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.
Introduces Spectral Attention for better long-range time series forecasting.
Paper proposes an active learning method for surgical workflow recognition using long-range temporal dependency.
We consider the estimation of large covariance and precision matrices from high-dimensional sub-Gaussian or heavier-tailed observations with slowly decaying temporal dependence. The temporal dependence is allowed to be long-range so with longer memory than those considered in the current literature. We show that severa…
New method predicts spatio-temporal data with short and long-range dependence.
Spatial and time-dependent data is of interest in many applications. This task is difficult due to its complex spatial dependency, long-range temporal dependency, data non-stationarity, and data heterogeneity. To address these challenges, we propose Forecaster, a graph Transformer architecture. Specifically, we start b…
Understanding temporal dynamics has proved to be highly valuable for accurate recommendation. Sequential recommenders have been successful in modeling the dynamics of users and items over time. However, while different model architectures excel at capturing various temporal ranges or dynamics, distinct application cont…
Study finds long-range dependence in financial markets, but deep generative models struggle to replicate it.
We review ideas on temporal dependences and recurrences in discrete time series from several areas of natural and social sciences. We revisit existing studies and redefine the relevant observables in the language of copulas (joint laws of the ranks). We propose that copulas provide an appropriate mathematical framework…
Learning representations that accurately capture long-range dependencies in sequential inputs -- including text, audio, and genomic data -- is a key problem in deep learning. Feed-forward convolutional models capture only feature interactions within finite receptive fields while recurrent architectures can be slow and …
Study on SA with heavy-tailed and LRD noise, establishing finite-time bounds.
We consider the general problem of modeling temporal data with long-range dependencies, wherein new observations are fully or partially predictable based on temporally-distant, past observations. A sufficiently powerful temporal model should separate predictable elements of the sequence from unpredictable elements, exp…
GAttNHP predicts future events in temporal knowledge graphs by encoding long-range dependencies and handling mutual excitation.
TK-GCN forecasts spatiotemporal dynamics using Koopman-enhanced graph convolutional networks.
Predicts solar dynamics with diffusion models, improving long-range dependencies.
Convolutional architectures have recently been shown to be competitive on many sequence modelling tasks when compared to the de-facto standard of recurrent neural networks (RNNs), while providing computational and modeling advantages due to inherent parallelism. However, currently there remains a performance gap to mor…
Spatial-temporal graph modeling is an important task to analyze the spatial relations and temporal trends of components in a system. Existing approaches mostly capture the spatial dependency on a fixed graph structure, assuming that the underlying relation between entities is pre-determined. However, the explicit graph…
Transformer-based method for causal discovery with prior knowledge integration.
Proposes a graph-based approach for better stock prediction.
Characterizing temporal dependence patterns is a critical step in understanding the statistical properties of sequential data. Long Range Dependence (LRD) --- referring to long-range correlations decaying as a power law rather than exponentially w.r.t. distance --- demands a different set of tools for modeling the unde…
NeuroMemFPP uses LSTM to estimate FPP parameters with high accuracy.
FPG uses fractional calculus for efficient reinforcement learning with long-term memory.
Introduces CuFun model for more accurate TPPs using CDF.
W-Transformers use wavelets to improve time series forecasting.
Improved GNN handles long-range dependencies in multi-relational graphs.
Fractal analysis is carried out on the stock market indices of seven European countries and the US. We find evidence of long range dependence in the log return series of the Mibtel (Italy) and the PX Glob (Czech Republic). Long range dependence implies that predictable patterns in the log returns do not dissipate quick…
In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the Markov-switching multifractal model (MSM). In order to see how well the estimated models captur…
Monoaural audio source separation is a challenging research area in machine learning. In this area, a mixture containing multiple audio sources is given, and a model is expected to disentangle the mixture into isolated atomic sources. In this paper, we first introduce a challenging new dataset for monoaural source sepa…
We develop deep Poisson-gamma dynamical systems (DPGDS) to model sequentially observed multivariate count data, improving previously proposed models by not only mining deep hierarchical latent structure from the data, but also capturing both first-order and long-range temporal dependencies. Using sophisticated but simp…
Deep learning model predicts traffic flows across entire network for multiple steps ahead.
Novel graph neural network combines random walks with local message passing.
This paper presents empirical evidence using recently developed techniques in econophysics suggesting that the degree of long-range dependence in interest rates depends on the conduct of monetary policy. We study the term structure of interest rates for the US and find evidence that global Hurst exponents change dramat…
MarketGAN generates financial returns using GANs to match empirical stylized facts.
We revisit the Kolmogorov-Smirnov and Cramér-von Mises goodness-of-fit (GoF) tests and propose a generalisation to identically distributed, but dependent univariate random variables. We show that the dependence leads to a reduction of the "effective" number of independent observations. The generalised GoF tests are not…
Paper uses DMD to embed time in spatiotemporal forecasting.
Prediction and interpolation for long-range video data involves the complex task of modeling motion trajectories for each visible object, occlusions and dis-occlusions, as well as appearance changes due to viewpoint and lighting. Optical flow based techniques generalize but are suitable only for short temporal ranges. …
This paper studies the dynamics of Brazilian interest rates for short-term maturities. The paper employs developed techniques in the econophysics literature and tests for long-range dependence in the term structure of these interest rates for the last decade. Empirical results suggest that the degree of long-range depe…
Mamba Hawkes Process improves modeling of event sequences with long-term dependencies.
IGNN captures long-range graph dependencies using fixed-point equations.
Sequence models assign probabilities to variable-length sequences such as natural language texts. The ability of sequence models to capture temporal dependence can be characterized by the temporal scaling of correlation and mutual information. In this paper, we study the mutual information of recurrent neural networks …
TIMeSynC combines financial service interactions for intent prediction.
To simultaneously capture syntax and global semantics from a text corpus, we propose a new larger-context recurrent neural network (RNN) based language model, which extracts recurrent hierarchical semantic structure via a dynamic deep topic model to guide natural language generation. Moving beyond a conventional RNN-ba…
This study uses moving average cluster entropy to analyze financial market dynamics.
New model incorporates long-range dependence in mortality rates for better valuation and risk management.
DRew dynamically rewires message passing to improve long-range tasks.
MetNet forecasts precipitation up to 8 hours with high spatial and temporal resolution.
Representation and learning of long-range dependencies is a central challenge confronted in modern applications of machine learning to sequence data. Yet despite the prominence of this issue, the basic problem of measuring long-range dependence, either in a given data source or as represented in a trained deep model, r…
Modeling financial time series by stochastic processes is a challenging task and a central area of research in financial mathematics. As an alternative, we introduce Quant GANs, a data-driven model which is inspired by the recent success of generative adversarial networks (GANs). Quant GANs consist of a generator and d…
Improved Mamba model for long-range sequence tasks.