We demonstrate that the gain/loss asymmetry observed for stock indices vanishes if the temporal dependence structure is destroyed by scrambling the time series. We also show that an artificial index constructed by a simple average of a number of individual stocks display gain/loss asymmetry - this allows us to explicit…
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.
169,341 papers · 148 categories
Trend · papers per month
48 results for “temporal gains”
Predicts entity-wise topical behavior from network logs.
problem Predicting entity-wise topical behavior from network logs.
method Combines RNN and CNN learning architectures with reduction steps to form homogeneous topical metrics.
result Improves prediction accuracy with both temporal and spatial gains compared to MLP.
This paper explores how temporal dependency in audio data can improve robustness against adversarial examples.
problem Mitigating adversarial examples in audio data.
method Exploiting temporal dependency to gain discriminative power against audio adversarial examples.
result Temporal dependency can be used to resist adaptive attacks on audio adversarial examples.
Algorithm estimates parameters over time-varying graphs without special assumptions.
problem Estimating parameters over time-varying graphs without assuming independence.
method Decentralized online regularized learning with innovation, consensus, and regularization terms.
result Estimations converge almost surely under certain conditions.
THGFM models dynamic relational systems with cross-type and temporal fusion.
problem Learning on temporal heterogeneous graphs with diverse node and relation types.
method Dual-Path Architecture with Shared-Space and Relational Type-Partitioned Temporal Attention.
result THGFM outperforms baseline models on academic graph benchmarks.
SWoTTeD discovers hidden temporal patterns in EHR data.
problem Complex temporal patterns in EHR data.
method Sliding Window for Temporal Tensor Decomposition (SWoTTeD) with constraints and regularizations.
result SWoTTeD achieves at least as accurate reconstruction as state-of-the-art models and extracts meaningful temporal phenotypes.
Generative models with memory improve temporal data prediction.
problem Modeling temporal data with long-range dependencies.
method Generative Temporal Models augmented with external memory systems within variational inference.
result These models outperform existing models like LSTMs on tasks with sparse, long-term dependencies.
DO-IQS: Dynamics-Aware Offline Inverse Q-Learning for Optimal Stopping with Unknown Gain Functionsstat.ML
DO-IQS recovers optimal stopping region from expert trajectories, addressing specific challenges.
problem Recovering optimal stopping region from expert trajectories with unknown gain functions.
method Dynamics-Aware Offline Inverse Q-Learning incorporating temporal information and confidence-based oversampling.
result Demonstrated performance on real and artificial data, including optimal intervention for critical events.
DTC learns time series clusters without labels.
problem Unsupervised learning of time series data.
method Deep Temporal Clustering (DTC) integrates autoencoder for dimensionality reduction and a novel temporal clustering layer.
result DTC outperforms traditional methods in various domains.
New method learns dynamic node embeddings from temporal networks.
problem Temporal networks' temporal information is often ignored or approximated.
method Continuous-time dynamic network embeddings (CTDNEs) using temporal walks.
result CTDNEs achieve an average gain of 11.9% in AUC across all methods and graphs.
Enhances SNNs for spatio-temporal feature extraction.
problem Insufficient temporal dependencies in existing SNN synaptic structures.
method Integrates temporal convolution and attention mechanisms into synaptic connections.
result Improves SNN performance on classification tasks.
Improved incremental sequence classification with temporal consistency.
problem Updating predictions as new sequence elements are revealed.
method Temporal-difference learning and a temporal-consistency condition for successive predictions.
result Optimizing a novel loss function improves data efficiency and predictive accuracy.
HopCPT improves conformal prediction for time series with temporal dependencies.
problem Uncertainty quantification in time series data.
method HopCPT, a novel conformal prediction approach for time series that leverages temporal dependencies.
result HopCPT outperforms state-of-the-art methods on multiple real-world time series datasets.
Algorithm uncovers two main patterns of online content popularity: bursty and steady.
problem Understanding how online content gains popularity over time.
method Multi-faceted temporal analysis using dipm-SC algorithm.
result Two main patterns of popularity: bursty and steady temporal behaviors.
Novel approach uses Gaussian processes to estimate conflict trends.
problem Estimating temporal and spatial patterns of violent conflict.
method Highly disaggregated conflict event data with Gaussian processes.
result Powerful conflict forecasts and insights into conflict dynamics.
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.
