Related papers: Large Volatility Matrix Prediction using Tensor Fa…
Numerical methods for obtaining exact dynamics of non-Markovian open quantum systems are mostly limited to either small systems or to short-time evolution only. Here, we propose a new algorithm for computing process tensors--matrix product…
In financial trading, factor models are widely used to price assets and capture excess returns from mispricing. Recently, we have witnessed the rise of variational autoencoder-based latent factor models, which learn latent factors…
Estimation and prediction in high dimensional multivariate factor stochastic volatility models is an important and active research area because such models allow a parsimonious representation of multivariate stochastic volatility. Bayesian…
The fundamental theorem behind financial markets is that stock prices are intrinsically complex and stochastic. One of the complexities is the volatility associated with stock prices. Volatility is a tendency for prices to change…
In this short paper, we study the simulation of a large system of stochastic processes subject to a common driving noise and fast mean-reverting stochastic volatilities. This model may be used to describe the firm values of a large pool of…
Matrix factor models have been growing popular dimension reduction tools for large-dimensional matrix time series. However, the heteroscedasticity of the idiosyncratic components has barely received any attention. Starting from the pseudo…
Tensor methods have become a promising tool to solve high-dimensional problems in the big data era. By exploiting possible low-rank tensor factorization, many high-dimensional model-based or data-driven problems can be solved to facilitate…
The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form that allows flexible description and analysis. The volatility…
We compute the form factors of the order and disorder operators, together with those of the stress-energy tensor, of the two-dimensional three-state Potts model with vacancies along its thermal deformation of the critical point. At…
This paper proposes a novel methodology for the online detection of changepoints in the factor structure of large matrix time series. Our approach is based on the well-known fact that, in the presence of a changepoint, a factor model can be…
Given a time-evolving tensor with missing entries, how can we effectively factorize it for precisely predicting the missing entries? Tensor factorization has been extensively utilized for analyzing various multi-dimensional real-world data.…
We develop Probabilistic Targeted Factor Analysis (PTFA), a likelihood-based framework for constructing latent factors that are explicitly targeted to variables of economic interest. PTFA provides a probabilistic foundation for Partial…
The recent low-rank prior based models solve the tensor completion problem efficiently. However, these models fail to exploit the local patterns of tensors, which compromises the performance of tensor completion. In this paper, we propose a…
Complex continuous or mixed joint distributions (e.g., P(Y | z_1, z_2, ..., z_N)) generally lack closed-form solutions, often necessitating approximations such as MCMC. This paper proposes Indeterminate Probability Theory (IPT), which makes…
The algorithm "automated compression of environments" (ACE) [Nat. Phys. 18, 662 (2022)] provides a versatile way of simulating an extremely broad class of open quantum systems. This is achieved by encapsulating the influence of the…
Predictive state representation~(PSR) uses a vector of action-observation sequence to represent the system dynamics and subsequently predicts the probability of future events. It is a concise knowledge representation that is well studied in…
The Delta-variance analysis, has proven to be an efficient and accurate method of characterising the power spectrum of interstellar turbulence. The implementation presently in use, however, has several shortcomings. We propose and test an…
Implied volatilities form a well-known structure of smile or surface which accommodates the Bachelier model and observed market prices of interest rate options. For the swaptions that we study, three parameters are taken into account for…
While large language models (LLMs) are driving the rapid advancement of artificial intelligence, effectively and reliably training these large models remains one of the field's most significant challenges. To address this challenge, we…
Participation factors (PFs) quantify the interaction between system modes and state variables, and they play a crucial role in various applications such as modal analysis, model reduction, and control design. With increasing system…