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In recent years, the dynamic factor model has emerged as a dominant tool in economics and finance, particularly for investment strategies. This model offers improved handling of complex, nonlinear, and noisy market conditions compared to…
Active investing aims to construct a portfolio of assets that are believed to be relatively profitable in the markets, with one popular method being to construct a portfolio via factor-based strategies. In recent years, there have been…
Deep generative models have achieved great success in unsupervised learning with the ability to capture complex nonlinear relationships between latent generating factors and observations. Among them, a factorized hierarchical variational…
The use of machine learning for statistical modeling (and thus, generative modeling) has grown in popularity with the proliferation of time series models, text-to-image models, and especially large language models. Fundamentally, the goal…
Modeling and characterizing multiple factors is perhaps the most important step in achieving excess returns over market benchmarks. Both academia and industry are striving to find new factors that have good explanatory power for future…
Variational autoencoders (VAE) are powerful generative models that learn the latent representations of input data as random variables. Recent studies show that VAE can flexibly learn the complex temporal dynamics of time series and achieve…
Purpose: Handling heterogeneous and mixed data types has become increasingly critical with the exponential growth in real-world databases. While deep generative models attempt to merge diverse data views into a common latent space, they…
Temporal modeling in complex systems requires capturing dependencies across multiple time scales while managing inherent uncertainties. We propose HierCVAE, a novel architecture that integrates hierarchical attention mechanisms with…
We propose Tree Variational Autoencoder (TreeVAE), a new generative hierarchical clustering model that learns a flexible tree-based posterior distribution over latent variables. TreeVAE hierarchically divides samples according to their…
Theory of mind (ToM) enables AI systems to infer agents' hidden goals and mental states, but existing approaches focus mainly on small human understandable gridworld spaces. We introduce HiVAE, a hierarchical variational architecture that…
The dynamic portfolio construction problem requires dynamic modeling of the joint distribution of multivariate stock returns. To achieve this, we propose a dynamic generative factor model which uses random variable transformation as an…
The multi-factor model is a widely used model in quantitative investment. The success of a multi-factor model is largely determined by the effectiveness of the alpha factors used in the model. This paper proposes a new evolutionary…
Time series data is ubiquitous, with forecasting applications spanning from finance to healthcare. Beyond popular deterministic methods, generative models are gaining attention due to advancements in areas like image synthesis and video…
Artificial intelligence is transforming financial investment decision-making frameworks, with deep reinforcement learning demonstrating substantial potential in robo-advisory applications. This paper addresses the limitations of traditional…
Disentangled representation learning aims to represent the underlying generative factors of a dataset in a latent representation independently of one another. In our work, we propose a discrete variational autoencoder (VAE) based model…
In this paper, we introduce ControlVAE, a novel model-based framework for learning generative motion control policies based on variational autoencoders (VAE). Our framework can learn a rich and flexible latent representation of skills and a…
The variational autoencoder (VAE) is a popular deep latent variable model used to analyse high-dimensional datasets by learning a low-dimensional latent representation of the data. It simultaneously learns a generative model and an…
Financial scenario simulation is essential for risk management and portfolio optimization, yet it remains challenging especially in high-dimensional and small data settings common in finance. We propose a diffusion factor model that…
Modeling and managing portfolio risk is perhaps the most important step to achieve growing and preserving investment performance. Within the modern portfolio construction framework that built on Markowitz's theory, the covariance matrix of…
We propose a novel VAE-based deep auto-encoder model that can learn disentangled latent representations in a fully unsupervised manner, endowed with the ability to identify all meaningful sources of variation and their cardinality. Our…