79 citations · 133 across the 5 of their papers we have counts for
7 papers
Time-varying neural network for stock return prediction
Steven Y. K. Wong, Jennifer Chan, Lamiae Azizi +1
We consider the problem of neural network training in a time-varying context. Machine learning algorithms have excelled in problems that do not change over time. However, problems…
Semi-metric portfolio optimization: a new algorithm reducing simultaneous asset shocks
Nick James, Max Menzies, Jennifer Chan
This paper proposes a new method for financial portfolio optimization based on reducing simultaneous asset shocks across a collection of assets. This may be understood as an altern…
Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19
Nick James, Max Menzies, Jennifer Chan
This paper introduces new methods for analysing the extreme and erratic behaviour of time series to evaluate the impact of COVID-19 on cryptocurrency market dynamics. Across 51 cry…
Novel semi-metrics for multivariate change point analysis and anomaly detection
Nick James, Max Menzies, Lamiae Azizi +1
This paper proposes a new method for determining similarity and anomalies between time series, most practically effective in large collections of (likely related) time series, by m…
Maximum leave-one-out likelihood estimation for location parameter of unbounded densities
Thanakorn Nitithumbundit, Jennifer S. K. Chan
Maximum likelihood estimation of a location parameter fails when the density have unbounded mode. An alternative approach is considered by leaving out a data point to avoid the unb…
An ECM algorithm for Skewed Multivariate Variance Gamma Distribution in Normal Mean-Variance Representation
Thanakorn Nitithumbundit, Jennifer S. K. Chan
Normal mean-variance mixture distributions are widely applied to simplify a model's implementation and improve their computational efficiency under the Maximum Likelihood (ML) appr…