1,723,481 research outputs found
Experiments on the Application of IOHMMs to Model Financial Returns Series
Full text linkInput/Output Hidden Markov Models (IOHMMs) are conditional hidden Markov models in which the emission (and possibly the transition) probabilities can be conditioned on an input sequence. For example, these conditional distributions can be linear, logistic, or non-linear (using for example multi-layer neural networks). We compare the generalization performance of several models which are special cases of Input/Output Hidden Markov Models on financial time-series prediction tasks: an unconditional Gaussian, a conditional linear Gaussian, a mixture of Gaussians, a mixture of conditional linear Gaussians, a hidden Markov model, and various IOHMMs. The experiments compare these models on predicting the conditional density of returns of market and sector indices. Note that the unconditional Gaussian estimates the first moment with the historical average. The results show that, although for the first moment the historical average gives the best results, for the higher moments, the IOHMMs yielded significantly better performance, as estimated by the out-of-sample likelihood. "Input/Output Hidden Markov Models" (IOHMMs) sont des modèles de Markov cachés pour lesquels les probabilités d'émission (et possiblement de transition) peuvent dépendre d'une séquence d'entrée. Par exemple, ces distributions conditionnelles peuvent être linéaires, logistique, ou non-linéaire (utilisant, par exemple, une réseau de neurones multi-couches). Nous comparons les performances de généralisation de plusieurs modèles qui sont des cas particuliers de IOHMMs pour des problèmes de prédictions de séries financières : une gaussienne inconditionnelle, une gaussienne linéaire conditionnelle, une mixture de gaussienne, une mixture de gaussiennes linéaires conditionnelles, un modèle de Markov caché, et divers IOHMMs. Les expériences comparent ces modèles sur leur prédictions de la densité conditionnelle des rendements des indices sectoriels et du marché. Notons qu'une gaussienne inconditionnelle estime le premier moment avec une moyenne historique. Les résultats montrent que, même si la moyenne historique donne les meilleurs résultats pour le premier moment, pour les moments d'ordres supérieurs les IOHMMs performent significativement mieux, comme estimé par la vraisemblance hors-échantillon.Input/Output Hidden Markov Model (IOHMM), financial series, volatility, Modèles de Markov cachés, IOHMM, séries financières, volatilité
Roi ne puis, Prince ne daigne, Tangérois suis (pavane pour une communauté juive défunte)
No full textBengio Abraham. Roi ne puis, Prince ne daigne, Tangérois suis (pavane pour une communauté juive défunte). In: Horizons Maghrébins - Le droit à la mémoire, N°31-32, 1996. Tanger au miroir d'elle-même. pp. 94-102
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
BPS: A learning algorithm for capturing the dynamic nature of speech
No full textA novel backpropagation learning algorithm for a particular class of dynamic neural networks in which some units have a local feedback is proposed. Hence these networks can be trained to respond to sequences of input patterns. This algorithm has the same order of space and time requirements as backpropagation applied to feedforward networks. The authors present experimental results and comparisons with a speech recognition problem
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Multi-Task Learning For Option Pricing
Full text linkMulti-task learning is a process used to learn domain-specific bias. It consists in simultaneously training models on different tasks derived from the same domain and forcing them to exchange domain information. This transfer of knowledge is performed by imposing constraints on the parameters defining the models and can lead to improved generalization performance. In this paper, we explore a particular multi-task learning method that forces the parameters of the models to lie on an affine manifold defined in parameter space and embedding domain information. We apply this method to the prediction of the prices of call options on the S&P index for a period of time ranging from 1987 to 1993. An analysis of variance of the results is presented that shows significant improvements of the generalization performance. L'apprentissage multi-tâches est une manière d'apprendre des particularités d'un domaine (le biais) qui comprend plusieurs tâches possibles. On entraîne simultanément plusieurs modèles, un par tâche, en imposant des contraintes sur les paramètres de manière à capturer ce qui est en commun entre les tâches, afin d'obtenir une meilleure généralisation sur chaque tâche, et pour pouvoir rapidement généraliser (avec peu d'exemples) sur une nouvelle tâche provenant du même domaine. Ici cette commonalité est définie par une variété affine dans l'espace des paramètres. Dans cet article, nous appliquons ces méthodes à la prédiction du prix d'options d'achat de l'indice S&P 500 entre 1987 et 1993. Une analyse de la variance des résultats est présentée, démontrant des améliorations significatives de la prédiction hors-échantillon.option call pricing, multi-task learning, artificial neural networks, valorisation d'options d'achat, apprentissage multi-tâches, réseau de neurones artificiels
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
List of hyper-parameters identified for each model using random grid search (Bergstra & Bengio, 2012), their optimized values, and argument descriptions (Pedregosa et al., 2011).
No full textList of hyper-parameters identified for each model using random grid search (Bergstra & Bengio, 2012), their optimized values, and argument descriptions (Pedregosa et al., 2011).</p
Discriminative Keyword Spotting
Full text linkThis chapter introduces a discriminative method for detecting and spotting keywords in spoken utterances. Given a word represented as a sequence of phonemes and a spoken utterance, the keyword spotter predicts the best time span of the phoneme sequence in the spoken utterance along with a confidence. If the prediction confidence is above certain level the keyword is declared to be spoken in the utterance within the predicted time span, otherwise the keyword is declared as not spoken. The problem of keyword spotting training is formulated as a discriminative task where the model parameters are chosen so the utterance in which the keyword is spoken would have higher confidence than any other spoken utterance in which the keyword is not spoken. It is shown theoretically and empirically that the proposed training method resulted with a high area under the receiver operating characteristic (ROC) curve, the most common measure to evaluate keyword spotters. We present an iterative algorithm to train the keyword spotter efficiently. The proposed approach contrasts with standard spotting strategies based on HMMs, for which the training procedure does not maximize a loss directly related to the spotting performance. Several experiments performed on TIMIT and WSJ corpora show the advantage of our approach over HMM-based alternatives.LIDIA
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