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…
On-device research index
arXiv research
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.
169,291 papers · 148 categories
Trend · papers per month
48 results for “recurrent analysis”
Lipschitz RNNs improve stability and performance in various tasks.
problem Improving stability and performance of RNNs.
method Introduced a Lipschitz recurrent unit with a linear and Lipschitz nonlinear component for stability analysis.
result Lipschitz RNNs outperform existing units on benchmark tasks.
Unified recurrent networks reveal differences in complexity levels of grammars.
problem Understanding the complexity and behavior of recurrent networks.
method Connecting recurrent networks with deterministic finite automata and formal grammars.
result Unified recurrent networks improve performance and match grammars from different complexity levels.
Bayesian sparsification reduces memory usage in RNNs without significant loss of accuracy.
problem High memory usage in RNNs for text analysis tasks.
method Apply Sparse Variational Dropout and Binary Variational Dropout to sparsify RNNs.
result Achieve 99.5% sparsity on sentiment analysis with no quality drop and up to 87% on language modeling with slight loss of accuracy.
Enhanced speech emotion recognition using nonlinear recurrence dynamics.
problem Improving speech emotion recognition accuracy.
method Phase space reconstruction, Recurrence Plot, Recurrence Quantification Analysis, statistical functionals, feature fusion, Bidirectional Recurrent Neural Network.
result State-of-the-art performance on IEMOCAP with up to 10.7% improvement in accuracy.
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…
Study analyzes stock market dynamics using recurrence measures and transitions.
problem Understanding transitions in stock market dynamics during crises.
method Recurrence plots and networks from nonstationary stock market data.
result Recurrence measures capture transitions in stock market dynamics.
Recurrence analysis of the NASDAQ crash of April 2000physics.soc-ph
Recurrence Plot (RP) and Recurrence Quantification Analysis RQA) are signal numerical analysis methodologies able to work with non linear dynamical systems and non stationarity. Moreover they well evidence changes in the states of a dynamical system. It is shown that RP and RQA detect the critical regime in financial i…
Study compares LSTM, Transformer, and Mamba for bladder cancer recurrence analysis.
problem Complex time-dependent data in bladder cancer recurrence analysis.
method Evaluation of LSTM, Transformer, and Mamba models using Cox proportional hazards model.
result LSTM-Cox model outperforms Transformer-Cox and Mamba-Cox models in prediction accuracy.
We present the multiplicative recurrent neural network as a general model for compositional meaning in language, and evaluate it on the task of fine-grained sentiment analysis. We establish a connection to the previously investigated matrix-space models for compositionality, and show they are special cases of the multi…
Improved sentiment analysis explanations using LRP for RNNs.
problem Creating understandable explanations for recurrent neural network predictions.
method Extending Layer-wise Relevance Propagation (LRP) to recurrent neural networks (RNNs), specifically to multiplicative connections in LSTMs and GRUs.
result Better explanation quality for sentiment analysis tasks using LRP compared to gradient-based methods.
New approach predicts stock price synchronization using RNNs and LSTMs.
problem Forecasting synchronization of stock prices in the Indian market.
method Utilizing recurrence plots and CRQA for non-linear analysis, RNNs and LSTMs for prediction.
result Accuracy of 0.98 and F1 score of 0.83 in predicting stock price synchronization.
Two new methods improve forecasting of functional time series data.
problem Forecasting of functional time-dependent data.
method Functional Singular Spectrum Analysis (FSFA) based forecasting methods.
result Our methods outperform existing algorithms for periodic stochastic processes.
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…
Gradient descent optimally trains RNNs without overparameterization.
problem Training recurrent neural networks (RNNs) with gradient descent.
method Nonasymptotic analysis of gradient descent for RNNs with diagonal weight matrices.
result Gradient descent can achieve optimality in RNNs with a network size scaling logarithmically with the number of samples.
Improved stable RNNs trained faster with less expressibility trade-off.
problem Stable recurrent neural networks are hard to train without sacrificing expressibility.
method Implicit model structure with contraction analysis for stable models.
result Significant increase in training speed and model performance.
Used to investigate the presence of distinctive recurrent behaviours in natural processes, the recurrence plots can be applied to the analysis of economic data, and, in particular, to the characterization of exchange rates of currencies too. In this paper, we will show that these plots are able to characterize the peri…
Study predicts colorectal polyp recurrence using medical records and statistical models.
problem Identifying patient characteristics influencing colorectal polyp recurrence.
method Natural language processing for extracting polyp characteristics, Kaplan-Meier curves, Cox proportional hazards modeling, random survival forest models.
result Polyp size, number, location, and patient smoking status significantly influence recurrence risk.
