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Capturing semantic consistency among nodes is crucial for effective graph representation learning. Existing approaches typically rely on $k$-nearest neighbors ($k$NN) or other node-level full search algorithms (FSA) to mine semantic…

Calculating true volatility is an essential task for option pricing and risk management. However, it is made difficult by market microstructure noise. Particle filtering has been proposed to solve this problem as it favorable statistical…

This paper presents a novel dynamic network autoregressive conditional heteroscedasticity (ARCH) model based on spatiotemporal ARCH models to forecast volatility in the US stock market. To improve the forecasting accuracy, the model…

We introduce a heterogeneous spatiotemporal GARCH model for geostatistical data or processes on networks, e.g., for modelling and predicting financial return volatility across firms in a latent spatial framework. The model combines…

The autoregressive moving average (ARMA) model is a classical, and arguably one of the most studied approaches to model time series data. It has compelling theoretical properties and is widely used among practitioners. More recent deep…

This paper presents the recurrent estimation of distributions (RED) for modeling real-valued data in a semiparametric fashion. RED models make two novel uses of recurrent neural networks (RNNs) for density estimation of general real-valued…

This paper proposes a novel hybrid model, termed GARCH-FIS, for recursive rolling multi-step forecasting of financial time series. It integrates a Fuzzy Inference System (FIS) with a Generalized Autoregressive Conditional Heteroskedasticity…

Recurrent neural networks have gained widespread use in modeling sequence data across various domains. While many successful recurrent architectures employ a notion of gating, the exact mechanism that enables such remarkable performance is…

In a previous paper, we have shown that a recurrent neural network (RNN) can be used to detect cellular network radio signal degradations accurately. We unexpectedly found, though, that accuracy gains diminished as we added layers to the…

Remaining Useful Life (RUL) prediction is a critical aspect of Prognostics and Health Management (PHM), aimed at predicting the future state of a system to enable timely maintenance and prevent unexpected failures. While existing deep…

Many neural networks exhibit stability in their activation patterns over time in response to inputs from sensors operating under real-world conditions. By capitalizing on this property of natural signals, we propose a Recurrent Neural…

The convolutional neural network (CNN) has become a basic model for solving many computer vision problems. In recent years, a new class of CNNs, recurrent convolution neural network (RCNN), inspired by abundant recurrent connections in the…

This work aims to implement Long Short-Term Memory mixture density networks (LSTM-MDNs) for Value-at-Risk forecasting and compare their performance with established models (historical simulation, CMM, and GARCH) using a defined backtesting…

This study aims to compare multiple deep learning-based forecasters for the task of predicting volatility using multivariate data. The paper evaluates a range of models, starting from simpler and shallower ones and progressing to deeper and…

Recent research on graph neural networks (GNNs) has explored mechanisms for capturing local uncertainty and exploiting graph hierarchies to mitigate data sparsity and leverage structural properties. However, the synergistic integration of…

Stochastic recurrent neural networks with latent random variables of complex dependency structures have shown to be more successful in modeling sequential data than deterministic deep models. However, the majority of existing methods have…

Recurrent Neural Networks (RNNs) have been widely applied to deal with temporal problems, such as flood forecasting and financial data processing. On the one hand, traditional RNNs models amplify the gradient issue due to the strict time…

In general insurance companies, a correct estimation of liabilities plays a key role due to its impact on management and investing decisions. Since the Financial Crisis of 2007-2008 and the strengthening of regulation, the focus is not only…

This paper proposes a hybrid methodology to improve the approximation of SABR (Stochastic Alpha Beta Rho) implied volatility by combining analytical structure with machine learning. The approach augments the neural-network input…

This paper presents a comprehensive study on stock price prediction, leveragingadvanced machine learning (ML) and deep learning (DL) techniques to improve financial forecasting accuracy. The research evaluates the performance of various…