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11/21/2022
Bayesian Learning for Neural Networks: an algorithmic survey
The last decade witnessed a growing interest in Bayesian learning. Yet, ...
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10/26/2022
Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots
Cross-correlation analysis is a powerful tool for understanding the mutu...
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10/26/2022
Exact Manifold Gaussian Variational Bayes
We propose an optimization algorithm for Variational Inference (VI) in c...
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05/23/2022
Quasi Black-Box Variational Inference with Natural Gradients for Bayesian Learning
We develop an optimization algorithm suitable for Bayesian learning in c...
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03/07/2022
Bayesian Bilinear Neural Network for Predicting the Mid-price Dynamics in Limit-Order Book Markets
The prediction of financial markets is a challenging yet important task....
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01/14/2022
Multi-head Temporal Attention-Augmented Bilinear Network for Financial time series prediction
Financial time-series forecasting is one of the most challenging domains...
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07/22/2019
On the simulation of the Hawkes process via Lambert-W functions
Several methods have been developed for the simulation of the Hawkes pro...
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07/19/2019
A Vine-copula extension for the HAR model
The heterogeneous autoregressive (HAR) model is revised by modeling the ...
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09/05/2017
Tensor Representation in High-Frequency Financial Data for Price Change Prediction
Nowadays, with the availability of massive amount of trade data collecte...
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05/09/2017