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Quantitative Finance

Investment Management, Risk Management, Algorithmic Trading, Econometric Modeling, Pricing and Insurance

結果: Time Series

Speeding Up Dynare Models: Practical Paths to Performance Gains

著者 Ciara McGahey,

Dynamic Stochastic General Equilibrium (DSGE) models are essential tools for policy analysis and forecasting, but estimation runs often exceed 24 hours—particularly for large-scale models or Bayesian… 続きを読む >>

カテゴリ: 
Econometrics,
Forecasting,
Time Series

Pricing Special Purpose Vehicles with Physics‑Informed Neural Networks at Nasdaq Private Market

著者 Ciara McGahey,

Summary
Nasdaq Private Market (NPM) used MATLAB® to prototype and scale physics‑informed neural networks (PINNs) that price Special Purpose Vehicles (SPVs) with embedded carried interest and… 続きを読む >>

カテゴリ: 
Artificial Intelligence,
Asset Management,
Deep Learning,
Forecasting,
Options and Derivatives,
Risk Management,
Time Series

Deep Learning in Quantitative Finance: Transformer Networks for Time Series Prediction 2

著者 David Willingham,

The following blog was written by Owen Lloyd , a Penn State graduate who recently join the MathWorks Engineering Development program.
The code used to develop this example can be found on GitHub… 続きを読む >>

カテゴリ: 
Artificial Intelligence,
Deep Learning,
Forecasting,
New Features,
Time Series