Energy markets and the associated energy futures markets play a crucial role in global economies. We investigate the statistical properties of the recurrence intervals of daily volatility time series of four NYMEX energy futures, which are defined as the waiting times between consecutive volatilities exceeding a gi…
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48 results for “recurrence interval”
We investigate the probability distributions of the recurrence intervals between consecutive 1-min returns above a positive threshold or below a negative threshold of two indices and 20 individual stocks in China's stock market. The distributions of recurrence intervals for positive and negative thresho…
We study the statistical properties of the recurrence intervals between successive trading volumes exceeding a certain threshold . The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period from January 2000 to May 2009, and two Chinese indices from January 2003 to April 2…
Understanding the statistical properties of recurrence intervals of extreme events is crucial to risk assessment and management of complex systems. The probability distributions and correlations of recurrence intervals for many systems have been extensively investigated. However, the impacts of microscopic rules of a c…
The recurrence interval of extreme returns can be predicted with high accuracy.
problem Predicting the occurrence of extreme financial returns.
method Recurrence interval analysis of extreme returns, using -exponential distribution.
result The recurrence interval of extreme returns follows a -exponential distribution, leading to more accurate forecasts.
ASI allows models to skip unnecessary time intervals for sequential predictions.
problem The need for precise time intervals in sequential predictions.
method Adaptive Skip Intervals (ASI) approach to dynamically adjust prediction intervals.
result Improvement in both computational efficiency and prediction accuracy.
Recurrent neural networks improve time series forecasting accuracy.
problem Time series forecasting is challenging, especially for sequential data.
method A recurrent neural network framework for feature engineering, prediction, and evaluation is presented.
result The LSTM and GRU networks outperform traditional methods in forecasting accuracy.
New model predicts financial tail events using RIA-EVT-Copula.
problem Predicting financial tail events for risk management.
method RIA-EVT-Copula framework combining POT, RIA, and copulas.
result Improved accuracy in predicting financial extremes.
Proposes a new RNN model for grouped sequential data with varying time intervals.
problem Implicitly models fixed time intervals between observations and lacks group-level effects.
method Mixed membership framework for RNN, learning group-level base parameter.
result Demonstrates dynamic topic modeling with evolving topic distributions over time.
Early warning of large volatilities based on recurrence interval analysis in Chinese stock marketsq-fin.ST
Being able to forcast extreme volatility is a central issue in financial risk management. We present a large volatility predicting method based on the distribution of recurrence intervals between volatilities exceeding a certain threshold for a fixed expected recurrence time . We find that the recurrence inter…
CRUs model irregular time series with continuous hidden states.
problem Handling irregular time intervals in sequential data.
method Continuous Recurrent Units (CRUs) that integrate hidden states via a linear stochastic differential equation.
result CRUs outperform methods based on neural ordinary differential equations in irregular time series interpolation.
Paper predicts travel costs across regions using neural networks.
problem Predicting travel costs in sparse, stochastic OD matrices.
method Recurrent Multi-Graph Neural Networks (R-MGNN) for sparse, stochastic OD matrix forecasting.
result Framework effectively predicts future OD matrices without empty elements.
New model handles uneven time intervals better than traditional methods.
problem Irregularly-sampled time series data.
method Generalizes RNNs to ODE-RNNs, explicitly modeling observation gaps.
result ODE-RNNs outperform traditional models on irregular data.
A natural generalization of interval exchange maps are linear involutions, first introduced by Danthony and Nogueira. Recurrent train tracks with a single switch provide a subclass of linear involutions. We call such linear involutions non-classical interval exchanges. They are related to measured foliations on orienta…
The distribution of recurrence times or return intervals between extreme events is important to characterize and understand the behavior of physical systems and phenomena in many disciplines. It is well known that many physical processes in nature and society display long range correlations. Hence, in the last few year…
Study of recurrences in earthquakes, climate, financial time-series, etc. is crucial to better forecast disasters and limit their consequences. However, almost all the previous phenomenological studies involved only a long-ranged autocorrelation function, or disregarded the multi-scaling properties induced by potential…
Improved neural network predicts tropical storm trajectories and Bayesian intervals.
problem Accurately predicting the trajectories of tropical storms to prevent damage.
method Developed an improved RNN model with dropout to predict Bayesian intervals.
result Neural network dropout values significantly affect prediction accuracy and intervals.
