Neural networks
Chaotic behavior in financial market volatility
In this paper, the authors present a robust method for the detection of chaos based on the Lyapunov exponent, which is consistent even for noisy and finite scalar time series.
How machine learning could aid interest rate modelling
Standard Chartered quant proposes machine-learning technique to better capture rate dynamics
Podcast: Quantum computing to boom in next three to five years
Quant speaks of collaboration with Nasa and machine-learning algos for yield curves
Curve dynamics with artificial neural networks
Artificial neural networks can replace PCA for yield curves analysis
Credit default prediction using a support vector machine and a probabilistic neural network
In this study, the authors address the fact that the ranking of classifiers varies for different criteria with measures under different circumstances, by proposing the simultaneous application of support vector machine and probabilistic neural network …
Neural network learns ‘universal model’ for stock-price moves
Relationships between order flow and price “are stable through time and across stocks and sectors”
Model calibration with neural networks
Andres Hernandez presents a neural network approach to speed up model calibration