3 papers
stat.ML2021
Logic Constraints to Feature Importances
Nicola Picchiotti, Marco Gori
In recent years, Artificial Intelligence (AI) algorithms have been proven to outperform traditional statistical methods in terms of predictivity, especially when a large amount of…
stat.ML2021
Clustering-Based Interpretation of Deep ReLU Network
Nicola Picchiotti, Marco Gori
Amongst others, the adoption of Rectified Linear Units (ReLUs) is regarded as one of the ingredients of the success of deep learning. ReLU activation has been shown to mitigate the…
q-fin.RM2018
Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modeling
Luca Spadafora, Francesca Sivero, Nicola Picchiotti
This paper proposes a new integrated variance estimator based on order statistics within the framework of jump-diffusion models. Its ability to disentangle the integrated variance…