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Long Short-Term Memory (LSTM) neural network models have become the cornerstone for sequential data modeling in numerous applications, ranging from natural language processing to time series forecasting. Despite their success, the problem…
The quadratic rough Heston model provides a natural way to encode Zumbach effect in the rough volatility paradigm. We apply multi-factor approximation and use deep learning methods to build an efficient calibration procedure for this model.…
The aim of this paper is the analysis and selection of stock trading systems that combine different models with data of different nature, such as financial and microeconomic information. Specifically, based on previous work by the authors…
In recent years, there has been a substantive interest in rough volatility models. In this class of models, the local behavior of stochastic volatility is much more irregular than semimartingales and resembles that of a fractional Brownian…
Accurate financial volatility forecasting is crucial but challenged by the non-linear, highly correlated nature of market data. Recently, quantum computing has emerged as a promising paradigm for solving complex high-dimensional sampling…
This paper shows a novel machine learning model for realized volatility (RV) prediction using a normalizing flow, an invertible neural network. Since RV is known to be skewed and have a fat tail, previous methods transform RV into values…
In this paper, we show that the recent integration of statistical models with deep recurrent neural networks provides a new way of formulating volatility (the degree of variation of time series) models that have been widely used in time…
The financial domain presents a complex environment for stock market prediction, characterized by volatile patterns and the influence of multifaceted data sources. Traditional models have leveraged either Convolutional Neural Networks (CNN)…
We study the asymptotic behavior of distribution densities arising in stock price models with stochastic volatility. The main objects of our interest in the present paper are the density of time averages of the squared volatility process…
The recurrent neural network and its variants have shown great success in processing sequences in recent years. However, this deep neural network has not aroused much attention in anomaly detection through predictively process monitoring.…
We introduce a data-driven forecasting method for high-dimensional chaotic systems using long short-term memory (LSTM) recurrent neural networks. The proposed LSTM neural networks perform inference of high-dimensional dynamical systems in…
We study an extension of the Heston stochastic volatility model that incorporates rough volatility and jump clustering phenomena. In our model, named the rough Hawkes Heston stochastic volatility model, the spot variance is a rough…
The Heston stochastic volatility model is a standard model for valuing financial derivatives, since it can be calibrated using semi-analytical formulas and captures the most basic structure of the market for financial derivatives with…
We reconcile rough volatility models and jump models using a class of reversionary Heston models with fast mean reversions and large vol-of-vols. Starting from hyper-rough Heston models with a Hurst index $H \in (-1/2,1/2)$, we derive a…
Neural networks have revolutionized many empirical fields, yet their application to financial time series forecasting remains controversial. In this study, we demonstrate that the conventional practice of estimating models locally in…
Predicting motions of vessels in extreme sea states represents one of the most challenging problems in naval hydrodynamics. It involves computing complex nonlinear wave-body interactions, hence taxing heavily computational resources. Here,…
Predicting stock market movements remains a persistent challenge due to the inherently volatile, non-linear, and stochastic nature of financial time series data. This paper introduces a deep learning-based framework employing Long…
This paper introduces a global stock market volatility forecasting model that enhances forecasting accuracy and practical utility in real-world financial decision-making by integrating dynamic graph structures and encompassing all active…
This paper presents an algorithm for a complete and efficient calibration of the Heston stochastic volatility model. We express the calibration as a nonlinear least squares problem. We exploit a suitable representation of the Heston…
We present a novel approach for predicting the distribution of asset returns using a quantile-based method with Long Short-Term Memory (LSTM) networks. Our model is designed in two stages: the first focuses on predicting the quantiles of…