相关论文: Deep Recurrent Factor Model: Interpretable Non-Lin…

With the volatile and complex nature of financial data influenced by external factors, forecasting the stock market is challenging. Traditional models such as ARIMA and GARCH perform well with linear data but struggle with non-linear…

The Gaussian Process with a deep kernel is an extension of the classic GP regression model and this extended model usually constructs a new kernel function by deploying deep learning techniques like long short-term memory networks. A…

Deep fundamental factor models are developed to automatically capture non-linearity and interaction effects in factor modeling. Uncertainty quantification provides interpretability with interval estimation, ranking of factor importances and…

This paper introduces a consistent estimator and rate of convergence for the precision matrix of asset returns in large portfolios using a non-linear factor model within the deep learning framework. Our estimator remains valid even in low…

Firms earning prediction plays a vital role in investment decisions, dividends expectation, and share price. It often involves multiple tensor-compatible datasets with non-linear multi-way relationships, spatiotemporal structures, and…

We construct the maximally predictable portfolio (MPP) of stocks using machine learning. Solving for the optimal constrained weights in the multi-asset MPP gives portfolios with a high monthly coefficient of determination, given the sample…

Portfolio management is a fundamental problem in finance. It involves periodic reallocations of assets to maximize the expected returns within an appropriate level of risk exposure. Deep reinforcement learning (RL) has been considered a…

This study proposes a deep learning model based on the combination of convolutional neural network (CNN) and bidirectional long short-term memory network (BiLSTM) for discriminant analysis of financial systemic risk. The model first uses…

Deep learning offers new tools for portfolio optimization. We present an end-to-end framework that directly learns portfolio weights by combining Long Short-Term Memory (LSTM) networks to model temporal patterns, Graph Attention Networks…

The Black-Litterman model addresses the sensitivity issues of tra- ditional mean-variance optimization by incorporating investor views, but systematically generating these views remains a key challenge. This study proposes and validates a…

Machine learning solutions for pattern classification problems are nowadays widely deployed in society and industry. However, the lack of transparency and accountability of most accurate models often hinders their safe use. Thus, there is a…

In this work, we propose an approach to generalize denoising diffusion probabilistic models for stock market predictions and portfolio management. Present works have demonstrated the efficacy of modeling interstock relations for market…

A novel deep neural network framework -- that we refer to as Deep Dynamic Factor Model (D$^2$FM) --, is able to encode the information available, from hundreds of macroeconomic and financial time-series into a handful of unobserved latent…

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.…

Precisely forecasting the excess returns of an asset (e.g., Tesla stock) is beneficial to all investors. However, the unpredictability of market dynamics, influenced by human behaviors, makes this a challenging task. In prior research,…

In this paper, we investigate the parameter identification problem in dynamical systems through a deep learning approach. Focusing mainly on second-order, linear time-invariant dynamical systems, the topic of damping factor identification…

The Linear Multistep Method Particle Filter (LMM PF) is a method for predicting the evolution in time of a evolutionary system governed by a system of differential equations. If some of the parameters of the governing equations are…

We predict asset returns and measure risk premia using a prominent technique from artificial intelligence -- deep sequence modeling. Because asset returns often exhibit sequential dependence that may not be effectively captured by…

We compare traditional approach of computing logarithmic returns with the fractional differencing method and its tempered extension as methods of data preparation before their usage in advanced machine learning models. Differencing…

In this paper, we propose an interpretable LSTM recurrent neural network, i.e., multi-variable LSTM for time series with exogenous variables. Currently, widely used attention mechanism in recurrent neural networks mostly focuses on the…