5 citations · 8 across the 7 of their papers we have counts for
7 papers
Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots
Mostafa Shabani, Martin Magris, George Tzagkarakis +2
Cross-correlation analysis is a powerful tool for understanding the mutual dynamics of time series. This study introduces a new method for predicting the future state of synchroniz…
Manifold Gaussian Variational Bayes on the Precision Matrix
Martin Magris, Mostafa Shabani, Alexandros Iosifidis
We propose an optimization algorithm for Variational Inference (VI) in complex models. Our approach relies on natural gradient updates where the variational space is a Riemann mani…
Augmented Bilinear Network for Incremental Multi-Stock Time-Series Classification
Mostafa Shabani, Dat Thanh Tran, Juho Kanniainen +1
Deep Learning models have become dominant in tackling financial time-series analysis problems, overturning conventional machine learning and statistical methods. Most often, a mode…
Quasi Black-Box Variational Inference with Natural Gradients for Bayesian Learning
Martin Magris, Mostafa Shabani, Alexandros Iosifidis
We develop an optimization algorithm suitable for Bayesian learning in complex models. Our approach relies on natural gradient updates within a general black-box framework for effi…
Bayesian Bilinear Neural Network for Predicting the Mid-price Dynamics in Limit-Order Book Markets
Martin Magris, Mostafa Shabani, Alexandros Iosifidis
The prediction of financial markets is a challenging yet important task. In modern electronically-driven markets, traditional time-series econometric methods often appear incapable…
Multi-head Temporal Attention-Augmented Bilinear Network for Financial time series prediction
Mostafa Shabani, Dat Thanh Tran, Martin Magris +2
Financial time-series forecasting is one of the most challenging domains in the field of time-series analysis. This is mostly due to the highly non-stationary and noisy nature of f…
Low-Rank Temporal Attention-Augmented Bilinear Network for financial time-series forecasting
Mostafa Shabani, Alexandros Iosifidis
Financial market analysis, especially the prediction of movements of stock prices, is a challenging problem. The nature of financial time-series data, being non-stationary and nonl…