Related papers: From Reactive to Proactive Volatility Modeling wit…

Volatility forecasts play a central role among equity risk measures. Besides traditional statistical models, modern forecasting techniques based on machine learning can be employed when treating volatility as a univariate, daily…

Quantifying the uncertainty in model parameters and output is a critical component in model-driven decision support systems for groundwater management. This paper presents a novel algorithmic approach which fuses Markov Chain Monte Carlo…

Weightless Neural Networks (WNNs) are a class of machine learning model which use table lookups to perform inference. This is in contrast with Deep Neural Networks (DNNs), which use multiply-accumulate operations. State-of-the-art WNN…

The Heston stochastic volatility model is a widely used tool in financial mathematics for pricing European options. However, its calibration remains computationally intensive and sensitive to local minima due to the model's nonlinear…

Time series forecasting has received a lot of attention, with recurrent neural networks (RNNs) being one of the widely used models due to their ability to handle sequential data. Previous studies on RNN time series forecasting, however,…

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…

Plasma systems exhibit complex multiscale dynamics, resolving which poses significant challenges for conventional numerical simulations. Machine learning (ML) offers an alternative by learning data-driven representations of these dynamics.…

The immense computational cost of traditional numerical weather and climate models has sparked the development of machine learning (ML) based emulators. Because ML methods benefit from long records of training data, it is common to use…

Motivation: Real-world data often contain measurements with both continuous and discrete values. Despite the availability of many libraries, data sets with mixed data types require intensive pre-processing steps, and it remains a challenge…

High-frequency stock price prediction is challenging due to non-stationarity, noise, and volatility. To tackle these issues, we propose the Hybrid Attentive Ensemble Learning Transformer (HAELT), a deep learning framework combining a…

Maximum Likelihood Estimators (MLE) has many good properties. For example, the asymptotic variance of MLE solution attains equality of the asymptotic Cram{\'e}r-Rao lower bound (efficiency bound), which is the minimum possible variance for…

Simulating and predicting multiscale problems that couple multiple physics and dynamics across many orders of spatiotemporal scales is a great challenge that has not been investigated systematically by deep neural networks (DNNs). Herein,…

In the past decade, deep neural networks (DNNs) came to the fore as the leading machine learning algorithms for a variety of tasks. Their raise was founded on market needs and engineering craftsmanship, the latter based more on trial and…

Probabilistic forecasting is not only a way to add more information to a prediction of the future, but it also builds on weaknesses in point prediction. Sudden changes in a time series can still be captured by a cumulative distribution…

We describe a gradient-based method to discover local error maximizers of a deep neural network (DNN) used for regression, assuming the availability of an "oracle" capable of providing real-valued supervision (a regression target) for…

We propose a framework for general probabilistic multi-step time series regression. Specifically, we exploit the expressiveness and temporal nature of Sequence-to-Sequence Neural Networks (e.g. recurrent and convolutional structures), the…

Artificial neural networks (ANNs) are highly flexible predictive models. However, reliably quantifying uncertainty for their predictions is a continuing challenge. There has been much recent work on "recalibration" of predictive…

Geosteering of wells requires fast interpretation of geophysical logs, which is a non-unique inverse problem. Current work presents a proof-of-concept approach to multi-modal probabilistic inversion of logs using a single evaluation of an…

Graph Neural Networks (GNNs) have recently caught great attention and achieved significant progress in graph-level applications. In this paper, we propose a framework for graph neural networks with multiresolution Haar-like wavelets, or…

We propose a neural hybrid model consisting of a linear model defined on a set of features computed by a deep, invertible transformation (i.e. a normalizing flow). An attractive property of our model is that both p(features), the density of…