Related papers: An adaptive volatility method for probabilistic fo…
We propose a novel adaptive approximation approach for test-time resource-constrained prediction. Given an input instance at test-time, a gating function identifies a prediction model for the input among a collection of models. Our…
This paper proposes a semiparametric stochastic volatility (SV) model that relaxes the restrictive Gaussian assumption in both the return and volatility error terms, allowing them to follow flexible, nonparametric distributions with…
Standard bandit algorithms that assume continual reallocation of measurement effort are challenging to implement due to delayed feedback and infrastructural/organizational difficulties. Motivated by practical instances involving a handful…
Well-known for its simplicity and effectiveness in classification, AdaBoost, however, suffers from overfitting when class-conditional distributions have significant overlap. Moreover, it is very sensitive to noise that appears in the…
As the cornerstone of modern portfolio theory, Markowitz's mean-variance optimization is considered a major model adopted in portfolio management. However, due to the difficulty of estimating its parameters, it cannot be applied to all…
The paper provides a new explanation of the low-volatility anomaly. We use the Adaptive Multi-Factor (AMF) model estimated by the Groupwise Interpretable Basis Selection (GIBS) algorithm to find those basis assets significantly related to…
Volatility for financial assets returns can be used to gauge the risk for financial market. We propose a deep stochastic volatility model (DSVM) based on the framework of deep latent variable models. It uses flexible deep learning models to…
With increasingly more computation being shifted to the edge of the network, monitoring of critical infrastructures, such as intermediate processing nodes in autonomous driving, is further complicated due to the typically…
This study presents the Adaptive Minimum-Variance Portfolio (AMVP) framework and the Adaptive Minimum-Risk Rate (AMRR) metric, innovative tools designed to optimize portfolios dynamically in volatile and nonstationary financial markets.…
We present AUQ-ADMM, an adaptive uncertainty-weighted consensus ADMM method for solving large-scale convex optimization problems in a distributed manner. Our key contribution is a novel adaptive weighting scheme that empirically increases…
Multi-stage stochastic programming is a well-established framework for sequential decision making under uncertainty by seeking policies that are fully adapted to the uncertainty. Often such flexible policies are not desirable, and the…
We introduce a generic strategy for provably efficient multi-goal exploration. It relies on AdaGoal, a novel goal selection scheme that leverages a measure of uncertainty in reaching states to adaptively target goals that are neither too…
Simple exponential smoothing is widely used in forecasting economic time series. This is because it is quick to compute and it generally delivers accurate forecasts. On the other hand, its multivariate version has received little attention…
This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows both volatility and skewness to directly affect macroeconomic…
Predicting volatility in financial markets, including stocks, index ETFs, foreign exchange, and cryptocurrencies, remains a challenging task due to the inherent complexity and non-linear dynamics of these time series. In this study, I apply…
We develop the setting of sequential prediction based on shifting experts and on a "smooth" version of the method of specialized experts. To aggregate experts predictions, we use the AdaHedge algorithm, which is a version of the Hedge…
The multistage stochastic variational inequality is reformulated into a variational inequality with separable structure through introducing a new variable. The prediction-correction ADMM which was originally proposed in [B.-S. He, L.-Z.…
This paper studies robust forward investment and consumption preferences and optimal strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with drift and volatility uncertainties. We focus on non-zero…
We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that…
Conformal prediction is an uncertainty quantification method that constructs a prediction set for a previously unseen datum, ensuring the true label is included with a predetermined coverage probability. Adaptive conformal prediction has…