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cs.LG2024★ 1 cited
Time-Causal VAE: Robust Financial Time Series Generator
Beatrice Acciaio, Stephan Eckstein, Songyan Hou
We build a time-causal variational autoencoder (TC-VAE) for robust generation of financial time series data. Our approach imposes a causality constraint on the encoder and decoder…
cs.LG2022
Designing Universal Causal Deep Learning Models: The Geometric (Hyper)Transformer
Beatrice Acciaio, Anastasis Kratsios, Gudmund Pammer
Several problems in stochastic analysis are defined through their geometry, and preserving that geometric structure is essential to generating meaningful predictions. Nevertheless,…