13 citations · 17 across the 25 of their papers we have counts for
4 papers · 1 filter
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 In non-stationary financial markets, longer training windows improve prediction of complex models but incorporate outdated economic regime…
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…
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…
Risk-Sensitive Cooperative Games for Human-Machine Systems
Agostino Capponi, Reza Ghanadan, Matt Stern
Autonomous systems can substantially enhance a human's efficiency and effectiveness in complex environments. Machines, however, are often unable to observe the preferences of the h…