相关论文: Quantile Convolutional Neural Networks for Value a…
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…
Time series prediction aims to predict future values to help stakeholders make proper strategic decisions. This problem is relevant in all industries and areas, ranging from financial data to demand to forecast. However, it remains…
As machine learning systems get widely adopted for high-stake decisions, quantifying uncertainty over predictions becomes crucial. While modern neural networks are making remarkable gains in terms of predictive accuracy, characterizing…
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…
Time series anomaly detection plays a critical role in automated monitoring systems. Most previous deep learning efforts related to time series anomaly detection were based on recurrent neural networks (RNN). In this paper, we propose a…
In this paper we survey the most recent advances in supervised machine learning and high-dimensional models for time series forecasting. We consider both linear and nonlinear alternatives. Among the linear methods we pay special attention…
Accurately defining, measuring and mitigating risk is a cornerstone of financial risk management, especially in the presence of financial contagion. Traditional correlation-based risk assessment methods often struggle under volatile market…
Motivated by a broad range of potential applications, we address the quantile prediction problem of real-valued time series. We present a sequential quantile forecasting model based on the combination of a set of elementary nearest…
We propose Significance-Offset Convolutional Neural Network, a deep convolutional network architecture for regression of multivariate asynchronous time series. The model is inspired by standard autoregressive (AR) models and gating…
In the modern power market, electricity trading is an extremely competitive industry. More accurate price forecast is crucial to help electricity producers and traders make better decisions. In this paper, a novel method of convolutional…
Quantile regression provides a framework for modeling statistical quantities of interest other than the conditional mean. The regression methodology is well developed for linear models, but less so for nonparametric models. We consider…
This paper presents a method for time series forecasting with deep learning and its assessment on two datasets. The method starts with data preparation, followed by model training and evaluation. The final step is a visual inspection.…
Quantile regression (QR) is a powerful tool for estimating one or more conditional quantiles of a target variable $\mathrm{Y}$ given explanatory features $\boldsymbol{\mathrm{X}}$. A limitation of QR is that it is only defined for scalar…
Conditional Value at Risk (CVaR) is a prominent risk measure that is being used extensively in various domains. We develop a new formula for the gradient of the CVaR in the form of a conditional expectation. Based on this formula, we…
Convolutional neural networks (CNNs) are widely used for image recognition and text analysis, and have been suggested for application on one-dimensional data as a way to reduce the need for pre-processing steps. Pre-processing is an…
Many state-of-the-art algorithms for solving hard combinatorial problems in artificial intelligence (AI) include elements of stochasticity that lead to high variations in runtime, even for a fixed problem instance. Knowledge about the…
An important goal in visual recognition is to devise image representations that are invariant to particular transformations. In this paper, we address this goal with a new type of convolutional neural network (CNN) whose invariance is…
Constructing valid prediction intervals rather than point estimates is a well-established approach for uncertainty quantification in the regression setting. Models equipped with this capacity output an interval of values in which the ground…
We present a neural network based calibration method that performs the calibration task within a few milliseconds for the full implied volatility surface. The framework is consistently applicable throughout a range of volatility models…
In this paper, we apply quantum machine learning (QML) to predict the stock prices of multiple assets using a contextual quantum neural network. Our approach captures recent trends to predict future stock price distributions, moving beyond…