Related papers: From GARCH to Neural Network for Volatility Foreca…

Graph neural networks (GNNs) are powerful tools on graph data. However, their predictions are mis-calibrated and lack interpretability, limiting their adoption in critical applications. To address this issue, we propose a new…

Apart from assessing individual asset performance, investors in financial markets also need to consider how a set of firms performs collectively as a portfolio. Whereas traditional Markowitz-based mean-variance portfolios are widespread,…

We test various volatility models using the Bitcoin spot price series. Our models include HIST, EMA ARCH, GARCH, and EGARCH, models. Both of our in-sample-fit and out-of-sample-forecast results suggest that GARCH and EGARCH models perform…

The Stochastic Volatility (SV) model and its variants are widely used in the financial sector while recurrent neural network (RNN) models are successfully used in many large-scale industrial applications of Deep Learning. Our article…

Accurate modelling and quantification of predictive uncertainty is crucial in deep learning since it allows a model to make safer decisions when the data is ambiguous and facilitates the users' understanding of the model's confidence in its…

The Gaussian Graphical Model (GGM) is a popular tool for incorporating sparsity into joint multivariate distributions. The G-Wishart distribution, a conjugate prior for precision matrices satisfying general GGM constraints, has now been in…

Instability of trained models, i.e., the dependence of individual node predictions on random factors, can affect reproducibility, reliability, and trust in machine learning systems. In this paper, we systematically assess the prediction…

Graph Neural Networks (GNNs) have recently emerged as a robust framework for graph-structured data. They have been applied to many problems such as knowledge graph analysis, social networks recommendation, and even Covid19 detection and…

Stochastic variational inference algorithms are derived for fitting various heteroskedastic time series models. We examine Gaussian, t, and skew-t response GARCH models and fit these using Gaussian variational approximating densities. We…

Graph Neural Networks (GNN) have gained significant traction in the forecasting domain, especially for their capacity to simultaneously account for intra-series temporal correlations and inter-series relationships. This paper introduces a…

Although stochastic volatility and GARCH (generalized autoregressive conditional heteroscedasticity) models have successfully described the volatility dynamics of univariate asset returns, extending them to the multivariate models with…

In this paper, an application of three GARCH-type models (sGARCH, iGARCH, and tGARCH) with Student t-distribution, Generalized Error distribution (GED), and Normal Inverse Gaussian (NIG) distribution are examined. The new development allows…

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 apply machine learning models to forecast intraday realized volatility (RV), by exploiting commonality in intraday volatility via pooling stock data together, and by incorporating a proxy for the market volatility. Neural networks…

Demand forecasting is a prominent business use case that allows retailers to optimize inventory planning, logistics, and core business decisions. One of the key challenges in demand forecasting is accounting for relationships and…

We propose a parsimonious quantile regression framework to learn the dynamic tail behaviors of financial asset returns. Our model captures well both the time-varying characteristic and the asymmetrical heavy-tail property of financial time…

Graph Neural Networks (GNN) are currently the most popular approach for learning and prediction on graph-structured data and are deployed in various fields, from social network analysis to drug discovery. However, there is limited…

Graph Neural Networks (GNNs) have emerged as powerful tools for predicting outcomes in graph-structured data. However, a notable limitation of GNNs is their inability to provide robust uncertainty estimates, which undermines their…

We study a recent class of models which uses graph neural networks (GNNs) to improve forecasting in multivariate time series. The core assumption behind these models is that there is a latent graph between the time series (nodes) that…

We investigate the predictability of several range-based stock volatility estimators, and compare them to the standard close-to-close estimator which is most commonly acknowledged as the volatility. The patterns of volatility changes are…