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q-fin.ST2021
Expert Aggregation for Financial Forecasting
Carl Remlinger, Brière Marie, Alasseur Clémence +1
Machine learning algorithms dedicated to financial time series forecasting have gained a lot of interest. But choosing between several algorithms can be challenging, as their estim…
stat.ML2021
Conditional Loss and Deep Euler Scheme for Time Series Generation
Carl Remlinger, Joseph Mikael, Romuald Elie
We introduce three new generative models for time series that are based on Euler discretization of Stochastic Differential Equations (SDEs) and Wasserstein metrics. Two of these me…