Predicts short-term futures contract direction using neural networks and order flow data.
problem Challenges in predicting short-term directional movement of futures contracts.
method Engineering features from technical analysis, order flow, and order-book data; training a Tabnet neural network.
result Achieved an accuracy of 0.601 in predicting directional change on the Silver Futures Contract.
Futures trading is the core of futures business, and it is considered as one of the typical complex systems. To investigate the complexity of futures trading, we employ the analytical method of complex networks. First, we use real trading records from the Shanghai Futures Exchange to construct futures trading networks,…
Hidden Markov model predicts profitable statistical arbitrage in Shanghai crude oil futures.
problem Statistical arbitrage opportunities in international crude oil futures markets.
method Hidden Markov model for cointegration spread, mean-reverting regime-switching process.
result Statistical arbitrage strategies involving Shanghai crude oil futures are profitable.
The paper outlines future work in random sets theory.
problem Developing a theory of statistical reasoning with random sets.
method Generalizing logistic regression, probability laws, and geometric uncertainty.
result A new geometric approach to uncertainty with general random sets.
RegFlow models future states with flexible probability distributions.
problem Predicting future states under complex, non-deterministic scenarios.
method Hypernetwork architecture and continuous normalizing flow model.
result RegFlow achieves state-of-the-art results on benchmark datasets.
A new challenge to quantitative finance after the recent financial crisis is the study of credit valuation adjustment (CVA), which requires modeling of the future values of a portfolio. In this paper, following recent work in [Weinan E(2017), Han(2017)], we apply deep learning to attack this problem. The future values …
Study reveals stylized facts in German bond futures markets.
problem Understanding market dynamics in German bond futures.
method Analyzed tick-by-tick data of four German bond futures contracts.
result Uncovered commonalities and unique characteristics across different futures.
The study explains why signature methods work in commodity futures term structure classification.
problem Lack of interpretability in signature methods for term structure classification.
method Introducing signature perturbations to explain the success of signature-based classification.
result The volatility of the convenience yield is the major discriminant for commodity markets classification.
Paper analyzes AI's impact on job tasks, predicting future demands.
problem AI's impact on job tasks and potential technological unemployment.
method Dynamic task shares analysis using ARIMA model on large job postings dataset.
result AI has risen in high wage occupations, predicting future task demands.
CODA simulates future data to generalize models across different datasets.
problem Concept drift in real-world machine learning models.
method CODA framework using a predicted feature correlation matrix to simulate future data.
result CODA effectively achieves temporal domain generalization across different model architectures.
We study the small perturbations of the 1+3-dimensional Milne model for the Einstein-Klein-Gordon (EKG) system. We prove the nonlinear future stability, and show that the perturbed spacetimes are future causally geodesically complete. For the proof, we work within the constant mean curvature (CMC) gauge and focus on …
New method for pricing SOFR futures options, solving both American and Asian exercise styles.
problem Lack of pricing models for SOFR futures options post-LIBOR transition.
method Developed a new version of the GIT method to solve semi-analytically.
result Obtained option prices, exercise boundaries, and Greeks for American and Asian options.
New model predicts multiple future trends from merchant transactions.
problem Predicting multiple future trends from merchant transaction history.
method Convolutional neural networks and encoder-decoder structure.
result Demonstrated effectiveness in predicting multiple future trends.
This work analyzes the value of future reward information in RL.
problem Analyzing the impact of knowing future rewards in reinforcement learning.
method Competitive analysis and worst-case reward distribution.
result Exact ratios between standard RL agents and those with future-reward lookahead.
This work introduces a polynomial kernel method for inferring ODE models.
problem Estimating future behavior of dynamical systems from observations.
method Parametric polynomial kernel regression using Backpropagation and Stochastic Gradient Descent.
result Successfully tracks future behavior of chaotic dynamical systems over long time periods.
Develops polynomial diffusion models for multi-factor commodity futures dynamics.
problem Modeling futures prices using latent state variables for short and long-term stochastic factors.
method Polynomial diffusion models to incorporate non-linear effects, two filtering methods for estimation.
result Accurate estimation of futures prices despite parameter identification issues in polynomial diffusion models.
