Variational Inference for GARCH-family Models

The Bayesian estimation of GARCH-family models has been typically addressed through Monte Carlo sampling. Variational Inference is gaining popularity and attention as a robust approach for Bayesian inference in complex machine learning models; however, its adoption in econometrics and finance is limited. This paper discusses the extent to which Variational Inference constitutes a reliable and feasible alternative to Monte Carlo sampling for Bayesian inference in GARCH-like models. Through a large-scale experiment involving the constituents of the S& P 500 index, several Variational Inference optimizers, a variety of volatility models, and a case study, we show that Variational Inference is an attractive, remarkably well-calibrated, and competitive method for Bayesian learning

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. In modern electronically driven markets, traditional time-series econometric methods often appear incapable of capturing the true complexity of the multilevel interactions driving the price dynamics. While recent research has established the effectiveness of traditional machine learning (ML) models in financial applications, their intrinsic inability to deal with uncertainties, which is a great concern in econometrics research and real business applications, constitutes a major drawback. Bayesian methods naturally appear as a suitable remedy conveying the predictive ability of ML methods with the probabilistically oriented practice of econometric research. By adopting a state-of-the-art second-order optimization algorithm, we train a Bayesian bilinear neural network with temporal attention, suitable for the challenging time-series task of predicting mid-price movements in ultra-high-frequency limit-order book markets. We thoroughly compare our Bayesian model with traditional ML alternatives by addressing the use of predictive distributions to analyze errors and uncertainties associated with the estimated parameters and model forecasts. Our results underline the feasibility of the Bayesian deep-learning approach and its predictive and decisional advantages in complex econometric tasks, prompting future research in this direction

Adaptive Resource Allocation for Virtualized Base Stations in O-RAN with Online Learning

Open Radio Access Network systems, with their virtualized base stations (vBSs), offer operators the benefits of increased flexibility, reduced costs, vendor diversity, and interoperability. Optimizing the allocation of resources in a vBS is challenging since it requires knowledge of the environment, (i.e., "external'' information), such as traffic demands and channel quality, which is difficult to acquire precisely over short intervals of a few seconds. To tackle this problem, we propose an online learning algorithm that balances the effective throughput and vBS energy consumption, even under unforeseeable and "challenging'' environments; for instance, non-stationary or adversarial traffic demands. We also develop a meta-learning scheme, which leverages the power of other algorithmic approaches, tailored for more "easy'' environments, and dynamically chooses the best performing one, thus enhancing the overall system's versatility and effectiveness. We prove the proposed solutions achieve sub-linear regret, providing zero average optimality gap even in challenging environments. The performance of the algorithms is evaluated with real-world data and various trace-driven evaluations, indicating savings of up to 64.5% in the power consumption of a vBS compared with state-of-the-art benchmarks

Predicting the state of synchronization of financial time series using cross recurrence plots

Cross-correlation analysis is a powerful tool for understanding the mutual dynamics of time series. This study introduces a new method for predicting the future state of synchronization of the dynamics of two financial time series. To this end, we use the cross recurrence plot analysis as a nonlinear method for quantifying the multidimensional coupling in the time domain of two time series and for determining their state of synchronization. We adopt a deep learning framework for methodologically addressing the prediction of the synchronization state based on features extracted from dynamically sub-sampled cross recurrence plots. We provide extensive experiments on several stocks, major constituents of the S &P100 index, to empirically validate our approach. We find that the task of predicting the state of synchronization of two time series is in general rather difficult, but for certain pairs of stocks attainable with very satisfactory performance (84% F1-score, on average)

Bayesian online learning for energy-aware resource orchestration in virtualized RANs

Proceedings of: IEEE International Conference on Computer Communications, 10-13 May 2021, Vancouver, BC, Canada.Radio Access Network Virtualization (vRAN) will spearhead the quest towards supple radio stacks that adapt to heterogeneous infrastructure: from energy-constrained platforms deploying cells-on-wheels (e.g., drones) or battery-powered cells to green edge clouds. We perform an in-depth experimental analysis of the energy consumption of virtualized Base Stations (vBSs) and render two conclusions: (i) characterizing performance and power consumption is intricate as it depends on human behavior such as network load or user mobility; and (ii) there are many control policies and some of them have non-linear and monotonic relations with power and throughput. Driven by our experimental insights, we argue that machine learning holds the key for vBS control. We formulate two problems and two algorithms: (i) BP-vRAN, which uses Bayesian online learning to balance performance and energy consumption, and (ii) SBP-vRAN, which augments our Bayesian optimization approach with safe controls that maximize performance while respecting hard power constraints. We show that our approaches are data-efficient and have provably performance, which is paramount for carrier-grade vRANs. We demonstrate the convergence and flexibility of our approach and assess its performance using an experimental prototype.This work was supported by the European Commission through Grant No. 856709 (5Growth) and Grant No. 101017109 (DAEMON); and by SFI through Grant No. SFI 17/CDA/4760