Paper proposes RMFN for multimodal language analysis.
problem Modeling interactions between language, visual, and acoustic modalities.
method Recurrent Multistage Fusion Network (RMFN) decomposes fusion into stages focusing on subsets of multimodal signals.
result RMFN achieves state-of-the-art performance across multimodal sentiment analysis, emotion recognition, and speaker traits recognition datasets.
Proposes TRNN for tensorial time series data analysis.
problem Lack of suitable models for tensorial time series data.
method Introduces Tensorial Recurrent Neural Network (TRNN) based on tensor Tucker decomposition.
result TRNN preserves the spatial or longitudinal dimensions of tensorial time series data.
Analyzes dependencies in sequential datasets to improve deep neural architectures.
problem Improving deep recurrent neural architectures by understanding long distance dependencies.
method Detailed analysis of dependency decay curves in various datasets, testing factors affecting decay, generating synthesized datasets.
result Factors influencing dependency decay curves (number of unique symbols, dataset size, interacting symbols, distance between symbols) can inform optimal hyper-parameters.
Linear RC shows hierarchical temporal patterns in state signals.
problem Understanding hierarchical temporal representations in deep RNNs.
method Used linear recurrent units and frequency analysis on state signals.
result Linear RC reveals intrinsic hierarchical temporal structure.
New kernel-based models improve on traditional neural methods in sequence modeling.
problem Sequence modeling challenges in natural language processing and neuroscience.
method Kernel-based recurrent neural networks and convolutional neural networks.
result Kernel-based models perform on par or better than traditional neural methods.
Reverse engineering recurrent networks for sentiment classification reveals line attractor dynamicscs.LG
Reverse engineered RNNs reveal line attractor dynamics for sentiment classification.
problem Understanding how recurrent neural networks solve sequential tasks like sentiment classification.
method Dynamical systems analysis to reverse engineer trained RNNs, identifying fixed points and linearized dynamics.
result Trained RNNs converge to low-dimensional line attractor dynamics, providing interpretable solutions.
Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plotsq-fin.ST
Study predicts synchronization state of financial time series using cross-recurrence plots.
problem Predicting the state of synchronization of financial time series.
method Cross-correlation analysis and deep learning framework for predicting synchronization state based on cross-recurrence plots.
result Satisfactory performance in predicting synchronization state for certain pairs of stocks.
Simplified LSTM models improve sentiment analysis on Twitter debate data.
problem Performing sentiment analysis on long sequence data from Twitter debates.
method Developed six parameter-reduced LSTM models (slim LSTM) for faster training and reduced computational cost.
result Slim LSTM models outperform standard LSTM model in sentiment analysis of GOP Debate Twitter dataset.
RNN beats Lee-Carter in forecasting mortality rates.
problem Forecasting mortality rates across different demographics.
method Long Short-Term Memory (LSTM) recurrent neural network trained on multiple countries, ages, and sexes.
result RNN model outperforms the Lee-Carter model in mortality rate forecasting.
Causal inference for the expected number of recurrent events in the presence of a terminal eventstat.ME
Develops a method for causal inference in recurrent event data with terminal failure.
problem Causal inference in recurrent event data with a terminal event.
method Multiply robust estimation framework for causal inference.
result Proposes an estimator for the expected number of recurrent events and failure survival function.
This paper analyzes the generalization risk of unrolled neural networks using Stein's Unbiased Risk Estimator.
problem Analyzing the generalization risk of unrolled neural networks and its relationship to network design and train sample size.
method Using Stein's Unbiased Risk Estimator (SURE), the paper analyzes the generalization risk with bias and variance components for recurrent unrolled networks, focusing on the degrees-of-freedom (DOF) component and the trace of the end-to-end network Jacobian.
result DOF is well-approximated by the weighted path sparsity of the network under incoherence conditions on the trained weights, and DOF increases with train sample size and converges to the generalization risk for both recurrent and non-recurrent schemes.
This work optimizes reservoir computing models by linking recurrence and non-linear dynamics.
problem Understanding how recurrence and non-linear dynamics in cortical networks contribute to their function.
method Transformed time-continuous, recurrent dynamics into an effective feed-forward structure of linear and non-linear temporal kernels.
result Optimal time-series classifiers can be built from random reservoir networks, demonstrating significant performance gains.
Algorithm discovers dynamic cell structures for better neural network performance.
problem Finding optimal neural network architectures for diverse data samples and time steps.
method Combines recurrent and recursive neural networks to dynamically search for customized cell structures.
result Achieves better prediction accuracy compared to existing models.
