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stat.ML2026
Data-Driven Dynamic Factor Modeling via Manifold Learning
Graeme Baker, Agostino Capponi, J. Antonio Sidaoui
We introduce a data-driven dynamic factor framework for modeling the joint evolution of high-dimensional covariates and responses without parametric assumptions. Standard factor mo…
stat.ML2025
The Nonstationarity-Complexity Tradeoff in Return Prediction
Agostino Capponi, Chengpiao Huang, J. Antonio Sidaoui +2
Does more data improve return prediction? In non-stationary financial markets, longer training windows improve prediction of complex models but incorporate outdated economic regime…
stat.ML2025
Prediction-Enhanced Monte Carlo: A Machine Learning View on Control Variate
Fengpei Li, Haoxian Chen, Jiahe Lin +7
For many complex simulation tasks spanning areas such as healthcare, engineering, and finance, Monte Carlo (MC) methods are invaluable due to their unbiased estimates and precise e…