For autonomous agents to successfully operate in the real world, anticipation of future events and states of their environment is a key competence. This problem has been formalized as a sequence extrapolation problem, where a number of observations are used to predict the sequence into the future. Real-world scenarios …
Stability of a special spacetime solution is proven under certain symmetries.
problem Understanding the long-time behavior of cosmological solutions with symmetries.
method Proves stability of double-cusp spacetime solution under small T2-symmetry-preserving perturbations.
result Double-cusp solution is stable under small T2-symmetry-preserving perturbations.
EGR refines and assesses protein complex structures.
problem Improving the accuracy of protein complex 3D structures for drug discovery.
method E(3)-equivariant graph neural network (GNN) for multi-task refinement and assessment.
result EGR achieves state-of-the-art performance in refining and assessing protein complexes.
This research improves dynamical systems understanding by identifying latent states and their nonlinear transitions.
problem Previous work on dynamical systems could not identify nonlinear transition dynamics, leading to unreliable predictions.
method Proposes a state-space modeling framework using variational auto-encoders to identify latent states and their nonlinear transition functions.
result Demonstrates high accuracy in recovering latent state dynamics and future prediction accuracy.
Survey on multiplayer bandits, highlighting theoretical gaps and future directions.
problem Theoretical advancements in multiplayer bandits lack practical implementation in real-world scenarios.
method Organizes and contextualizes existing literature on multiplayer bandits.
result Clear directions for future research in adapting theoretical algorithms to real-world situations.
This work improves sample efficiency in meta-learning for nonlinear tasks.
problem Learning complex tasks efficiently with limited data.
method Subspace-based representations for nonlinear tasks.
result Subspace-based representations can be learned efficiently and improve future task performance.
RNNs are suboptimal at compressing past sensory inputs for future prediction.
problem RNNs do not optimally compress past sensory inputs for future prediction.
method Investigated RNNs trained with maximum likelihood and found they extract unnecessary information. Injected noise into hidden states to improve performance.
result Injecting noise into RNN hidden states improves predictive information, sample quality, likelihood, and classification performance.
In the present work we demonstrate the application of different physical methods to high-frequency or tick-by-tick financial time series data. In particular, we calculate the Hurst exponent and inverse statistics for the price time series taken from a range of futures indices. Additionally, we show that in a limit orde…
The tremendous growth of positioning technologies and GPS enabled devices has produced huge volumes of tracking data during the recent years. This source of information constitutes a rich input for data analytics processes, either offline (e.g. cluster analysis, hot motion discovery) or online (e.g. short-term forecast…
The paper examines mass aspects at future null infinity and limits of quasilocal mass.
problem Understanding mass aspects and limits of quasilocal mass at future null infinity.
method Review and extension of Bondi mass and mass loss formula in Bondi-Sachs coordinate system.
result New results about the limit of quasilocal mass of unit spheres at null infinity.
Improved online classification with accurate predictions.
problem Online classification challenges with limited data.
method Designing an online learner that uses predictions to reduce regret.
result Expected regret is better than worst-case analysis, especially with accurate predictions.
This is a condensed exposition of the results of a future work, based on a talk of the second author at the Oberwolfach workshop "Poisson Geometry", April 30--4 May 2007.
Develops a new method for quantizing rough volatility for volatility derivatives pricing.
problem Pricing volatility derivatives in rough volatility models.
method Functional quantization of rough volatility using offline computable quantizers.
result Pricing VIX Futures in the rough Bergomi model shows competitive results.
New research proves uniqueness of maximal spacetime boundaries under certain conditions.
problem The uniqueness of maximal spacetime boundaries in extendible spacetimes.
method Analyzing manifolds with boundary, excluding specific geodesic behaviors, to prove uniqueness.
result Extendible spacetimes admit a unique maximal future boundary extension under suitable assumptions.
Study finds wave equation solutions on product cones with new decay rates.
problem Wave equation on product cones with asymptotic expansions near null and future infinities.
method Joint asymptotic expansion, adaptation of Cheeger-Taylor method, new propagation estimates.
result New decay rates at future infinity are resonances of a hyperbolic cone.
