Related papers: From GARCH to Neural Network for Volatility Foreca…
This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation…
We propose an adaptive algorithm for tracking of historical volatility. The algorithm is built under the assumption that the historical volatility function belongs to the Stone-Ibragimov-Khasminskii class of $k$ times differentiable…
Recurrent neural networks (RNNs) are nonlinear dynamical models commonly used in the machine learning and dynamical systems literature to represent complex dynamical or sequential relationships between variables. More recently, as deep…
Uncertainty quantification is essential for deploying reliable Graph Neural Networks (GNNs), where existing approaches primarily rely on Bayesian inference or ensembles. In this paper, we introduce the first credal graph neural networks…
Networks serve as a tool used to examine the large-scale connectivity patterns in complex systems. Modelling their generative mechanism nonparametrically is often based on step-functions, such as the stochastic block models. These models…
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 (RNNs) are more suitable for learning non-linear dependencies in dynamical systems from observed time series data. In practice all the external variables driving such systems are not known a priori, especially in…
This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value financial options and to calculate implied volatilities with the aim of accelerating the corresponding numerical methods. With ANNs being…
Graph Neural Networks (GNNs), particularly Graph Convolutional Neural Networks (GCNNs), have emerged as pivotal instruments in machine learning and signal processing for processing graph-structured data. This paper proposes an analysis…
Stock return prediction is fundamental to financial decision-making, yet traditional time series models fail to capture the complex interdependencies between companies in modern markets. We propose the Full-State Graph Convolutional LSTM…
Traffic flow forecasting is essential for managing congestion, improving safety, and optimizing various transportation systems. However, it remains a prevailing challenge due to the stochastic nature of urban traffic and environmental…
The accurate prediction of time-changing variances is an important task in the modeling of financial data. Standard econometric models are often limited as they assume rigid functional relationships for the variances. Moreover, function…
Graph Neural Networks (GNNs) have become the de facto standard for learning on relational data. While traditional GNNs' message passing is well suited for vector-valued node features, there are cases in which node features are better…
Graph Neural Networks (GNNs) have shown remarkable performance in the healthcare domain. However, what remained challenging is quantifying the predictive uncertainty of GNNs, which is an important aspect of trustworthiness in clinical…
Purpose: This study introduces a novel framework for identifying and exploiting predictive lead-lag relationships in financial markets. We propose an integrated approach that combines advanced statistical methodologies with machine learning…
In the rapidly evolving landscape of digital assets, the imperative for robust data privacy and compliance with regulatory frameworks has intensified. This paper investigates the critical role of Graph Neural Networks (GNNs) in the…
The realized GARCH framework is extended to incorporate the two-sided Weibull distribution, for the purpose of volatility and tail risk forecasting in a financial time series. Further, the realized range, as a competitor for realized…
We employ single-qubit quantum circuit learning (QCL) to model the dynamics of volatility time series. To assess its effectiveness, we generate synthetic data using the Rational GARCH model, which is specifically designed to capture…
Reinforcement learning is well known for its ability to model sequential tasks and learn latent data patterns adaptively. Deep learning models have been widely explored and adopted in regression and classification tasks. However, deep…
Nested logit (NL) has been commonly used for discrete choice analysis, including a wide range of applications such as travel mode choice, automobile ownership, or location decisions. However, the classical NL models are restricted by their…