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.
Method improves clarity in forecasting spatio-temporal data.
FreST Loss decorrelates spatio-temporal dependencies in graph signals.
This letter extends the concept of graph-frequency to graph signals that evolve with time. Our goal is to generalize and, in fact, unify the familiar concepts from time- and graph-frequency analysis. To this end, we study a joint temporal and graph Fourier transform (JFT) and demonstrate its attractive properties. We b…
tempdisagg transforms low-frequency data into high-frequency estimates.
Bayesian model reconstructs time and frequency data robustly.
FAL improves formation resistivity prediction from cased boreholes with noise resistance.
A method for fast, accurate cross-temporal forecasts using machine learning.
MPTE uses Transformer attention to estimate mixed-frequency factor models.
A new method integrates Fourier basis expansion and mapping for improved time series forecasting.
Neural HMM with AGA captures multi-scale dynamics in financial markets.
Time delay neural networks (TDNNs) are an effective acoustic model for large vocabulary speech recognition. The strength of the model can be attributed to its ability to effectively model long temporal contexts. However, current TDNN models are relatively shallow, which limits the modelling capability. This paper propo…
We analyzed multifractal properties of 5-minute stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and nonlinear temporal correlations, vitally contribute to the observed multifractal dynamics of the returns. For majority of…
PRISM integrates diverse rewards in MORL, improving sample efficiency and Pareto coverage.
TimeVQVAE uses VQ for better time series generation.
Recently, studies on deep Reservoir Computing (RC) highlighted the role of layering in deep recurrent neural networks (RNNs). In this paper, the use of linear recurrent units allows us to bring more evidence on the intrinsic hierarchical temporal representation in deep RNNs through frequency analysis applied to the sta…
High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between two normalized spectrograms of the tick frequency and the generalized Jensen-Sha…
Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent since 2005, are apparent in the dynamics of the dollar traded volume. Indeed it is found in almost all of 14 heavily tra…
The ConditionaL Neural Networks (CLNN) and the Masked ConditionaL Neural Networks (MCLNN) exploit the nature of multi-dimensional temporal signals. The CLNN captures the conditional temporal influence between the frames in a window and the mask in the MCLNN enforces a systematic sparseness that follows a filterbank-lik…
Study high-frequency trading patterns in cryptocurrencies.
Forecasting multivariate time series data, such as prediction of electricity consumption, solar power production, and polyphonic piano pieces, has numerous valuable applications. However, complex and non-linear interdependencies between time steps and series complicate the task. To obtain accurate prediction, it is cru…
T-KAN improves HFT LOB forecasting with learnable splines.
Proposes a deep multi-scale neural network for EEG signal representation learning.
iSTFTNet2 improves iSTFTNet's speed and lightness with 1D-2D CNN.
We propose the application of a high-speed maximum likelihood clustering algorithm to detect temporal financial market states, using correlation matrices estimated from intraday market microstructure features. We first determine the ex-ante intraday temporal cluster configurations to identify market states, and then st…
Paper introduces a neural framework for accurate energy forecasting.
Study analyzes fluctuations in Mexican financial market index.
Speech separation has been very successful with deep learning techniques. Substantial effort has been reported based on approaches over spectrogram, which is well known as the standard time-and-frequency cross-domain representation for speech signals. It is highly correlated to the phonetic structure of speech, or "how…
AaSP improves audio self-supervised learning by addressing aliasing issues.
Neural network based architectures used for sound recognition are usually adapted from other application domains such as image recognition, which may not harness the time-frequency representation of a signal. The ConditionaL Neural Networks (CLNN) and its extension the Masked ConditionaL Neural Networks (MCLNN) are des…
Automatic feature extraction using neural networks has accomplished remarkable success for images, but for sound recognition, these models are usually modified to fit the nature of the multi-dimensional temporal representation of the audio signal in spectrograms. This may not efficiently harness the time-frequency repr…
Acoustic scenes are rich and redundant in their content. In this work, we present a spatio-temporal attention pooling layer coupled with a convolutional recurrent neural network to learn from patterns that are discriminative while suppressing those that are irrelevant for acoustic scene classification. The convolutiona…
EPNE models evolving network patterns for better predictions.
New method estimates robust multi-period portfolios using entropy.
Deep neural network architectures designed for application domains other than sound, especially image recognition, may not optimally harness the time-frequency representation when adapted to the sound recognition problem. In this work, we explore the ConditionaL Neural Network (CLNN) and the Masked ConditionaL Neural N…
Deep learning applies hierarchical layers of hidden variables to construct nonlinear high dimensional predictors. Our goal is to develop and train deep learning architectures for spatio-temporal modeling. Training a deep architecture is achieved by stochastic gradient descent (SGD) and drop-out (DO) for parameter regul…
Basic peculiarities of market price fluctuations are known to be well described by a recently developed random walk model in a temporally deforming quadric potential force whose center is given by a moving average of past price traces [Physica A 370, pp91-97, 2006]. By analyzing high-frequency financial time series of …
SNNs enhance high-frequency price spike forecasting in HFT environments.
The paper tackles video prediction by estimating conditional densities implicitly.
Paper uses TCN with attention to predict UHF stock price changes.
A new model for imputing missing values in time series data across domains.
DUET enhances multivariate time series forecasting by clustering time and channels.
Enhances speech emotion recognition by adapting to varying time scales.
HYPA-DBGNN detects anomalous sequential patterns in temporal graphs.
Triangular, overlapping Mel-scaled filters ("f-banks") are the current standard input for acoustic models that exploit their input's time-frequency geometry, because they provide a psycho-acoustically motivated time-frequency geometry for a speech signal. F-bank coefficients are provably robust to small deformations in…
Financial time-series forecasting has long been a challenging problem because of the inherently noisy and stochastic nature of the market. In the High-Frequency Trading (HFT), forecasting for trading purposes is even a more challenging task since an automated inference system is required to be both accurate and fast. I…
Study predicts room occupancy using machine learning, achieving high accuracy.
Early recognition of abnormal rhythms in ECG signals is crucial for monitoring and diagnosing patients' cardiac conditions, increasing the success rate of the treatment. Classifying abnormal rhythms into exact categories is very challenging due to the broad taxonomy of rhythms, noises and lack of large-scale real-world…
This study applies EMD to MSCI World index and converts IMFs into graphs for GNN modeling.