相关论文: Deep Learning-Based Financial Time Series Forecast…

Long-term time series forecasting (LTSF) is a challenging task that has been investigated in various domains such as finance investment, health care, traffic, and weather forecasting. In recent years, Linear-based LTSF models showed better…

We present a deep neural network for a model-free prediction of a chaotic dynamical system from noisy observations. The proposed deep learning model aims to predict the conditional probability distribution of a state variable. The Long…

Prediction for high dimensional time series is a challenging task due to the curse of dimensionality problem. Classical parametric models like ARIMA or VAR require strong modeling assumptions and time stationarity and are often…

One of the challenging research problems in the domain of time series analysis and forecasting is making efficient and robust prediction of stock market prices. With rapid development and evolution of sophisticated algorithms and with the…

Dynamic mode decomposition (DMD) provides a principled approach to extract physically interpretable spatial modes from time-resolved flow field data, along with a linear model for how the amplitudes of these modes evolve in time. Recently,…

Predicting a fast and accurate model for stock price forecasting is been a challenging task and this is an active area of research where it is yet to be found which is the best way to forecast the stock price. Machine learning, deep…

The recent surge in Deep Learning (DL) research of the past decade has successfully provided solutions to many difficult problems. The field of quantitative analysis has been slowly adapting the new methods to its problems, but due to…

Although Transformer-based methods have significantly improved state-of-the-art results for long-term series forecasting, they are not only computationally expensive but more importantly, are unable to capture the global view of time series…

The financial domain presents a complex environment for stock market prediction, characterized by volatile patterns and the influence of multifaceted data sources. Traditional models have leveraged either Convolutional Neural Networks (CNN)…

Spatial time series forecasting problems arise in a broad range of applications, such as environmental and transportation problems. These problems are challenging because of the existence of specific spatial, short-term and long-term…

Forecasting with multivariate time series, which aims to predict future values given previous and current several univariate time series data, has been studied for decades, with one example being ARIMA. Because it is difficult to measure…

Dynamic Mode Decomposition (DMD) is a data based modeling tool that identifies a matrix to map a quantity at some time instant to the same quantity in future. We design a new version which we call Adaptive Dynamic Mode Decomposition (ADMD)…

We develop a data-driven approach for signal denoising that utilizes variational mode decomposition (VMD) algorithm and Cramer Von Misses (CVM) statistic. In comparison with the classical empirical mode decomposition (EMD), VMD enjoys…

Various studies that address the compressed sensing problem with Multiple Measurement Vectors (MMVs) have been recently carried. These studies assume the vectors of the different channels to be jointly sparse. In this paper, we relax this…

Time-series is ubiquitous across applications, such as transportation, finance and healthcare. Time-series is often influenced by external factors, especially in the form of asynchronous events, making forecasting difficult. However,…

The implied volatility smile surface is the basis of option pricing, and the dynamic evolution of the option volatility smile surface is difficult to predict. In this paper, attention mechanism is introduced into LSTM, and a volatility…

The paper presents a spatio-temporal wind speed forecasting algorithm using Deep Learning (DL)and in particular, Recurrent Neural Networks(RNNs). Motivated by recent advances in renewable energy integration and smart grids, we apply our…

Stochastic volatility models, where the volatility is a stochastic process, can capture most of the essential stylized facts of implied volatility surfaces and give more realistic dynamics of the volatility smile/skew. However, they come…

Financial forecasting is an example of a signal processing problem which is challenging due to Small sample sizes, high noise, non-stationarity, and non-linearity,but fast forecasting of stock market price is very important for strategic…

Dynamic Mode Decomposition (DMD) is a data-driven decomposition technique extracting spatio-temporal patterns of time-dependent phenomena. In this paper, we perform a comprehensive theoretical analysis of various variants of DMD. We provide…