This paper uses multivariate probability models to assess financial system risks.
problem Assessing systemic risk in financial systems.
method Computes multivariate conditional probability distributions for elliptical distributions, focusing on Student-t and Normal models.
result Proposes measures of stress impact and systemic risk.
Simplifies study of multivariate shortfall risk measures.
problem Complexity in studying multivariate shortfall risk measures.
method Defines shortfall risk measures through a 1-dimensional function.
result Simplifies properties of multivariate shortfall risk measures.
The paper provides exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations.
problem Capturing the statistical properties of fluctuating correlations in non-stationary systems.
method Developed a random matrix model to average multivariate amplitude distributions from short time scales to large time scales.
result Explicit multivariate distributions for non-stationary correlation systems are provided, capturing the degree of non-stationarity.
Extends SORTE to multivariate risk functions.
problem Analyzing systemic risk in financial institutions or insurance-reinsurance markets.
method Develops a new framework for multivariate utility functions and applies duality theory.
result Proves existence, uniqueness, and Nash Equilibrium property of Multivariate Systemic Optimal Risk Transfer Equilibrium.
A weight system is defined from the (multivariable) Conway potential function. We also show that it can be calculated recursively by using five axioms.
Study analyzes stock market correlations using multivariate distributions.
problem Capturing the correlation structure of complex, non-stationary systems.
method Applied Random Matrix Model to empirical data of 479 US stocks.
result Described and quantified changes in empirical distributions due to non-stationarity.
Paper proposes counterfactual explanations for ML on multivariate time series data.
problem Lack of user trust and difficulty in debugging ML frameworks using multivariate time series data.
method Proposes a novel explainability technique for providing counterfactual explanations.
result Outperforms state-of-the-art explainability methods in metrics like faithfulness and robustness.
We derive a formula for the weight system of the multivariable Alexander polynomial using determinants, show that it obeys known relations, and satisfies some of the same relations as the single variable polynomial.
Bayesian method for multivariate autoregressive models with exogenous inputs.
problem Estimating uncertainties in autoregressive models with exogenous inputs.
method Recursive Bayesian estimation via message passing in a factor graph.
result Produces full posterior distributions for autoregressive coefficients and noise precision.
The paper analyzes heavy-tailed multivariate distributions in non-stationary systems using random matrix theory.
problem Risk assessment for rare events in complex, non-stationary systems.
method Generalized scalar product between correlation matrices, model for non-stationary fluctuations.
result Formulae for multivariate distributions with reduced parameters, facilitating applications.
We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting and adopt the point of view of change of probability measures. We also make a link with the density approach in the credit risk modelling. In the particular case where …
Cluster GARCH model improves multivariate GARCH for high-dimensional asset returns.
problem Modeling high-dimensional asset returns with flexible tail dependencies and cluster structures.
method Introduced a novel multivariate GARCH model with flexible convolution-t distributions, tractable likelihood and derivatives for dynamic correlation structure.
result Cluster GARCH model outperforms existing models in daily returns of 100 assets, both in-sample and out-of-sample.
Paper presents dual representations for systemic risk measures.
problem Measuring and allocating systemic risk during financial crises.
method Develops dual representations for scalar and multivariate systemic risk measures in two frameworks.
result Results cover both aggregating after allocating and allocating after aggregation.
New findings show Shannon information measures fail to accurately assess multivariate dependencies.
problem Accurately measuring information flow in complex systems.
method Demonstrated that Shannon information measures fail to distinguish between dyadic and polyadic relationships.
result Shannon information measures are inadequate for discovering meaningful dependency structures in joint probability distributions.
New algorithms for interpreting complex multivariate functions.
problem Hard interpretation of multivariate functions due to many parameters.
method Filtered tensor decompositions of derivative information.
result Nonparametric estimates of smooth decoupled functions.
Enhances ROM simulation for multivariate systems with exact Kollo skewness.
problem Modeling multivariate systems with high dimensions and specific higher moments.
method Extends Random Orthogonal Matrix simulation to match target Kollo skewness.
result Established conditions and developed a general approach for constructing admissible values.
