118 citations · 167 across the 15 of their papers we have counts for
6 papers · 1 filter
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…
Bayesian Learning for Neural Networks: an algorithmic survey
Martin Magris, Alexandros Iosifidis
The last decade witnessed a growing interest in Bayesian learning. Yet, the technicality of the topic and the multitude of ingredients involved therein, besides the complexity of t…
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…
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…