36,994 research outputs found
Modeling Long- and Short-Term Temporal Patterns with Deep Neural Networks
Multivariate time series forecasting is an important machine learning problem
across many domains, including predictions of solar plant energy output,
electricity consumption, and traffic jam situation. Temporal data arise in
these real-world applications often involves a mixture of long-term and
short-term patterns, for which traditional approaches such as Autoregressive
models and Gaussian Process may fail. In this paper, we proposed a novel deep
learning framework, namely Long- and Short-term Time-series network (LSTNet),
to address this open challenge. LSTNet uses the Convolution Neural Network
(CNN) and the Recurrent Neural Network (RNN) to extract short-term local
dependency patterns among variables and to discover long-term patterns for time
series trends. Furthermore, we leverage traditional autoregressive model to
tackle the scale insensitive problem of the neural network model. In our
evaluation on real-world data with complex mixtures of repetitive patterns,
LSTNet achieved significant performance improvements over that of several
state-of-the-art baseline methods. All the data and experiment codes are
available online.Comment: Accepted by SIGIR 201
Modeling Dependencies in Finance using Copulae
In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the cop- ulae model the dependency structure between random variables, next we explain the link between the copulae and common dependency measures, such as Kendall's tau and Spearman's rho. In the next section the copulae are generalized to the multivariate case. In this general setup we discuss and provide an intensive literature review of estimation and simulation techniques. Separate section is devoted to the goodness-of-fit tests. The importance of copulae in finance we illustrate on the example of asset allocation problems, Value-at-Risk and time series models. The paper is complemented with an extensive simulation study and an application to financial data.Distribution functions, Dimension Reduction, Risk management, Statistical models
CDO Pricing with Copulae
Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from market data. The presented method is used to reproduce the spreads of the iTraxx Europe tranches. The two-parameter model incorporates the fact that the risky assets of the CDO pool are chosen from six different industry sectors. The dependency among the assets from the same group is described with the higher value of the copula parameter, otherwise the lower value of the parameter is ascribed. Our approach outperforms the standard market pricing procedure based on the Gaussian distribution.CDO, CDS, multifactor models, multivariate distributions, Copulae, correlation smile
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