相关论文: Slow Momentum with Fast Reversion: A Trading Strat…

Propose a deep learning driven multi factor investment model optimization method for risk control. By constructing a deep learning model based on Long Short Term Memory (LSTM) and combining it with a multi factor investment model, we…

The paper examines the performance of regression models (OLS linear regression, Ridge regression, Random Forest, and Fully-connected Neural Network) on the prediction of CMA (Conservative Minus Aggressive) factor premium and the performance…

Graph-based change point detection (CPD) play an irreplaceable role in discovering anomalous graphs in the time-varying network. While several techniques have been proposed to detect change points by identifying whether there is a…

Against the backdrop of increasingly severe global environmental changes, accurately predicting and meeting renewable energy demands has become a key challenge for sustainable business development. Traditional energy demand forecasting…

Fixed-point optimization of deep neural networks plays an important role in hardware based design and low-power implementations. Many deep neural networks show fairly good performance even with 2- or 3-bit precision when quantized weights…

Detecting change-points in data is challenging because of the range of possible types of change and types of behaviour of data when there is no change. Statistically efficient methods for detecting a change will depend on both of these…

Model-based next state prediction and state value prediction are slow to converge. To address these challenges, we do the following: i) Instead of a neural network, we do model-based planning using a parallel memory retrieval system (which…

Training deep neural networks is challenging. To accelerate training and enhance performance, we propose PadamP, a novel optimization algorithm. PadamP is derived by applying the adaptive estimation of the p-th power of the second-order…

We introduce a novel approach to options trading strategies using a highly scalable and data-driven machine learning algorithm. In contrast to traditional approaches that often require specifications of underlying market dynamics or…

Training deep learning neural networks often requires massive amounts of computational ressources. We propose to sequentially monitor network predictions to trigger retraining only if the predictions are no longer valid. This can reduce…

Forecasting models for systematic trading strategies do not adapt quickly when financial market conditions rapidly change, as was seen in the advent of the COVID-19 pandemic in 2020, causing many forecasting models to take loss-making…

Optimization algorithms with momentum, e.g., (ADAM), have been widely used for building deep learning models due to the faster convergence rates compared with stochastic gradient descent (SGD). Momentum helps accelerate SGD in the relevant…

Traffic allocation is a process of redistributing natural traffic to products by adjusting their positions in the post-search phase, aimed at effectively fostering merchant growth, precisely meeting customer demands, and ensuring the…

With an increasing emphasis on driving down the costs of Operations and Maintenance (O&M) in the Offshore Wind (OSW) sector, comes the requirement to explore new methodology and applications of Deep Learning (DL) to the domain.…

Discovering constants of motion is meaningful in helping understand the dynamical systems, but inevitably needs proficient mathematical skills and keen analytical capabilities. With the prevalence of deep learning, methods employing neural…

By informing the onset of the degradation process, health status evaluation serves as a significant preliminary step for reliable remaining useful life (RUL) estimation of complex equipment. This paper proposes a novel temporal dynamics…

Hierarchical Reinforcement Learning (HRL) enhances the scalability of decision-making in long-horizon tasks by introducing temporal abstraction through options-policies that span multiple timesteps. Despite its theoretical appeal, the…

The application of deep learning to non-stationary temporal datasets can lead to overfitted models that underperform under regime changes. In this work, we propose a modular machine learning pipeline for ranking predictions on temporal…

Many real-world time series, such as in health, have changepoints where the system's structure or parameters change. Since changepoints can indicate critical events such as onset of illness, it is highly important to detect them. However,…

Non-stationary environments are challenging for reinforcement learning algorithms. If the state transition and/or reward functions change based on latent factors, the agent is effectively tasked with optimizing a behavior that maximizes…