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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.

168,742 papers · 148 categories

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23466992 · Jun 202019922001200920172026
48 results for temporal lags

LAD-BNet improves real-time energy forecasting on edge devices.

problem Real-time energy forecasting on edge devices for smart grid optimization and intelligent buildings.
method Hybrid neural architecture combining temporal lag exploitation and TCN with dilated convolutions.
result 14.49% MAPE at 1-hour horizon with 18ms inference time on Edge TPU, 8-12x faster than CPU.

One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine which variables and (their)…

2011-06-20abs ↗pdf ↗

Develops identifiability theory for multi-lag regime-switching models.

problem Ensuring interpretability of deep latent variable models with multi-lag dependencies.
method Formulates a general theoretical framework for multi-lag Regime-Switching Models (RSMs), proving identifiability of number of regimes and multi-lag transitions.
result Establishes identifiability conditions for multi-lag regime-switching models, including Markov Switching Models and Switching Dynamical Systems.

Transformer-based method for causal discovery with prior knowledge integration.

problem Complex nonlinear dependencies and spurious correlations in time series data.
method Multi-layer Transformer forecaster with gradient-based causal structure extraction and attention masking for prior knowledge integration.
result Significant improvement in causal discovery and causal lag estimation compared to state-of-the-art methods.

Estimates spatio-temporal data with satellite NO2 concentrations using Yule-Walker equations.

problem Estimating large spatio-temporal autoregressions with unknown spatial interactions.
method Sparse generalized Yule-Walker estimation, penalized regression, spatial and temporal dependence.
result Strong forecast improvements and evidence of spatial interactions in NO2 satellite data.

Bayesian framework selects features and lags for time series forecasting.

problem Variable selection and lagged error term identification in time series models.
method Hierarchical Bayesian models with spike-and-slab priors, two-stage MCMC algorithm.
result Posterior selection consistency under mild conditions, improved predictive performance.

The Dynamic Mode Decomposition (DMD) extracted dynamic modes are the non-orthogonal eigenvectors of the matrix that best approximates the one-step temporal evolution of the multivariate samples. In the context of dynamical system analysis, the extracted dynamic modes are a generalization of global stability modes. We a…

2019-03-04abs ↗pdf ↗

Temporal data are increasingly prevalent in modern data science. A fundamental question is whether two time series are related or not. Existing approaches often have limitations, such as relying on parametric assumptions, detecting only linear associations, and requiring multiple tests and corrections. While many non-p…

2019-08-18abs ↗pdf ↗

New method calibrates stochastic reduced-order models from data efficiently.

problem Challenges in estimating drift and diffusion coefficients from data for high-dimensional systems.
method Uses a novel relationship between conditional score and transition density to constrain model coefficients directly from finite-lag statistics.
result Validated on various systems, the method reproduces statistical and dynamical properties of the original models.

Temporal Functional Circuits explain KAN forecasts with interpretable edge functions.

problem Lack of mechanistic explanations in KAN forecasting.
method Transform KAN edge functions into faithful, temporally grounded explanations using a gated residual KAN.
result Gated KAN achieves lower MSE than linear-only models on regime-switching signals.

Path signatures reveal community structure in coupled oscillators' dynamics.

problem Detecting communities in multivariate dynamical processes from time series data.
method Path signatures, a mathematical framework encoding geometric and temporal properties of continuous paths.
result Achieved exact recovery of structural communities from observed time series in multiple KSBM instances.

DeepCausalMMM models marketing impacts using deep learning and causal inference.

problem Traditional MMM approaches struggle with non-linear dynamics and temporal patterns.
method Combines deep learning, causal inference, and marketing science. Uses GRUs for temporal patterns and DAG structure for channel dependencies.
result Captures non-linear dynamics and temporal patterns in marketing impacts.

Deep learning methods improve time series forecasting by optimizing lag selection.

problem Optimizing the number of lags for accurate univariate time series forecasting.
method Empirical analysis of deep learning methods trained on multiple time series datasets.
result Excessively small or large lag sizes negatively impact forecasting performance.

DOLCE improves off-policy evaluation and learning by decomposing effects.

problem Bias in off-policy evaluation and learning due to policy mismatch.
method Uses lagged contexts and a moment-based training procedure to decompose and cancel bias.
result DOLCE achieves substantial improvements in off-policy evaluation and learning.

We develop methods to estimate lag and parameters for multiple stable autoregressive processes.

problem Estimating lag and parameters for multiple stable autoregressive processes with unknown lag.
method Use convex programming to simultaneously select lag and estimate parameters across multiple processes.
result The estimated process is stable, and forecasting errors can outperform known rates.

NAPLES resolves lead-lag analysis challenges in non-synchronous high-frequency data.

problem Challenges in analyzing lead-lag effects due to non-synchronous observations and high-frequency data.
method NAPLES (Negative And Positive lead-lag EStimator) resolves these challenges.
result NAPLES has a strong correlation with actual lead-lag effects, including those triggered by macroeconomic announcements.

Method detects lead-lag relationships in multivariate time series.

problem Discovering lead-lag relationships in multivariate time series.
method Clustering-driven methodology using sliding window and various clustering techniques.
result Robust lead-lag estimates across clusters enhance consistent relationships identification.