GRNN predicts multiple medical concepts from patient discharge summaries.
problem Understanding medical concepts in patient discharge summaries.
method Grounded Recurrent Neural Network (GRNN) that ties labels to specific dimensions of the hidden state.
result GRNN outperforms baselines in predicting medical concepts from discharge summaries.
Theoretical analysis shows RNNs with various nonlinearities benefit from depth efficiency.
problem Theoretical understanding of RNNs' efficiency is limited.
method Extended analysis to RNNs with Rectified Linear Unit (ReLU) and other nonlinearities.
result Various nonlinear RNNs also benefit from depth efficiency.
Study asymptotics of one part monotone Hurwitz numbers in high genus.
problem Asymptotic analysis of one part monotone Hurwitz numbers in high genus.
method Used a linear recurrence and a recent method to extract asymptotics.
result Obtained bivariate asymptotics for one part monotone Hurwitz numbers in high genus.
Stochastic models fail to outperform standard recurrent networks in sequence modeling.
problem Discrepancy in performance between stochastic and standard recurrent models in sequence modeling.
method Re-examine roles of latent variables, remove restriction on fully factorized output distribution, compare auto-regressive models.
result Standard recurrent models consistently outperform stochastic models in sequence modeling.
Neural network model predicts alternating event-free periods.
problem Dynamic prediction of alternating recurrent events with statistical nuance.
method Developed an online dynamic prediction framework using neural network theory.
result Outstanding performance in predicting alternating recurrent event-free 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…
Generalizes PCA to maximize any convex function of components.
problem Finding a principal vector that maximizes a convex function of components.
method Gradient ascent algorithm for solving the generalized PCA problem; fixed points of neural networks for kernel version.
result Solutions can be obtained as fixed points of simple neural networks.
Optimal stock price prediction model using recurrent neural networks with RMSprop optimizer.
problem Stock price prediction using neural networks.
method Comparison of fully connected, convolutional, and recurrent architectures; inclusion of three optimization techniques.
result Single layer recurrent neural network with RMSprop optimizer produces optimal results with validation and test MAE of 0.0150 and 0.0148 respectively.
Convergence Analysis of Real-time Recurrent Learning (RTRL) for a class of Recurrent Neural Networkscs.LG
RTRL optimizes long sequences without truncation, converging to loss minima.
problem Inaccuracies in TBPTT for long sequences.
method Online optimization with exact gradient calculation.
result RTRL converges to loss minima for a class of RNNs.
New algorithm speeds up RNN time series prediction by filtering noise.
problem Predicting smooth trajectories from noisy time series data.
method Analyzed RNN dynamics to propose an efficient noise filtering algorithm.
result Significant speedup in predictive process without accuracy loss.
Proves local convergence of various online and recurrent optimization algorithms.
problem Proves local convergence of online and recurrent optimization algorithms not covered by standard stochastic gradient descent theory.
method Uses a general set of assumptions for learning dynamical systems online, adopting an 'ergodic' viewpoint.
result Local convergence results for online and recurrent optimization algorithms, including RMSProp, NoBackTrack, UORO, Adam, and RTRL.
Methods of nonlinear dynamics and the construction of cryptocurrency crisis phenomena precursorsq-fin.ST
The article uses complex system methods to predict cryptocurrency crises.
problem Predicting volatile cryptocurrency market crises.
method Recurrent analysis and permutation entropy of dynamic systems.
result Dynamic complexity measures can predict cryptocurrency crises.
New analysis explains pathology of deep Gaussian processes.
problem Pathology of deep Gaussian processes reduces learning capacities with increased layers.
method Study nonlinear dynamic systems corresponding to DGPs, derive recurrence relations.
result Provide tighter bounds and rate of convergence for dynamic systems.
TransformerLSR models longitudinal, recurrent, and survival data jointly.
problem Joint modeling of longitudinal measurements, recurrent events, and survival data with dependencies.
method Transformer-based deep learning framework integrating deep temporal point processes and latent structure representation.
result TransformerLSR effectively models all three components simultaneously, demonstrating necessity and effectiveness through simulations and real-world data.
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.
New approach to understand recurrent policies as FSMs without minimization.
problem Minimization of FSMs obscures the semantics of policy decisions.
method Start with unminimized FSM, apply interpretable reductions, use attention tool.
result Reveals insights into policy decisions not previously noticed.
Analyzes self-attention in recurrent networks, proving it mitigates vanishing gradients.
problem Vanishing gradients in recurrent networks when capturing long-term dependencies.
method Formal analysis of self-attention's effect on gradient propagation, proposing a relevancy screening mechanism.
result Self-attention mitigates vanishing gradients in recurrent networks, providing guarantees.