Time-series forecasting has various applications in a wide range of domains, e.g., forecasting stock markets using limit order book data. Limit order book data provide much richer information about the behavior of stocks than its price alone, but also bear several challenges, such as dealing with multiple price depths and processing very large amounts of data of high-dimensionality, velocity and variety. A well-known approach for efficiently handling large amounts of high-dimensional data is the Bag-of-Features (BoF) model. However, the BoF method was designed to handle multimedia data, such as images. In this work, a novel temporalaware neural BoF model is proposed tailored to the needs of time-series forecasting using high frequency limit order book data. Two separate sets of Radial Basis Function (RBF) and accumulation layers are used in the Temporal Bag-of-Features to capture both the short-term behavior and the long-term dynamics of time-series. This allows for modeling complex temporal phenomena that occur in time-series data and further increase the forecasting ability of the model. Any other neural layer, such as feature transformation layers, or classifiers, such as Multilayer Perceptrons, can be combined with the proposed deep learning approach, which can be trained end-to-end using the back-propagation algorithm. The effectiveness of the proposed method is validated using a large-scale limit order book dataset, containing over 4.5 million limit orders, and it is demonstrated that it greatly outperforms all the other evaluated methods.
Dynamical systems see widespread use in natural sciences like physics, biology, chemistry, as well as engineering disciplines such as circuit analysis, computational fluid dynamics, and control. For simple systems, the differential equations governing the dynamics can be derived by applying fundamental physical laws. However, for more complex systems, this approach becomes exceedingly difficult. Data-driven modeling is an alternative paradigm that seeks to learn an approximation of the dynamics of a system using observations of the true system. In recent years, there has been an increased interest in applying data-driven modeling techniques to solve a wide range of problems in physics and engineering. This paper provides a survey of the different ways to construct models of dynamical systems using neural networks. In addition to the basic overview, we review the related literature and outline the most significant challenges from numerical simulations that this modeling paradigm must overcome. Based on the reviewed literature and identified challenges, we provide a discussion on promising research areas.
Spectral-based subspace learning is a common data preprocessing step in many machine learning pipelines. The main aim is to learn a meaningful low dimensional embedding of the data. However, most subspace learning methods do not take into consideration possible measurement inaccuracies or artifacts that can lead to data with high uncertainty. Thus, learning directly from raw data can be misleading and can negatively impact the accuracy. In this paper, we propose to model artifacts in training data using probability distributions; each data point is represented by a Gaussian distribution centered at the original data point and having a variance modeling its uncertainty. We reformulate the Graph Embedding framework to make it suitable for learning from distributions and we study as special cases the Linear Discriminant Analysis and the Marginal Fisher Analysis techniques. Furthermore, we propose two schemes for modeling data uncertainty based on pair-wise distances in an unsupervised and a supervised contexts.
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