Stochastic methods improve data assimilation with high-frequency sensor data.
problem Computational challenges in data assimilation with high-frequency sensor data.
method Adapted stochastic approximation methods to handle high-frequency observations.
result Produces high-quality estimates using all observations without compromising statistical accuracy.
The paper explains how neural networks learn less salient frequency components during training.
problem Understanding the grokking phenomenon in neural networks.
method Empirical frequency analysis of training data.
result Neural networks initially learn less salient frequency components of the test data.
Method improves clarity in forecasting spatio-temporal data.
problem Forecasting spatio-temporal data with clarity and interpretability.
method Supervised semi-nonnegative matrix factorization with frequency regularization.
result Method offers clearer interpretability in forecasting spatio-temporal data.
Proposes a conservative LR estimator for infrequent data near a frequency threshold.
problem Overestimation of likelihood ratios for infrequent data near a frequency threshold.
method Conservative likelihood ratio estimator for frequencies slightly above a threshold.
result Improves prediction accuracy in named entity context prediction.
In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of the high-frequency price dynamics. An empirical analysis performed on the 30 DJIA stocks shows …
In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of the high-frequency price dynamics. An empirical analysis performed on the 30 DJIA stocks shows …
Paper uses machine learning for nowcasting corporate earnings from mixed-frequency data.
problem Predicting corporate earnings for a large cross-section of firms with different frequency data.
method Structured machine learning regressions with sparse-group LASSO regularization for panel data.
result Machine learning models outperform traditional methods in nowcasting corporate earnings.
Generative networks improve fluid simulation quality by focusing on high frequencies.
problem Low-frequency details missing in fluid simulation reconstructions.
method Frequency-aware loss function for generative networks.
result Improved perceptual quality of fluid simulation results in mid-frequency bands.
Study compares exponential and power-law kernels in modeling high-frequency trading data.
problem Modeling high-frequency trading data with specific kernel types.
method Proposes and analyzes two bivariate Hawkes processes with exponential and power-law kernels.
result Identifies strengths and limitations of exponential and power-law kernels for high-frequency trading data.
Develops new algorithms for QRF to handle mixed-frequency and longitudinal data.
problem Handling mixed-frequency and longitudinal data in quantile regression.
method Mixed-Frequency Quantile Regression Forest (MIDAS-QRF) and Finite Mixture Quantile Regression Forest (FM-QRF).
result Valid and flexible models for complex empirical settings in financial risk management and climate-change impact evaluation.
Two econometric models forecast security volatility using various data sources.
problem Forecasting security volatility using low, high, and option data.
method Proposes two GARCH models integrating low, high, and option data.
result GARCH-Itô-OI and GARCH-Itô-IV models outperform other models in 5-minute high-frequency data.
The paper introduces a frequency-domain estimator for low-order systems from noisy data.
problem Estimating frequency responses of low-order systems from noisy measurements.
method Uses a quadratic data-fitting term regularized by the nuclear norm of a Loewner matrix, subject to a convex stability constraint.
result Proves a finite-sample error bound and extends it to all frequencies through rational interpolation.
DeepVol uses high-frequency data to forecast volatility, outperforming traditional methods.
problem Improving volatility forecasting using high-frequency data.
method Dilated Causal Convolutions applied to high-frequency financial time-series.
result DeepVol outperforms traditional methods in forecasting day-ahead volatility.
The study tackles modeling high-frequency financial data using continuous distributions, finding them inadequate.
problem Challenges in modeling high-frequency integer price changes with continuous distributions.
method Proposed a modified maximum likelihood estimation procedure to account for the discreteness of high-frequency price changes.
result Traditional GARCH models are not suitable for high-frequency data due to the discreteness of price changes.
The paper introduces a new volatility model for state heterogeneous financial markets using high-frequency data.
problem State heterogeneity in financial volatility processes.
method Developed a state heterogeneous GARCH-Ito (SG-Ito) model based on continuous Ito diffusion process.
result Empirical studies reveal various state heterogeneities in S&P 500 index volatility.
Study analyzes data breach reporting patterns and frequency across U.S. states, finding increasing trends after 2020.
problem Contradictory conclusions in data breach frequency trends due to inconsistent data collection and reporting standards.
method Joint analysis of state Attorneys General's publications on data breaches across eight states with established notification laws.
result Frequency of data breaches is increasing after 2020, with commonalities and heterogeneities across states.
Paper introduces a new IV regression method for mixed-frequency data.
problem Estimating high-dimensional slope parameters in mixed-frequency data.
method Tikhonov-regularized estimator for high-dimensional linear IV regression.
result High-dimensional slope parameter can be accurately estimated using a low-frequency instrumental variable.
