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.
ARMA nets expand receptive fields for dense prediction tasks.
WAVE improves time series forecasting by integrating AR and MA components.
In this article, we first propose the modified Hannan-Rissanen Method for estimating the parameters of the autoregressive moving average (ARMA) process with symmetric stable noise and symmetric stable generalized autoregressive conditional heteroskedastic (GARCH) noise. Next, we propose the modified empirical character…
Optimizes prediction error method for time-varying models.
In this paper, we address the problem of adaptive learning for autoregressive moving average (ARMA) model in the quaternion domain. By transforming the original learning problem into a full information optimization task without explicit noise terms, and then solving the optimization problem using the gradient descent a…
ARMA cell simplifies neural autoregressive modeling for time series.
One of the cornerstones of the field of signal processing on graphs are graph filters, direct analogues of classical filters, but intended for signals defined on graphs. This work brings forth new insights on the distributed graph filtering problem. We design a family of autoregressive moving average (ARMA) recursions,…
Algorithm learns graph ARMA processes for missing signal estimation.
Proposes a method for forecasting time series with multiple seasonality.
Automatically learns summary features from time series data for likelihood-free inference.
This paper clusters networks with annotated time-series data using kernel-ARMA and Grassmannian geometry.
We show Vector Autoregressive Moving Average models with scalar Moving Average components could be estimated by generalized least square (GLS) for each fixed moving average polynomial. The conditional variance of the GLS model is the concentrated covariant matrix of the moving average process. Under GLS the likelihood …
Estimating hidden processes from non-linear noisy observations is particularly difficult when the parameters of these processes are not known. This paper adopts a machine learning approach to devise variational Bayesian inference for such scenarios. In particular, a random process generated by the autoregressive moving…
Midterm stock price prediction is crucial for value investments in the stock market. However, most deep learning models are essentially short-term and applying them to midterm predictions encounters large cumulative errors because they cannot avoid anomalies. In this paper, we propose a novel deep neural network Mid-LS…
In this paper we consider portmanteau tests for testing the adequacy of multiplicative seasonal autoregressive moving-average (SARMA) models under the assumption that the errors are uncorrelated but not necessarily independent.We relax the standard independence assumption on the error term in order to extend the range …
Deep learning models outperform traditional methods in stock price prediction.
This article proposes and evaluates a technique to predict the level of interference in wireless networks. We design a recursive predictor that estimates future interference values by filtering measured interference at a given location. The predictor's parameterization is done offline by translating the autocorrelation…
Stock price prediction is important for value investments in the stock market. In particular, short-term prediction that exploits financial news articles is promising in recent years. In this paper, we propose a novel deep neural network DP-LSTM for stock price prediction, which incorporates the news articles as hidden…
The assessment of co-movement among metals is crucial to better understand the behaviors of the metal prices and the interactions with others that affect the changes in prices. In this study, both Wavelet Analysis and VARMA (Vector Autoregressive Moving Average) models are utilized. First, Multiple Wavelet Coherence (M…
Adaptive t-distribution estimates nonstationary time series using moving moments.
We propose a mathematical procedure for finding informed trader activities in European-style options and their underlying asset. The regression model (9) with moving average component was written. Being added to it ARMA-process for log-price differences of underlying asset, the generalized model is written as Vector AR…
Popular graph neural networks implement convolution operations on graphs based on polynomial spectral filters. In this paper, we propose a novel graph convolutional layer inspired by the auto-regressive moving average (ARMA) filter that, compared to polynomial ones, provides a more flexible frequency response, is more …
We contribute a pop-song automation framework for lead melody generation and accompaniment arrangement. The framework reflects the major procedures of human music composition, generating both lead melody and piano accompaniment by a unified strategy. Specifically, we take chord progression as an input and propose three…
Uncertainty quantification (UQ) is a vital step in using mathematical models and simulations to take decisions. The field of cardiac simulation has begun to explore and adopt UQ methods to characterise uncertainty in model inputs and how that propagates through to outputs or predictions. In this perspective piece we dr…
Improved ARMA-GARCH model for illiquid assets like cryptocurrencies.
This study uses moving average cluster entropy to analyze financial market dynamics.
Recent advances in neuroscience and in the technology of functional magnetic resonance imaging (fMRI) and electro-encephalography (EEG) have propelled a growing interest in brain-network clustering via time-series analysis. Notwithstanding, most of the brain-network clustering methods revolve around state clustering an…
We introduce an autoregressive-type model with self-modulation effects for a foreign exchange rate by separating the foreign exchange rate into a moving average rate and an uncorrelated noise. From this model we indicate that traders are mainly using strategies with weighted feedbacks of the past rates in the exchange …
Paper proposes a GAN-based approach for RTLMP prediction.
Long short-term memory network outperforms seasonal model in JSE Top 40 forecasting.
A new QHR model extends HR model with a quadratic variance function.
We derive an explicit formula for likelihood function for Gaussian VARMA model conditioned on initial observables where the moving-average (MA) coefficients are scalar. For fixed MA coefficients the likelihood function is optimized in the autoregressive variables 's by a closed form formula generalizing regression c…
Traffic flow forecasting is hot spot research of intelligent traffic system construction. The existing traffic flow prediction methods have problems such as poor stability, high data requirements, or poor adaptability. In this paper, we define the traffic data time singularity ratio in the dropout module and propose a …
Behavior cloning training instabilities amplified by SGD noise over long horizons.
Variational inference has had great success in scaling approximate Bayesian inference to big data by exploiting mini-batch training. To date, however, this strategy has been most applicable to models of independent data. We propose an extension to state space models of time series data based on a novel generative model…
Paper estimates non-causal graphical models using covariance extension and transportation distance.
Time series analysis is a key component of machine learning, with applications in various fields.
Study compares local and global models for hierarchical forecasting accuracy.
Study models live cattle futures prices in Brazil.
In this paper, we use the house price data ranging from January 2004 to October 2016 to predict the average house price of November and December in 2016 for each district in Beijing, Shanghai, Guangzhou and Shenzhen. We apply Autoregressive Integrated Moving Average model to generate the baseline while LSTM networks to…
Forecasting time series data is an important subject in economics, business, and finance. Traditionally, there are several techniques to effectively forecast the next lag of time series data such as univariate Autoregressive (AR), univariate Moving Average (MA), Simple Exponential Smoothing (SES), and more notably Auto…
New model prices options with complex market data structures.
Adaptive estimation of alpha-Stable distribution and Hurst exponent for nonstationary time series.
In this article we present an approach that enables joint wind speed and wind power forecasts for a wind park. We combine a multivariate seasonal time varying threshold autoregressive moving average (TVARMA) model with a power threshold generalized autoregressive conditional heteroscedastic (power-TGARCH) model. The mo…
Combines spline interpolation and ARIMA for stock market forecasting.
Deep learning predicts road GHG emissions with speed, density, and past ERs.
Study improves financial risk assessment using ARMA-APARCH-EVT models with HACs.
Paper uses LSTM neural networks to forecast commodity prices.