3 papers
stat.ML2022
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…
q-fin.GN2019
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:…
q-fin.GN2019
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…