Frequency bias affects neural network training on non-uniform data.
problem Understanding how frequency bias impacts neural networks trained on non-uniformly distributed data.
method Used the Neural Tangent Kernel (NTK) model to explore the effect of variable density on training dynamics.
result Convergence time for learning a pure harmonic function depends on the local density at a point.
HyFAD improves time series imputation by combining time and frequency diffusion.
problem Improve time series imputation by handling frequency-sensitive denoising and balancing global and local dynamics.
method HyFAD is a hybrid time-frequency diffusion model with frequency-aware embedding, built on DDPM paradigm.
result HyFAD achieves state-of-the-art performance in time series imputation.
Bayesian model reconstructs time and frequency data robustly.
problem Missing observations and noise in time/frequency data.
method Probabilistic model, Bayesian update, joint reconstruction.
result Effective joint time/frequency reconstruction with missing data.
The paper proposes a mixed-frequency quantile regression model for VaR and ES forecasting.
problem Forecasting VaR and ES with mixed-frequency data.
method Mixed-frequency quantile regression model to estimate VaR and ES.
result The proposed model outperforms other models in VaR and ES backtesting tests.
Models predict stock returns from high-frequency data for better investment.
problem Training effective models for stock selection using high-frequency price-volume data.
method Developed two models: CNN and LSTM, trained on past high-frequency price data.
result Annualized net rate of return of 62.27% for CNN model and 50.31% for LSTM model.
The study tackles rough noise in high-frequency financial data using fractional Brownian motion.
problem Impediments to analyzing high-frequency financial data due to noise.
method Assuming an efficient price process as a continuous Itô semimartingale, the study derives consistent estimators and confidence intervals for roughness parameters and volatilities.
result The rough noise model explains divergence rates in volatility signature plots over time and between assets.
Flexible method for estimating frequencies in large datasets using sketching.
problem Estimating frequencies in very large datasets efficiently and accurately.
method Data-adaptive conformal inference method based on a smaller sketch of data.
result Proves validity of frequentist confidence intervals under data exchangeability.
Bayesian machine learning methods improve nowcasting with mixed frequency data.
problem Handling frequency mismatches and predicting short-term economic indicators.
method Developed Gaussian process (GP) methods for MIDAS regressions.
result Gaussian process-MIDAS methods offer gains in predictive accuracy.
Bayesian nonparametric CMS improves frequency estimation for power-law data.
problem Estimating frequencies of low-frequency tokens in power-law data streams.
method Developed a learning-augmented count-min sketch using a normalized inverse Gaussian process prior.
result The approach achieves remarkable performance in estimating low-frequency tokens.
Informer model with GMADL loss outperforms benchmarks in high frequency Bitcoin trading.
problem Developing automated trading strategies for high frequency Bitcoin data.
method Informer architecture with RMSE, GMADL, and Quantile loss functions.
result Informer model with GMADL loss function outperforms benchmarks in trading outcomes.
A new neural network improves frequency estimation from noisy signals.
problem Estimating frequencies of sinusoidal components in noisy signals.
method A novel neural network architecture combined with a module to detect the number of frequencies.
result Significantly more accurate frequency estimation at medium-to-high noise levels.
LSTM models improve macroeconomic forecasting with mixed frequency data.
problem Improving accuracy of macroeconomic forecasts using mixed frequency data.
method Adapted LSTM model to mixed frequency data, using U-MIDAS scheme.
result Proposed LSTM models outperform conventional MIDAS models in out-of-sample predictive performance.
PhaseDNN speeds up learning of high-dimensional functions across wide frequencies.
problem Training high-dimensional functions at wide frequencies is slow and inefficient.
method Parallel DNNs with frequency-specific training and phase shifts.
result PhaseDNN achieves uniform learning across wide frequencies.
FredNormer improves time series forecasting by adapting to frequency domain patterns.
problem Current normalization methods struggle with non-stationary time series due to their time-domain approach.
method FredNormer analyzes frequency components, adapts weights, and improves robustness.
result FredNormer boosts forecasting accuracy by 33.3% on ETTm2 dataset.
Estimates BitCoin price determinants using GARCH model on high-frequency data.
problem Determining the price determinants of BitCoin.
method GARCH model applied to hourly BitCoin data from 2013-2018.
result Both transaction and speculative demand significantly impact BitCoin price.