Sentinel: Multi-Patch Transformer with Temporal and Channel Attention for Time Series Forecastingcs.LG
Sentinel improves time series forecasting by modeling both temporal and channel dependencies.
problem Limited effectiveness of existing transformer-based architectures in multivariate time-series forecasting.
method Proposes Sentinel, a full transformer-based architecture with multi-patch attention mechanism.
result Sentinel achieves better or comparable performance compared to state-of-the-art approaches.
Improved Gaussian process inference for spatio-temporal data.
problem Cubic computational costs in Gaussian process inference, especially in spatio-temporal settings.
method Proposes the Vanilla-SPDE Exchange, leveraging an equivalence between standard and SPDE formulations to achieve improved computational cost.
result Demonstrates improved computational efficiency through complexity analysis and numerical experiments.
FPG uses fractional calculus for efficient reinforcement learning with long-term memory.
problem High variance and inefficient sampling in standard policy gradient methods for long-term temporal modeling.
method Fractional Policy Gradients (FPG) incorporating Caputo fractional derivatives for power-law temporal correlations.
result Achieves asymptotic variance reduction of order O(t^(-alpha)) and sample efficiency gains.
DeepESN models efficiently design deep neural networks for temporal data.
problem Designing efficient deep neural networks for temporal data.
method Hierarchical compositions of recurrent layers.
result Intrinsic properties of state dynamics in deep RNNs.
DySAT learns dynamic graph node representations capturing structural and temporal patterns.
problem Learning latent representations of nodes in dynamic graphs.
method Dynamic Self-Attention Network (DySAT) that combines self-attention layers for structural and temporal dimensions.
result DySAT outperforms state-of-the-art baselines in link prediction on dynamic graphs.
Proposes FairDRL-ST for fair spatio-temporal mobility prediction.
problem Fairness concerns in spatio-temporal AI applications.
method Disentangled representation learning, adversarial learning.
result Achieves fairness in spatio-temporal mobility prediction without performance loss.
ST-GCN improves rs-fMRI prediction accuracy by modeling spatio-temporal graph connectivity.
problem Existing rs-fMRI methods neglect functional connectivity or temporal dynamics.
method Spatio-temporal graph convolutional network (ST-GCN) trained on BOLD time series.
result ST-GCN predicts gender and age more accurately than common methods.
Credit risk analysis improved with a joint model for spatial and temporal effects.
problem Predicting borrower's time-to-event with spatial and temporal covariates.
method Spatio-Temporal Joint Model (STJM) using Bayesian hierarchical approach and INLA.
result Spatial effects improve joint model performance, but spatio-temporal interactions have less impact.
Enhanced feature extraction pipeline boosts music genre recognition.
problem Improving music genre classification accuracy.
method Extended feature engineering pipeline with multiple stages and feedback loops.
result The method significantly improves classification performance on the GTZAN dataset.
New neural model learns from sequences without time backpropagation.
problem Learning useful temporal generative models from sequential data.
method Developed Temporal Neural Coding Network and Discrepancy Reduction algorithm based on predictive coding.
result Algorithm shows promise on bouncing balls generative modeling problem.
Nonlocal Bayesian modeling for continuous spatio-temporal dynamics
problem Handling irregular time points, sparse observations, and nonlocal interactions in spatio-temporal forecasting
method Hierarchical Bayesian framework with coordinate-based spatial basis expansion and continuous-time ODE
result Strong forecasting and uncertainty calibration
Accelerates TD learning for long-horizon reinforcement learning problems.
problem Slow convergence of conventional TD learning in long-horizon tasks.
method Introduces PID Accelerated Temporal Difference (PID TD) learning algorithms.
result Accelerates convergence of TD learning compared to conventional methods.
CAWs learn temporal network dynamics without node identities or edge attributes.
problem Learning temporal network dynamics without node identities or edge attributes.
method Causal Anonymous Walks (CAWs) using temporal random walks and hitting counts.
result CAW-N outperforms previous methods in predicting links over 6 real temporal networks.
Study builds complex network from multimodal physiological data.
problem Understanding dynamic interactions in biological systems.
method Network-based multimodal data fusion using recurrence plots and temporal metrics.
result Model accurately characterizes emotional states through physiological responses.
IETNet identifies important channels for MVTS classification.
problem Multivariate time series classification with blackbox deep networks.
method End-to-end network combining temporal feature extraction, variable selection, and interaction.
result IETNet improves model accuracy and reduces overfitting by identifying and removing non-predictive variables.
Concept Relation Discovery and Innovation Enabling Technology (CORDIET), is a toolbox for gaining new knowledge from unstructured text data. At the core of CORDIET is the C-K theory which captures the essential elements of innovation. The tool uses Formal Concept Analysis (FCA), Emergent Self Organizing Maps (ESOM) and…
Optimizes when to post to maximize visibility in social networks.
problem Maximizing post visibility in online social networks.
method Temporal point processes model and convex optimization framework.
result Developed a method to find optimal posting times with provable guarantees.
