1 code implementation • 5 Mar 2020 • Steven Y. K. Wong, Jennifer Chan, Lamiae Azizi, Richard Y. D. Xu
We propose the online early stopping algorithm and show that a neural network trained using this algorithm can track a function changing with unknown dynamics.
no code implementations • 26 Jan 2020 • Nick James, Max Menzies, Jennifer Chan
This paper proposes a new method for financial portfolio optimization based on reducing simultaneous asset shocks across a collection of assets.
no code implementations • 12 Dec 2019 • Nick James, Max Menzies, Jennifer Chan
First, we analyse the structure of the market as a whole and observe a reduction in self-similarity as a result of COVID-19, particularly with respect to structural breaks in variance.
no code implementations • 4 Nov 2019 • Nick James, Max Menzies, Lamiae Azizi, Jennifer Chan
This paper proposes a new method for determining similarity and anomalies between time series, most practically effective in large collections of (likely related) time series, by measuring distances between structural breaks within such a collection.