-scale temporal dynamics in financial markets, where…

Aggregated data is commonplace in areas such as epidemiology and demography. For example, census data for a population is usually given as averages defined over time periods or spatial resolutions (cities, regions or countries). In this…

This paper presents a comparative analysis evaluating the accuracy of Large Language Models (LLMs) against traditional macro time series forecasting approaches. In recent times, LLMs have surged in popularity for forecasting due to their…

This work presents a new approach, called MISFIT, for fitting generalized functional linear regression models with sparsely and irregularly sampled data. Current methods do not allow for consistent estimation unless one assumes that the…

State-space mixed-frequency vector autoregressions are now widely used for nowcasting. Despite their popularity, estimating such models can be computationally intensive, especially for large systems with stochastic volatility. To tackle the…

Credit risk forecasting plays a crucial role for commercial banks and other financial institutions in granting loans to customers and minimise the potential loss. However, traditional machine learning methods require the sharing of…

The fast development of location-based social networks (LBSNs) has led to significant changes in society, resulting in popular studies of using LBSN data for socioeconomic prediction, e.g., regional population and commercial activity…

Natural language understanding(NLU) is challenging for finance due to the lack of annotated data and the specialized language in that domain. As a result, researchers have proposed to use pre-trained language model and multi-task learning…

Anomaly detection is crucial in the energy sector to identify irregular patterns indicating equipment failures, energy theft, or other issues. Machine learning techniques for anomaly detection have achieved great success, but are typically…

We propose a general framework for non-normal multivariate data analysis called multivariate covariance generalized linear models (McGLMs), designed to handle multivariate response variables, along with a wide range of temporal and spatial…

Federated learning (FL), which has gained increasing attention recently, enables distributed devices to train a common machine learning (ML) model for intelligent inference cooperatively without data sharing. However, problems in practical…

Federated Graph Learning (FGL) has garnered widespread attention by enabling collaborative training on multiple clients for semi-supervised classification tasks. However, most existing FGL studies do not well consider the missing…

This paper aims to explore the application of machine learning in forecasting Chinese macroeconomic variables. Specifically, it employs various machine learning models to predict the quarterly real GDP growth of China, and analyzes the…

In the era of data-driven intelligence, the paradox of data abundance and annotation scarcity has emerged as a critical bottleneck in the advancement of machine learning. This paper gives a detailed overview of Active Learning (AL), which…

Large language models (LLMs) show promise for personalized financial recommendations but are hampered by context limits, hallucinations, and a lack of behavioral grounding. Our prior work, FLARKO, embedded structured knowledge graphs (KGs)…

New technologies in generative AI can enable deeper analysis into our nation's supply chains but truly informative insights require the continual updating and aggregation of massive data in a timely manner. Large Language Models (LLMs)…

Financial markets are inherently non-stationary: structural breaks and macroeconomic regime shifts often cause forecasting models to fail when deployed out of distribution (OOD). Conventional multimodal approaches that simply fuse numerical…

Sparse inverse covariance estimation (i.e., edge de-tection) is an important research problem in recent years, wherethe goal is to discover the direct connections between a set ofnodes in a networked system based upon the observed…

Model-Free Reinforcement Learning has achieved meaningful results in stable environments but, to this day, it remains problematic in regime changing environments like financial markets. In contrast, model-based RL is able to capture some…

The use of moving averages is pervasive in macroeconomic monitoring, particularly for tracking noisy series such as inflation. The choice of the look-back window is crucial. Too long of a moving average is not timely enough when faced with…