3 papers
stat.ML2019
Adaptive Configuration Oracle for Online Portfolio Selection Methods
Favour M. Nyikosa, Michael A. Osborne, Stephen J. Roberts
Financial markets are complex environments that produce enormous amounts of noisy and non-stationary data. One fundamental problem is online portfolio selection, the goal of which…
stat.ML2018
Bayesian Optimization for Dynamic Problems
Favour M. Nyikosa, Michael A. Osborne, Stephen J. Roberts
We propose practical extensions to Bayesian optimization for solving dynamic problems. We model dynamic objective functions using spatiotemporal Gaussian process priors which captu…
stat.ML2017
A Novel Approach to Forecasting Financial Volatility with Gaussian Process Envelopes
Syed Ali Asad Rizvi, Stephen J. Roberts, Michael A. Osborne +1
In this paper we use Gaussian Process (GP) regression to propose a novel approach for predicting volatility of financial returns by forecasting the envelopes of the time series. We…