6 citations · 27 across the 19 of their papers we have counts for
20 papers
KANFormer for Predicting Fill Probabilities via Survival Analysis in Limit Order Books
Jinfeng Zhong, Emmanuel Bacry, Agathe Guilloux +1
This paper introduces KANFormer, a novel deep-learning-based model for predicting the time-to-fill of limit orders by leveraging both market- and agent-level information. KANFormer…
An efficient joint model for high dimensional longitudinal and survival data via generic association features
Van Tuan Nguyen, Adeline Fermanian, Agathe Guilloux +4
This paper introduces a prognostic method called FLASH that addresses the problem of joint modelling of longitudinal data and censored durations when a large number of both longitu…
On the Generalization and Approximation Capacities of Neural Controlled Differential Equations
Linus Bleistein, Agathe Guilloux
Neural Controlled Differential Equations (NCDEs) are a state-of-the-art tool for supervised learning with irregularly sampled time series (Kidger, 2020). However, no theoretical an…
Learning the Dynamics of Sparsely Observed Interacting Systems
Linus Bleistein, Adeline Fermanian, Anne-Sophie Jannot +1
We address the problem of learning the dynamics of an unknown non-parametric system linking a target and a feature time series. The feature time series is measured on a sparse and…
Debiasing the estimate of treatment effect on the treated with time-varying counfounders
Camille Nevoret, Sandrine Katsahian, Agathe Guilloux
With the increased availability of large health databases comes the opportunity of evaluating treatment effect on new data sources.Through these databases time-dependent outcomes c…
SurvCaus : Representation Balancing for Survival Causal Inference
Ayoub Abraich, Agathe Guilloux, Blaise Hanczar
Individual Treatment Effects (ITE) estimation methods have risen in popularity in the last years. Most of the time, individual effects are better presented as Conditional Average T…