A new model uses past consumption history to predict user preferences.
problem Predicting user preferences from past consumption history.
method Sequential Variational Autoencoder with a recurrent neural network.
result The model outperforms state-of-the-art methods by significant margins.
Enhances reinforcement learning uncertainty estimation with a generalized Gaussian error model.
problem Inaccurate error representations and compromised uncertainty estimation in conventional uncertainty-aware TD learning.
method Introduces a novel framework for generalized Gaussian error modeling in deep reinforcement learning, incorporating higher-order moments, particularly kurtosis, to improve uncertainty estimation and mitigation.
result Significant performance gains in policy gradient algorithms with the proposed framework.
TD-Flow improves long-term predictions in agent learning.
problem Cumulative errors in step-by-step inference of future states.
method Leverages flow-matching techniques and a novel Bellman equation to learn accurate geometric horizon models.
result Significantly reduces errors at long horizons compared to prior methods.
MEANTIME improves sequential recommendation by using multi-temporal embeddings and attention mechanisms.
problem Limited use of timestamp information and information bottleneck in sequential recommendation models.
method MEANTIME employs multiple types of temporal embeddings and attention mechanisms to capture diverse patterns from user behavior sequences.
result MEANTIME outperforms state-of-the-art sequential recommendation methods.
Predicting dance hits from 1985-2013 using musical features.
problem Predicting which songs will be dance hits.
method Built a database of dance hit songs with features, used multiple classifiers.
result Best model predicts top 10 dance hits with good accuracy.
Differential Expression Analysis of Dynamical Sequencing Count Data with a Gamma Markov Chainstat.AP
Develops GMNB model for better NGS data analysis.
problem Lack of tools for analyzing temporal NGS data.
method Integrates gamma Markov chain into negative binomial distribution model.
result GMNB outperforms existing methods in differential expression analysis.
Deep learning model predicts wind-wave relationship.
problem Characterize ocean wave climate for engineering applications.
method Two-stage deep learning model: CNN for spatial features, LSTM for temporal dependencies.
result Predicts spatio-temporal relationship between wind and significant wave height.
A new autoencoder architecture captures multiscale data.
problem Multiscale spatio-temporal data representation.
method Integrates multigrid methods, convolutional autoencoders, and transfer learning.
result Adaptive, hierarchical architecture captures different scaled features dynamically.
Proposes RMN for learning long-term dependencies in feed-forward networks.
problem Complicated training of deep RNN architectures.
method Residual Memory Neural Network (RMN) with residual and time-delayed connections.
result RMN and BRMN outperform LSTM and BLSTM networks in learning long-term and hierarchical information.
Study uncovers uncertainty in traffic prediction models across cities.
problem Lack of interpretability in deep learning models for traffic prediction.
method Investigated uncertainty quantification methods for image-based traffic prediction.
result Meaningful uncertainty estimates can be recovered for traffic prediction.
Deep RNNs reveal interesting insights about short-term memory dynamics.
problem Understanding the short-term memory capabilities of deep RNNs.
method Investigation of state dynamics in successive levels of deep RNNs.
result Higher layers in a hierarchically organized RNN architecture exhibit longer memory spans.
GAttNHP predicts future events in temporal knowledge graphs by encoding long-range dependencies and handling mutual excitation.
problem Forecasting future events in temporal knowledge graphs due to long-range dependencies, mutual excitation, and heavy-tailed inter-arrival times.
method GAttNHP uses a self-attention encoder, semantic soft-grouping, and NCQ regression to address these issues.
result GAttNHP improves entity and time prediction on six benchmark TKG datasets compared to state-of-the-art baselines.
Temporal Difference Learning explains emotions and behavior.
problem Understanding how emotions evolve and impact behavior.
method Temporal Difference Reinforcement Learning (TDRL) theory.
result Emotions are TD error assessments aiding survival.
Study analyzes bond traders' views on equity market dynamics.
problem Understanding temporal shifts in equity market parameters.
method Utilizes Black-Derman-Toy model and zero-coupon bond pricing.
result Discovers correlations between risk-neutral probability and market variables.
Estimates temporal relationships in time-series data with latent variables.
problem Learning causal relationships between time series with latent memory.
method Developed an estimator for latent Markov processes with variable lags.
result Parameters can be learned consistently under genericity assumption.