Forecast future volatilities and correlations based on current trends.
problem Predict future volatilities and correlations in financial markets.
method Use cubic and quadratic polynomials of current trend strengths.
result Accurate quantification of trend effects on volatilities and correlations.
New partial models correct for confounding effects in reinforcement learning.
problem Confounding effects in partial models lead to incorrect planning.
method Introduces causally correct partial models for reinforcement learning.
result Causally correct partial models avoid confounding effects and improve planning accuracy.
DiffVolume generates realistic volume snapshots for LOBs.
problem Generating high-dimensional volume snapshots in LOBs is challenging.
method Conditional Diffusion model for volume generation.
result DiffVolume outperforms in realism, counterfactual generation, and downstream prediction.
Study shows no closed trapped submanifolds can be tangent to certain spacelike hypersurfaces.
problem Existence of closed trapped submanifolds in spacetime regions foliated by specific hypersurfaces.
method Introduced k−future convex spacelike/null hypersurfaces and proved no k−dimensional closed trapped submanifolds can be tangent to these hypersurfaces from their future side. result Closed trapped submanifolds cannot be found in open spacetime regions foliated by k−future convex hypersurfaces. New model improves graph attention for relational data.
problem Improving graph attention models for relational data.
method Relational Graph Attention Networks (R-GAT) extending non-relational graph attention to relational data.
result R-GAT performs worse than expected, but some configurations marginally improve molecular property modeling.
New method uses entropy to improve policy gradient exploration.
problem Limited exploration in policy gradient methods.
method Entropy regularization with discounted future state distribution.
result Proves convergence to locally optimal policy.
This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the flexible quantile regression framework and rely on recently developed model-free measures of int…
Based on the recent work \cite{PII} we put forward a new type of transformation for Lorentzian manifolds characterized by mapping every causal future-directed vector onto a causal future-directed vector. The set of all such transformations, which we call causal symmetries, has the structure of a submonoid which contain…
Machine learning models show intermarket data can predict stock market performance better than expected.
problem Evaluating the semi-strong form of the Efficient Market Hypothesis.
method Used machine learning techniques on various intermarket data sets to predict stock market performance.
result Intermarket data significantly outperforms baselines in predicting stock market movement, contradicting the semi-strong EMH.
Global properties of maximal future Cauchy developments of stationary, m-dimensional asymptotically flat initial data with an outer trapped boundary are analyzed. We prove that, whenever the matter model is well posed and satisfies the null energy condition, the future Cauchy development of the data is a black hole spa…
This study reviews text-based stock market analysis methods.
problem Insufficient analysis of unstructured textual data in stock market predictions.
method Reviews existing literature, covers data types, representation techniques, and analysis methods.
result Identifies open problems and suggests future research directions.
Deep learning predicts stock prices using CNN and NALUs.
problem Predicting future stock prices accurately.
method Convolutional Neural Network (CNN) for feature extraction and Neural Arithmetic Logic Units (NALUs) for arithmetic operations.
result Improved accuracy in predicting stock prices.
Self-Predictive Representations improves data-efficient reinforcement learning from limited interaction.
problem Efficient reinforcement learning from limited data.
method Train agents to predict future latent state representations using self-supervised objectives.
result Achieves a median human-normalized score of 0.415 on Atari with 100k steps of interaction, 55% improvement over previous state-of-the-art.
AWDO trains neural networks for digit classification.
problem Training feedforward neural networks.
method Adaptive Wind Driven Optimization (AWDO).
result AWDO outperforms steepest descent method in digit classification.
In this work we define and study the relations between Lorentzian Manifolds given by the diffeomorphisms which map causal future directed vectors onto causal future directed vectors. This class of diffeomorphisms, called proper causal relations, contains as a subset the well-known group of conformal relations and are d…
Autonomous Vehicles(AV) are one of the brightest promises of the future which would help cut down fatalities and improve travel time while working in harmony. Autonomous vehicles will face with challenging situations and experiences not seen before. These experiences should be converted to knowledge and help the vehicl…
This work simplifies IRL by using potential-based reward shaping.
problem Computational inefficiency in inverse reinforcement learning.
method Potential-based reward shaping to reduce RL sub-problems.
result Reduces computational burden of inverse reinforcement learning.