conformal prediction 1financial time series 1nonstationary regimes 1risk calibration 1value-at-risk 1
From the 1 of 3 linked papers with an AI index.
3 papers
q-fin.RM2026
Taming Tail Risk in Financial Markets: Conformal Calibration for Nonstationary Portfolio VaR
Marc Schmitt
The paper introduces regime-weighted conformal calibration, a method that adjusts Value-at-Risk forecasts using weighted conformal prediction with regime similarity and exponential…
cs.CY2026
Digital Ecosystems: Enabling Collaboration in a Fragmented World
Marc Schmitt
As geopolitical, organizational, and technological fragmentation deepens, resilient digital collaboration becomes imperative. This paper develops a spectrum framework of polycentri…
q-fin.RM2026
Algorithmic Monitoring: Measuring Market Stress with Machine Learning
Marc Schmitt
I construct a Market Stress Probability Index (MSPI) that estimates the probability of high stress in the U.S. equity market one month ahead using information from the cross-sectio…