MAD-GAN detects anomalies in multivariate time series data using GANs.
problem Complex multivariate time series data requires better anomaly detection methods.
method Unsupervised anomaly detection using Generative Adversarial Networks (GANs).
result MAD-GAN effectively detects anomalies in real-world CPS systems.
New method recovers causal networks from short time-series data.
problem Inferring causal relationships from short time-series data in complex systems.
method Large-scale Nonlinear Granger Causality (lsNGC) approach.
result Captures meaningful interactions from limited observational data.
Improved multivariate time series classification models.
problem Multivariate time series classification challenges.
method Transformed LSTM-FCN and ALSTM-FCN into multivariate models.
result Proposed models outperform state-of-the-art models.
Kernel-based tests detect dependencies in multivariate time series, including stationary and non-stationary data.
problem Detecting dependencies in multivariate time series data, especially non-stationary data.
method Kernel-based statistical tests of joint independence, extending dHSIC to handle both stationary and non-stationary processes.
result Robustly uncovers significant higher-order dependencies in synthetic and real-world data.
A new deep neural network detects and diagnoses anomalies in multivariate time series data.
problem Detecting and diagnosing anomalies in multivariate time series data with temporal and inter-correlation dependencies.
method Multi-Scale Convolutional Recurrent Encoder-Decoder (MSCRED) that constructs multi-scale signature matrices, encodes inter-sensor correlations, and captures temporal patterns.
result MSCRED outperforms state-of-the-art methods in detecting and diagnosing anomalies in multivariate time series data.
Aims to optimize complex multivariate systems with constraints.
problem Optimizing force-field systems in physics with large-scale simulations.
method Combines machine learning and experimental design to find feasible input combinations.
result Locates multiple good regions in the input space.
Linear Dynamical System (LDS) is an elegant mathematical framework for modeling and learning multivariate time series. However, in general, it is difficult to set the dimension of its hidden state space. A small number of hidden states may not be able to model the complexities of a time series, while a large number of …
New methods estimate multivariate shortfall risk more efficiently.
problem Estimating multivariate shortfall risk is computationally challenging.
method Combines Fourier inversion and RQMC sampling in frequency domain.
result Fourier RQMC methods outperform existing benchmarks.
Detects lead-lag clusters in US equity market time series.
problem Identifying lead-lag relationships in multivariate time series.
method Directed network clustering of lead-lag relationships.
result Validated on US equity market data, detects statistically significant lead-lag clusters.
Algorithm detects lead-lag relationships in multivariate time series.
problem Understanding temporal dependencies between time series.
method Cluster-driven methodology based on dynamic time warping.
result Robust detection of lead-lag relationships in lagged multi-factor models.
CoCAI uses copulas for accurate multivariate time-series forecasting and anomaly detection.
problem Accurate multivariate time-series forecasting and robust anomaly detection.
method Copula-based conformal prediction for multivariate time-series analysis.
result CoCAI provides statistically valid predictive regions and robust anomaly scores.
The paper estimates CoVaR with various models for financial risk analysis.
problem Estimating conditional value-at-risk with financial time series data.
method Fitting multivariate parametric models and copula functions to capture stylized facts of equity returns.
result Backtesting shows that certain models provide better risk estimates than others.
MOCK learns complex systems from trajectories efficiently.
problem Learning nonparametric differential equations from high-dimensional data.
method MOCK uses multivariate occupation kernel functions to learn vector fields linearly.
result MOCK outperforms other methods on various datasets.
Paper models dynamic multivariate functional data with sparse subspace learning.
problem Complex, high-dimensional multivariate functional data with evolving cross-correlations.
method Sparse subspace learning for automatic subspaces formulation and cross-correlation dynamics description.
result Efficient estimation and feature extraction of multivariate functional data.
A new method uses maximum entropy for time series analysis.
problem Challenges in testing statistical properties of multivariate time series.
method Statistical mechanical approach for ensembles of time series.
result Shows possible applications in financial portfolio selection.
New method simulates multivariate extreme events using GANs and Aitchison coordinates.
problem Simulating multivariate extreme events for economic risk assessment.
method Wasserstein-Aitchison GAN approach combining tail dependence and marginal tail modeling.
result Strong performance in capturing tail dependence and generating accurate extreme observations.
