A neural network-based framework for financial model calibration

A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial asset price models using an Artificial Neural Network (ANN). Determining optimal values of the model parameters is formulated as training hidden neurons within a machine learning framework, based on available financial option prices. The framework consists of two parts: a forward pass in which we train the weights of the ANN off-line, valuing options under many different asset model parameter settings; and a backward pass, in which we evaluate the trained ANN-solver on-line, aiming to find the weights of the neurons in the input layer. The rapid on-line learning of implied volatility by ANNs, in combination with the use of an adapted parallel global optimization method, tackles the computation bottleneck and provides a fast and reliable technique for calibrating model parameters while avoiding, as much as possible, getting stuck in local minima. Numerical experiments confirm that this machine-learning framework can be employed to calibrate parameters of high-dimensional stochastic volatility models efficiently and accurately.Comment: 34 pages, 9 figures, 11 table

Searching for Exoplanets Using Artificial Intelligence

In the last decade, over a million stars were monitored to detect transiting planets. Manual interpretation of potential exoplanet candidates is labor intensive and subject to human error, the results of which are difficult to quantify. Here we present a new method of detecting exoplanet candidates in large planetary search projects which, unlike current methods uses a neural network. Neural networks, also called "deep learning" or "deep nets" are designed to give a computer perception into a specific problem by training it to recognize patterns. Unlike past transit detection algorithms deep nets learn to recognize planet features instead of relying on hand-coded metrics that humans perceive as the most representative. Our convolutional neural network is capable of detecting Earth-like exoplanets in noisy time-series data with a greater accuracy than a least-squares method. Deep nets are highly generalizable allowing data to be evaluated from different time series after interpolation without compromising performance. As validated by our deep net analysis of Kepler light curves, we detect periodic transits consistent with the true period without any model fitting. Our study indicates that machine learning will facilitate the characterization of exoplanets in future analysis of large astronomy data sets.Comment: Accepted, 16 Pages, 14 Figures, https://github.com/pearsonkyle/Exoplanet-Artificial-Intelligenc