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.

168,695 papers · 148 categories

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3 results for “SGDLMs”

Bayesian Forecasting of Stock Returns on the JSE using Simultaneous Graphical Dynamic Linear Modelsq-fin.ST

Study forecasts stock returns on JSE using SGDLMs capturing cross-series dependencies.

problem Accurate forecasting of multivariate time series data.

method Simultaneous Graphical Dynamic Linear Models (SGDLMs) with customised DLMs and importance sampling/mean-field variational Bayes.

result SGDLMs accurately forecast stock data on JSE and respond to market changes.

SGDLMs Dynamic Linear Models Stock Forecasting JSE Bayesian

2023-07-07abs ↗pdf ↗

A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviourq-fin.CP

We propose a heterogeneous simultaneous graphical dynamic linear model (H-SGDLM), which extends the standard SGDLM framework to incorporate a heterogeneous autoregressive realised volatility (HAR-RV) model. This novel approach creates a GPU-scalable multivariate volatility estimator, which decomposes multiple time seri…

2019-04-17abs ↗pdf ↗

Efficient computation of mean reverting portfolios using cyclical coordinate descentq-fin.PM

The econometric challenge of finding sparse mean reverting portfolios based on a subset of a large number of assets is well known. Many current state-of-the-art approaches fall into the field of co-integration theory, where the problem is phrased in terms of an eigenvector problem with sparsity constraint. Although a n…

2019-05-14abs ↗pdf ↗