2 papers
stat.ML2018
Parallel-tempered Stochastic Gradient Hamiltonian Monte Carlo for Approximate Multimodal Posterior Sampling
Rui Luo, Qiang Zhang, Yuanyuan Liu
We propose a new sampler that integrates the protocol of parallel tempering with the Nosé-Hoover (NH) dynamics. The proposed method can efficiently draw representative samples from…
cs.LG2018
Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series
Qiang Zhang, Rui Luo, Yaodong Yang +1
Volatility is a quantity of measurement for the price movements of stocks or options which indicates the uncertainty within financial markets. As an indicator of the level of risk…