Reservoir computing minimizes prediction error in a spectral radius interval.
problem Lack of guiding principles for neural network parameters.
method Model-free prediction of spatiotemporal dynamical systems using recurrent neural networks.
result A spectral radius interval minimizes prediction error for nonlinear dynamical systems.
A natural generalization of interval exchange maps are linear involutions, first introduced by Danthony and Nogueira. Recurrent train tracks with a single switch which we call non-classical interval exchanges, form a subclass of linear involutions without flips. They are analogs of classical interval exchanges, and are…
Deep neural nets approximate random dynamical system trajectories uniformly in time.
problem Approximating trajectories of random dynamical systems over infinite time horizons.
method Recurrent neural networks with simple feedback structures.
result Certain random trajectories can be approximated uniformly in time to any desired accuracy.
Low-pass Recurrent Neural Networks - A memory architecture for longer-term correlation discoverycs.LG
A new memory strategy extends BPTT's learning window without longer traces.
problem Learning distant correlations in reinforcement learning requires efficient memory and learning strategies.
method Proposes a simple, effective memory strategy for extending BPTT's learning window.
result Extends BPTT's learning window without longer traces, improving efficiency.
Develops a method for robust optimization with exact coverage confidence intervals.
problem Statistical inference and distributionally robust solutions for stochastic optimization problems.
method Generalized empirical likelihood framework based on -divergence balls.
result Provides a principled method for choosing distributional uncertainty regions for exact coverage.
MES-LSTM hybrid method improves multivariate time series forecasting and mortality modeling.
problem Challenges in applying hybrid forecast methods to multivariate data.
method Generalized multivariate extension of ES-RNN, utilizing vectorized implementation.
result MES-LSTM shows significant improvement over pure statistical and deep learning methods in forecast accuracy and prediction interval construction.
RNN predicts hurricane paths with high accuracy.
problem Accurate prediction of hurricane trajectories to mitigate disasters.
method Fully connected RNN trained on NHC data.
result RNN predicts hurricane paths up to 120 hours with competitive accuracy.
Agent predicts financial returns and volatility with high success rate.
problem Financial market prediction and volatility estimation.
method Modular networked learning system with interconnected recurrent neural networks.
result Agent predicts financial returns and volatility with over 80% success rate.
The study compares econometric and deep learning models for forecasting COMEX copper futures volatility.
problem Forecasting volatility of COMEX copper futures across different time intervals.
method Econometric models (GARCH, HAR) and deep learning models (RNN, LSTM, GRU) applied to daily and hourly data.
result Deep learning models outperform econometric models in hourly data, but HAR remains the best overall for daily data.
CRNN improves artist classification with temporal audio features.
problem Artist classification using deep learning with temporal structure.
method Convolutional Recurrent Neural Network (CRNN) applied to music artist identification dataset.
result Best model achieves an average F1 score of 0.937.
Event-driven features improve forex price prediction accuracy.
problem Inaccurate predictions in forex due to market volatility.
method Developed event-driven features and used LSTM, BiLSTM, GRU models.
result Improved prediction system with minimal risk.
Multivariate time series data in practical applications, such as health care, geoscience, and biology, are characterized by a variety of missing values. In time series prediction and other related tasks, it has been noted that missing values and their missing patterns are often correlated with the target labels, a.k.a.…
Proposes a method for forecasting large-scale interval-valued time series.
problem Modeling and forecasting large-scale interval-valued time series.
method Feature extraction procedure involving auto-segmentation, clustering, and precision matrix estimation.
result The method enhances forecasting performance for large-scale interval-valued time series.
Calibrates deep learning models to produce accurate uncertainty estimates.
problem Inaccurate uncertainty estimates in Bayesian and probabilistic models.
method Simple procedure inspired by Platt scaling to calibrate regression algorithms.
result Consistently produces well-calibrated credible intervals improving model performance.
Frequentist method estimates uncertainty in RNNs without altering architecture.
problem Uncertainty quantification in RNNs for decision-making.
method Jackknife resampling and influence functions to estimate variability.
result The method provides theoretical coverage guarantees on uncertainty intervals.
CTRNNs improve blood glucose forecasting in ICU, outperforming traditional models.
problem Forecasting blood glucose in ICU with irregular measurements.
method Continuous time autoregressive recurrent neural networks (CTRNNs) using neural ODE or neural flow layers.
result CTRNNs generally outperform traditional autoregressive models in probabilistic forecasting of blood glucose.