Modeling delayed Granger causality in Hawkes processes.

problem Capturing the time lag between causal events in multivariate Hawkes processes.
method Proposed a Hawkes process model with latent time lags, using Variational Auto-Encoder (VAE) for inference.
result Identified and inferred time lags with posterior distributions, improving event prediction and root cause analysis.

A criterion for training-free time-lagged spectral embeddings of multivariate time series

problem Applicability of fixed-length descriptors for multivariate time series
method Using a stationary Gaussian VAR(1) model and cosine similarity to classify descriptors
result D(τ) separates two classes when signals are approximately stationary and cross-channel temporal coupling is present

Aggregation distorts causal discovery results but recovery is possible with partial linearity or prior.

problem Understanding how temporal aggregation affects causal discovery in aggregated data.
method Functional consistency and conditional independence consistency methods.
result Causal discovery results may be distorted by aggregation, but recovery is possible with certain conditions.

The study finds that factor momentum is significant only at short lags compared to stock momentum.

problem Investigating the relationship between factor momentum and stock momentum.
method Replicated earlier findings and conducted a spanning test controlling for stock momentum and factor exposure.
result Factor momentum is significant only at short lags after controlling for stock momentum and factor exposure.

The existence of time-lagged cross-correlations between the returns of a pair of assets, which is known as the lead-lag relationship, is a well-known stylized fact in financial econometrics. Recently some continuous-time models have been proposed to take account of the lead-lag relationship. Such a model does not follo…

2017-12-28abs ↗pdf ↗

We propose a novel framework to investigate lead-lag relationships between two financial assets. Our framework bridges a gap between continuous-time modeling based on Brownian motion and the existing wavelet methods for lead-lag analysis based on discrete-time models and enables us to analyze the multi-scale structure …

2016-12-05abs ↗pdf ↗

Novel framework detects lead-lag relationships in Chinese A-share market.

problem Detecting lead-lag relationships in the Chinese A-share market.
method Two-stage framework: long-term coupling via correlation, dynamic time warping, and rank-based metrics; high-frequency data analysis via cross-correlation, Granger causality, and regression models.
result Strongly coupled stock pairs often exhibit lead-lag effects, especially at finer time scales.

Financial markets are highly correlated systems that reveal both the inter-market dependencies and the correlations among their different components. Standard analyzing techniques include correlation coefficients for pairs of signals and correlation matrices for rich multivariate data. In the latter case one constructs…

2006-05-15abs ↗pdf ↗

Abstract: A new approach to technical indicators without lag.

problem Defining classical technical indicators as bounded operators for lag-free trading.
method Using linear algebra to redefine technical indicators as bounded operators in l(N)l^\infty(\mathbb{N}) space.
result Demonstrated the no-lag versions of technical indicators are simpler and more effective.

New method for estimating lead-lag times between non-synchronously observed point processes.

problem Estimating lead-lag relationships between non-synchronously observed point processes.
method Formulate lead-lag estimation as CPCF shape estimation; propose kernel density estimation-based lead-lag time estimator.
result Proposed method delivers superior numerical performance and effective lead-lag time estimation.

CARRNN tackles deep learning for sporadic data, improving prediction errors in healthcare.

problem Challenges in learning temporal patterns from sporadic multivariate longitudinal data.
method Developed a novel deep learning architecture combining RNN and CAR models, using a generalized discrete-time autoregressive model.
result CARRNN achieves the lowest prediction errors in multivariate time-series regression tasks.

Vector autoregression (VAR) is a fundamental tool for modeling multivariate time series. However, as the number of component series is increased, the VAR model becomes overparameterized. Several authors have addressed this issue by incorporating regularized approaches, such as the lasso in VAR estimation. Traditional a…

2014-12-17abs ↗pdf ↗

New technique identifies lead-lag relationships in FX market during pandemic.

problem Identifying lead-lag relationships in financial markets, especially during crises.
method Dynamic Programming technique for finding optimal lead-lag path, using a loose metric.
result The proposed technique gives the best results in identifying statistically significant paths and closest forecasts.

ForecastQA creates a new QA task for event forecasting from text data.

problem Forecasting future events from unstructured text data.
method Formulated a restricted-domain, multiple-choice QA task for event forecasting.
result Best model achieves 60.1% accuracy, lagging behind human performance by about 19%

This study examines lead-lag relationships in Chinese futures markets using high-frequency data.

problem Understanding high-frequency trading dynamics and information flow in futures markets.
method High-frequency tick-by-tick data analysis of lead-lag relationships between different maturity futures contracts.
result The near-month futures lead longer-dated contracts by one tick, with a negative feedback effect on the leading asset.

New model identifies regimes in non-stationary data.

problem Identifying latent regimes in non-stationary systems with instantaneous effects.
method Identifiable Markov Switching Models with exponential family noise.
result Established identifiability of latent regimes and causal structures.

Clusters asset classes to identify lead-lag relationships in market regimes.

problem Understanding lead-lag relationships between different asset classes.
method Defining macroeconomic regimes by clustering indices and investigating lead-lag relationships.
result Unravels market features and highlights informative market trends or risks.