Related papers: Towards Causal Market Simulators

Mining genuine mechanisms underlying the complex data generation process in real-world systems is a fundamental step in promoting interpretability of, and thus trust in, data-driven models. Therefore, we propose a variation-based cause…

The variational autoencoder (VAE) framework is a popular option for training unsupervised generative models, featuring ease of training and latent representation of data. The objective function of VAE does not guarantee to achieve the…

State-of-the-art approaches in time series generation (TSG), such as TimeVQVAE, utilize vector quantization-based tokenization to effectively model complex distributions of time series. These approaches first learn to transform time series…

The rising use of machine learning in various fields requires robust methods to create synthetic tabular data. Data should preserve key characteristics while addressing data scarcity challenges. Current approaches based on Generative…

Motivated by the application to German interest rates, we propose a timevarying autoregressive model for short and long term prediction of time series that exhibit a temporary non-stationary behavior but are assumed to mean revert in the…

Variational Autoencoder (VAE) aims to compress pixel data into low-dimensional latent space, playing an important role in OpenAI's Sora and other latent video diffusion generation models. While most of existing video VAEs inflate a…

In the financial services industry, forecasting the risk factor distribution conditional on the history and the current market environment is the key to market risk modeling in general and value at risk (VaR) model in particular. As one of…

Deep generative models have shown tremendous capability in data density estimation and data generation from finite samples. While these models have shown impressive performance by learning correlations among features in the data, some…

Conditional Variational Auto Encoders (VAE) are gathering significant attention as an Explainable Artificial Intelligence (XAI) tool. The codes in the latent space provide a theoretically sound way to produce counterfactuals, i.e.…

Accurately forecasting the impact of macroeconomic events is critical for investors and policymakers. Salient events like monetary policy decisions and employment reports often trigger market movements by shaping expectations of economic…

Accurately quantifying uncertainty in predictions and projections arising from irreducible internal climate variability is critical for informed decision making. Such uncertainty is typically assessed using ensembles produced with physics…

We investigate a novel approach to time-series modeling, inspired by the successes of large pretrained foundation models. We introduce FAE (Foundation Auto-Encoders), a foundation generative-AI model for anomaly detection in time-series…

Machine Learning (ML) has become the new contrivance in almost every field. This makes them a target of fraudsters by various adversary attacks, thereby hindering the performance of ML models. Evasion and Data-Poison-based attacks are well…

A semi-recurrent hybrid VAE-GAN model for generating sequential data is introduced. In order to consider the spatial correlation of the data in each frame of the generated sequence, CNNs are utilized in the encoder, generator, and…

Estimation of the value-at-risk (VaR) of a large portfolio of assets is an important task for financial institutions. As the joint log-returns of asset prices can often be projected to a latent space of a much smaller dimension, the use of…

Time series generation (TSG) studies have mainly focused on the use of Generative Adversarial Networks (GANs) combined with recurrent neural network (RNN) variants. However, the fundamental limitations and challenges of training GANs still…

We explore the use of Vector Quantized Variational AutoEncoder (VQ-VAE) models for large scale image generation. To this end, we scale and enhance the autoregressive priors used in VQ-VAE to generate synthetic samples of much higher…

Causal discovery aims to extract qualitative causal knowledge in the form of causal graphs from data. Because causal ground truth is rarely known in the real world, simulated data plays a vital role in evaluating the performance of the…

The Variational Autoencoder (VAE) is a seminal approach in deep generative modeling with latent variables. Interpreting its reconstruction process as a nonlinear transformation of samples from the latent posterior distribution, we apply the…

We define causal estimands for experiments on single time series, extending the potential outcome framework to dealing with temporal data. Our approach allows the estimation of some of these estimands and exact randomization based p-values…