Proposes ACLAE-DT for unsupervised anomaly detection in multivariate time series.
problem Challenges in building anomaly detection frameworks for multivariate time series data.
method Attention-based ConvLSTM Autoencoder with Dynamic Thresholding.
result Demonstrates superior performance over state-of-the-art methods.
A new method learns time-varying autoregressive models from multivariate time series.
problem Learning interpretable spatiotemporal structure in multivariate time series data.
method Windowed low rank tensor approach with non-smooth and non-convex optimization.
result The method can identify the true rank of a switching linear system in noisy data.
M-CaStLe discovers causal structures in multivariate space-time data.
problem Challenges in causal graph discovery for high-dimensional gridded data.
method Generalizes CaStLe to multivariate analyses, using local embeddings and pooling spatial replicates.
result More accurately recovers multivariate causal structure and identifies physical dynamics.
Deep learning models need accurate uncertainty quantification for safe use.
problem Uncertainty in deep learning models, especially for black box models.
method Model multivariate uncertainty for regression problems using neural networks, incorporating aleatoric and epistemic sources of heteroscedastic uncertainty. Train using direct multivariate Gaussian density loss function and end-to-end Kalman filter training.
result Accurate multivariate uncertainty quantification improves Kalman filter performance for in-domain and out-of-domain evaluation data.
Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high frequency cojumps. We show that the dynamics of these jumps is described neither …
New algorithms for multivariate RL improve decision-making in complex systems.
problem Complex multi-objective decision-making in reinforcement learning.
method Oracle-free and computationally-tractable algorithms for multivariate distributional RL.
result Convergence rates match scalar reward settings and provide insights into reward dimensionality.
GGP models multivariate time series with latent sub-sequences for diverse behaviors.
problem Modeling multivariate time series with diverse behaviors and patterns.
method Graph Gamma Process (GGP) linear dynamical systems with latent sub-sequences.
result GGP models exhibit good predictive performance and reveal interpretable latent patterns.
Proposes a GNN for multivariate time-series prediction with filtering.
problem Low signal-to-noise ratio in complex systems data.
method Integrates a spatial-temporal GNN with a matrix filtering module to generate filtered graphs.
result Proposed model outperforms baseline approaches in multivariate time-series prediction.
The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components, such as portfolios, institutions or members of clearing houses. The two main issues in systemic risk measurement are the compu…
We develop a framework for analyzing extreme values in correlated financial data.
problem Quantifying and mitigating risk in complex financial systems.
method Developed a practical framework for handling finite, multivariate, and correlated time series in finance.
result We successfully analyze high-frequency stock returns using univariate extreme value tools.
New model detects anomalies robustly in noisy, seasonal multivariate time series.
problem Detecting anomalies in noisy, seasonal multivariate time series data.
method Proposes Robust Seasonal Multivariate Generative Adversarial Network (RSM-GAN).
result Improves robustness and precision in detecting anomalies.
The paper analyzes the generalizability of linear autoencoders and multivariate linear regression.
problem Limited theoretical understanding of linear autoencoders' performance.
method Proposes a PAC-Bayes bound for multivariate linear regression and shows LAEs as constrained models.
result The proposed PAC-Bayes bound is tight and correlates with practical metrics.
Proposes a new method to better understand complex system interactions.
problem Current methods like Granger causality and transfer entropy fail to capture higher-order interactions.
method Introduces a generalized approach to capture multivariate causal interactions.
result The method can distinguish causal roles in synergetic interactions.
The paper proposes a new auto-regressive model for multivariate distributional time series.
problem Statistical analysis of multivariate time series of probability measures.
method Wasserstein space, auto-regressive model, iterated random function systems.
result Consistent estimator for auto-regressive coefficients with sparse structure.
This paper automates PID controller tuning using model-based policy search.
problem Tuning multivariate PID controllers is tedious in industrial applications.
method Extends PILCO to automatically tune PID controllers using model-based policy search.
result Demonstrates fast and data-efficient policy learning on complex real-world problems.
This paper evaluates anomaly detection methods for multivariate time series data.
problem Lack of systematic comparison of anomaly detection methods on multivariate time series data.
method Comprehensive evaluation of 10 models and 4 scoring functions on 10 datasets.
result Dynamic scoring functions outperform static ones, and the choice of scoring functions matters more than the model choice.