Related papers: Transformer Encoder and Multi-features Time2Vec fo…

Catching and attributing code change-induced performance regressions in production is hard; predicting them beforehand, even harder. A primer on automatically learning to predict performance regressions in software, this article gives an…

Stock market volatility forecasting is a task relevant to assessing market risk. We investigate the interaction between news and prices for the one-day-ahead volatility prediction using state-of-the-art deep learning approaches. The…

Pre-trained Large Language Models (LLMs) encapsulate large amounts of knowledge and take enormous amounts of compute to train. We make use of this resource, together with the observation that LLMs are able to transfer knowledge and…

Applications of deep learning in financial market prediction has attracted huge attention from investors and researchers. In particular, intra-day prediction at the minute scale, the dramatically fluctuating volume and stock prices within…

Transformers have achieved superior performances in many tasks in natural language processing and computer vision, which also triggered great interest in the time series community. Among multiple advantages of Transformers, the ability to…

We propose Mixed-Panels-Transformer Encoder (MPTE), a novel framework for estimating factor models in panel datasets with mixed frequencies and nonlinear signals. Traditional factor models rely on linear signal extraction and require…

The increasing severity of climate change necessitates an urgent transition to renewable energy sources, making the large-scale adoption of wind energy crucial for mitigating environmental impact. However, the inherent uncertainty of wind…

Transformer-based models have recently become dominant in Long-term Time Series Forecasting (LTSF), yet the variations in their architecture, such as encoder-only, encoder-decoder, and decoder-only designs, raise a crucial question: What…

In today's complex and volatile financial market environment, risk management of multi-asset portfolios faces significant challenges. Traditional risk assessment methods, due to their limited ability to capture complex correlations between…

In recent times, the field of unsupervised representation learning (URL) for time series data has garnered significant interest due to its remarkable adaptability across diverse downstream applications. Unsupervised learning goals differ…

This paper proposes a transformer over transformer framework, called Transformer$^2$, to perform neural text segmentation. It consists of two components: bottom-level sentence encoders using pre-trained transformers, and an upper-level…

Multi-dimensional time series data, such as matrix and tensor-variate time series, are increasingly prevalent in fields such as economics, finance, and climate science. Traditional Transformer models, though adept with sequential data, do…

Transformer, an attention-based encoder-decoder model, has already revolutionized the field of natural language processing (NLP). Inspired by such significant achievements, some pioneering works have recently been done on employing…

This study presents the implementation of a short-term forecasting system for price movements in exchange markets, using market depth data and a systematic procedure to enable a fully automated trading system. The case study focuses on the…

Transformers have become the dominant architecture for sequence modeling tasks such as natural language processing or audio processing, and they are now even considered for tasks that are not naturally sequential such as image…

In the complex landscape of multivariate time series forecasting, achieving both accuracy and interpretability remains a significant challenge. This paper introduces the Fuzzy Transformer (Fuzzformer), a novel recurrent neural network…

Users engage with financial services companies through multiple channels, often interacting with mobile applications, web platforms, call centers, and physical locations to service their accounts. The resulting interactions are recorded at…

Transformer-based models have emerged as promising tools for time series forecasting. However, these model cannot make accurate prediction for long input time series. On the one hand, they failed to capture global dependencies within time…

Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…

Representation learning on static graph-structured data has shown a significant impact on many real-world applications. However, less attention has been paid to the evolving nature of temporal networks, in which the edges are often changing…