SRMD uses random features for efficient time-frequency analysis.
problem Efficiently analyzing time-series data with low computational cost.
method Sparse Random Mode Decomposition (SRMD) constructs a sparse approximation to the spectrogram.
result SRMD outperforms other methods in signal representation, outlier removal, and mode decomposition.
The paper develops methods to estimate frequencies in large discrete data sets with improved coverage and robustness.
problem Estimating frequencies in large, discrete data sets with valid coverage and robustness.
method Conformal inference methods using discrete sketches, marginal coverage for queries, and novel conformal calibration.
result Improved empirical performance compared to existing methods in simulations and real data.
Novel Fourier-based estimator reveals stochastic leverage effect in high-frequency data.
problem Analyzing the stochastic leverage effect in high-frequency data.
method A novel Fourier-based estimator of the stochastic leverage effect is defined and proven consistent.
result The magnitude of the stochastic leverage effect is detectable at high-frequency.
New Fourier-based diffusion model improves high-frequency generation quality.
problem Diffusion models struggle with high-frequency details.
method Analyzed and modified the forward process in Fourier space to equalize noise corruption across frequencies.
result Improved generation quality for high-frequency components.
Study analyzes fluctuations in Mexican financial market index.
problem Understanding intra-day fluctuations in Mexican financial market index.
method Statistical analysis of high frequency tick-to-tick data, temporal aggregation, and comparison of distributions.
result Intra-day fluctuations do not follow alpha-stable distributions, suggesting autocorrelations.
Transformer model with mixed-frequency data improves stock volatility prediction.
problem Improving stock volatility prediction using mixed-frequency data.
method Transformer model trained on mixed-frequency data (GARCH-MIDAS model for frequency alignment).
result Transformer model reduces mean square error from 1.00 to 0.86.
A new method for modeling insurance claim frequencies using random proportions.
problem Inaccurate fitting of classical distributions to insurance claim frequency data.
method Modeling claim frequencies using random proportions of insurance contracts and applying goodness-of-fit tests.
result A new statistical approach for better modeling insurance claim frequencies.
Study compares machine learning models for insurance pricing, including neural networks and GLMs.
problem Improving insurance pricing models using machine learning techniques.
method Benchmark study using four insurance datasets, comparing GLMs, GBM, FFNN, and CANN.
result CANNs provide better performance than GLMs and GBM, especially for frequency and severity modeling.
Estimates Ornstein-Uhlenbeck process from high-frequency data, reducing noise bias.
problem Parameter estimation bias in high-frequency stock data.
method Maximum likelihood estimator robust to market microstructure noise.
result Noise-robust estimator leads to improved pairs trading strategy profitability.
Deep neural networks are biased towards low frequencies, affecting global behavior.
problem Understanding the limitations of neural networks in capturing high-frequency patterns.
method Using Fourier analysis, the study examines the spectral bias of neural networks and their expressivity.
result Deep ReLU networks are biased towards low frequency functions, making it difficult to capture local fluctuations.
Many spectral unmixing methods rely on the non-negative decomposition of spectral data onto a dictionary of spectral templates. In particular, state-of-the-art music transcription systems decompose the spectrogram of the input signal onto a dictionary of representative note spectra. The typical measures of fit used to …
This work analyzes how frequency components affect CNN predictions and robustness.
problem Lack of frequency-based explanation for CNNs leading to vulnerabilities.
method Frequency component analysis and quantification of their contribution to CNN predictions.
result Adversarial attacks exploit high-frequency features, while robustness comes from low-frequency associations.
A new method to estimate local volatility from high-frequency data.
problem Quantitative trading risk management needs a better way to estimate volatility.
method Realized local volatility surface estimated via high-frequency data and Bayesian nonparametric estimation.
result The method can capture counterfactual volatility and improve risk management.
Study predicts price predictability in ultra-high frequency financial data using entropy tests.
problem Tackles predictability of ultra-high frequency financial data.
method Develops statistical tests based on Shannon entropy and Kullback-Leibler divergence to analyze predictability.
result Degree of randomness increases with aggregation level in transaction time.
Band-limited training reduces resource usage without sacrificing accuracy.
problem Resource constraints in training Convolutional Neural Networks (CNNs).
method Artificially constraining the frequency spectra of convolutional filters during training.
result CNNs can leverage lower-frequency components effectively, reducing resource usage.
Study shows how neural network learning rates vary with function frequency.
problem Understanding how neural networks learn functions of different frequencies.
method Approximated neural network dynamics with a linear system, analyzed eigenfunctions and eigenvalues.
result A shallow neural network without bias cannot learn low frequency functions with odd frequencies.