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q-fin.TR2026
How do standard time series forecasting benchmarks translate to finance? A broad study of risk adjusted performance
Adir Saly-Kaufmann, Kieran Wood, Jan-Peter Calliess +2
Forecasting financial asset returns is challenging due to low signal-to-noise ratios, non-stationarity and heavy-tailed distributions. We benchmark 16 deep learning architectures f…
cs.LG2026
Cantelli Constrained Policy Optimization
Rohan Tangri, Jan-Peter Calliess
We introduce Canary, a risk-averse method designed to optimize Value-at-Risk (VaR) constrained reinforcement learning (RL) problems. We employ Cantelli's inequality to obtain a tra…