Neural network approach to the problem of predicting interest rate anomalies under the influence of correlated noise
DOI10.1134/S1064562423701521OpenAlexW4393142252MaRDI QIDQ6124385FDOQ6124385
Authors: G. A. Zotov, P. P. Lukianchenko 
Publication date: 27 March 2024
Published in: Doklady Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s1064562423701521
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Artificial neural networks and deep learning (68T07) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- PINK NOISE, 1/fαNOISE, AND THEIR EFFECT ON SOLUTIONS OF DIFFERENTIAL EQUATIONS
- Parametric statistical change point analysis. With applications to genetics, medicine, and finance
- Optimal detection of changepoints with a linear computational cost
- An equilibrium characterization of the term structure
- Detection of multiple change-points in multivariate time series
- Detection of abrupt changes: theory and application
- Title not available (Why is that?)
- Colored Noise in Dynamical Systems
- INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON A COMPUTER
- Numerical solution of stochastic differential equations in finance
- Catastrophes in Brownian motion
- New methods in fixed income modeling. Fixed income modeling
- Terminal invariance of jump diffusions
- Deep learning for finance: deep portfolios
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