1 citations · 1 across the 4 of their papers we have counts for
4 papers
Strong denoising of financial time-series
Matthias J. Feiler
In this paper we introduce a method for significantly improving the signal to noise ratio in financial data. The approach relies on combining a target variable with different conte…
A probabilistic autoencoder for causal discovery
Matthias Feiler
The paper addresses the problem of finding the causal direction between two associated variables. The proposed solution is to build an autoencoder of their joint distribution and t…
Model uncertainty in financial forecasting
Matthias J. Feiler, Thibaut Ajdler
Models necessarily capture only parts of a reality. Prediction models aim at capturing a future reality. In this paper we address the question of how the future is constructed (or:…
Learning from Others in the Financial Market
Matthias Feiler, Thibaut Ajdler
Prediction problems in finance go beyond estimating the unknown parameters of a model (e.g. of expected returns). This is because such a model would have to include parameters gove…