On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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3 results for “Attention-GRU”

American Option Pricing using Self-Attention GRU and Shapley Value Interpretationq-fin.PR

The paper uses GRU and self-attention for SPY option pricing.

problem Precise prediction of SPY option prices for better investment decisions.

method Partitioned dataset, built four models, used SHAP for interpretation.

result Self-attention GRU model outperforms traditional models.

American option GRU SHAP Machine learning Option pricing

2023-10-19abs ↗pdf ↗

Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learningq-fin.PM

Dynamic portfolio strategy using generative model with attention mechanism.

problem Dynamic modeling of multivariate stock returns with tail-side properties.

method Dynamic generative factor model using Attention-GRU network for dynamic learning and forecasting.

result The proposed model leads to wiser investments with higher reward-risk ratios and lower tail risks.

portfolio optimization dynamic modeling tail-side properties Attention-GRU CVaR

2023-01-18abs ↗pdf ↗

Evaluating Credit VIX (CDS IV) Prediction Methods with Incremental Batch Learningq-fin.CP

Paper evaluates different models for predicting credit default swap volatility.

problem Predicting the Implied Volatility of credit default swaps.

method SVM, Gradient Boosting, and Attention-GRU Hybrid model.

result Identifies strengths in classical and SOTA machine learning methods.

Credit VIX CDS IV Implied Volatility Machine Learning Incremental Batch Learning

2024-08-27abs ↗pdf ↗