Machine learning detects metastatic breast cancer cases from linked EMR and cancer registry data.
problem Lack of metastatic recurrence data in cancer registries and EMRs.
method Semi-supervised machine learning on linked EMR and CCR data.
result Model achieved high accuracy in detecting metastatic breast cancer cases.
Bi-GAN model for imputing and predicting irregular time-series data.
problem Irregularly observed, varying length time-series data with missing entries.
method Bi-GAN model using a bidirectional recurrent network in a generative adversarial setting.
result Bi-GAN model can impute and predict missing values for time-series of varying length.
New method uses LSTM and signature theory to solve complex financial PDEs.
problem Solving path-dependent PDEs for financial derivatives pricing.
method Combining LSTM networks and rough paths theory.
result Efficient algorithms for pricing and hedging path-dependent derivatives.
ST-UNet models spatio-temporal graphs by pooling and unpooling operations.
problem Lack of effective means to extract dynamic features from spatio-temporal graphs.
method Designing a multi-scale architecture, Spatio-Temporal U-Net (ST-UNet), with paired sampling operations.
result Achieves substantial improvements in spatio-temporal prediction tasks.
A new method detects fraud transactions by analyzing user behavior over time.
problem Detecting fraud transactions in online payment platforms.
method A time attention based recurrent layer framework combining static and dynamic user behaviors.
result Our method outperforms state-of-the-art methods, especially in recall at top percent.
Survey on learning models for irregularly sampled time series data.
problem Challenges in learning from non-uniformly sampled time series data.
method Survey of recent models and architectures based on temporal discretization, interpolation, recurrence, attention, and structural invariance.
result Significant progress in machine learning for irregularly sampled time series data.
SAGA predicts multi-year earnings with adaptive intervals, improving forecast accuracy.
problem Forecasting long-range nonlinear structure in lifetime earnings.
method Decoder-only transformer for irregular tabular sequences, split conformal calibration.
result Significant improvement in forecast accuracy compared to existing methods.
Two novel models predict bus travel times with uncertainty, improving connection assurance.
problem Improving bus connection assurance by handling travel time uncertainty.
method Two novel approaches: Deep Quantile Regression (DQR) and Bayesian Recurrent Neural Networks (BRNN).
result DQR model performs best for 80%, 90%, and 95% prediction intervals, with small underestimation.
Modeling event sequences with RNNs for predictive maintenance.
problem Predicting the intensity function of asynchronous event sequences.
method Use two RNNs: one for background and another for history effects.
result End-to-end training of the model for black-box event intensity prediction.
Cubic spline smoothing improves interpolation between irregularly sampled data.
problem Interpolation discontinuity in recurrent neural networks for irregularly sampled sequences.
method Cubic spline smoothing compensation module trained end-to-end with ODE-RNN.
result Improves interpolation between irregularly sampled data points.
Rough Transformers improve efficiency for medical time-series data.
problem Efficiently modeling irregularly sampled, long-range time-series data.
method Introducing Rough Transformers, a Transformer variant with continuous-time representations and multi-view signature attention.
result Rough Transformers outperform vanilla Transformers while using less computational resources.
In this paper a quantitative analysis of the ruin probability in finite time of discrete risk process with proportional reinsurance and investment of finance surplus is focused on. It is assumed that the total loss on a unit interval has a light-tailed distribution -- exponential distribution and a heavy-tailed distrib…
We investigate the spatial and temporal structures of four financial markets in Greater China. In particular, we uncover different characteristics of the four markets by analyzing the sector and subsector structures which are detected through the random matrix theory. Meanwhile, we observe that the Taiwan and Hongkong …
Study on different types of recurrence in Finsler geometry.
problem Understanding various recurrence patterns in Finsler geometry.
method Adopted pullback approach to investigate three classes of recurrence: simple, Ricci, and concircular.
result Introduce and investigate four types of each class of recurrence, highlighting interrelationships and a new concept of generalized concircular recurrence.
Rough Transformers: Lightweight and Continuous Time Series Modelling through Signature Patchingstat.ML
Rough Transformers improve time series modeling with lower costs and better performance.
problem Inefficient modeling of irregularly sampled time series data.
method Signature patching for continuous-time representations, reducing computational costs.
result Rough Transformers outperform vanilla Transformers and Neural ODE models.