Deep Learning

Deep hedging learns trading policies from historical or simulated market trajectories, yet under nonstationarity these training paths may not represent future market conditions. We propose WRAP (Wasserstein-Reweighting Adversarial Perturbation), a drift-aware adversarial training framework derived f

Learning effective representations helps characterize the structure and dynamics of equity markets from financial data with a low signal-to-noise ratio. Black-box deep models can capture complex patterns but may overfit sample noise and lack explicit economic structure. Meanwhile, classic linear fin

We introduce a deep kernel hedging framework that combines the flexibility of deep learning with the structural inductive bias of kernel methods. The hedging functional is restricted to a reproducing kernel Hilbert space whose kernel is parameterized through a neural network embedding of the input f

Classical market-making strategies based on stochastic control, such as the Avellaneda-Stoikov and the Guéant-Lehalle-Fernandez-Tapia (GLFT) extension, provide closed-form quoting rules, but rest on assumptions that break down at realistic microstructure timescales. One of them is that order flow is

Our work focuses on deep learning (DL) portfolio optimization, tackling challenges in long-only, multi-asset strategies across market cycles. We propose training models with limited regime data using pre-training techniques and leveraging transformer architectures for state variable inclusion. Evalu

This paper studies forward-looking stock-stock correlation forecasting for S&P 500 constituents and evaluates whether learned correlation forecasts can improve graph-based clustering used in basket trading strategies. We cast 10-day ahead correlation prediction in Fisher-z space and train a Temporal

DRL agents circumvent the issue of classic models in the sense that they do not make assumptions like the financial returns being normally distributed and are able to deal with any information like the ESG score if they are configured to gain a reward that makes an objective better. However, the per

We present a novel numerical method for solving McKean-Vlasov forward-backward stochastic differential equations (MV-FBSDEs) with common noise, combining Picard iterations, elicitability and deep learning. The key innovation involves elicitability to derive a path-wise loss function, enabling effici

This study applies Empirical Mode Decomposition (EMD) to the MSCI World index and converts the resulting intrinsic mode functions (IMFs) into graph representations to enable modeling with graph neural networks (GNNs). Using CEEMDAN, we extract nine IMFs spanning high-frequency fluctuations to long-t

This paper investigates an optimal integration of deep learning with financial models for robust asset price forecasting. Specifically, we developed a hybrid framework combining a Long Short-Term Memory (LSTM) network with the Merton-Lévy jump-diffusion model. To optimise this framework, we employed

Forecasting cryptocurrency prices is hindered by extreme volatility and a methodological dilemma between information-scarce univariate models and noise-prone full-multivariate models. This paper investigates a partial-multivariate approach to balance this trade-off, hypothesizing that a strategic su

Stock trading strategies play a critical role in investment. However, it is challenging to design a profitable strategy in a complex and dynamic stock market. In this paper, we propose an ensemble strategy that employs deep reinforcement schemes to learn a stock trading strategy by maximizing invest

We introduce a conditional Denoising Diffusion Probabilistic Model (DDPM) for generating arbitrage-free implied volatility (IV) surfaces, offering a more stable and accurate alternative to existing GAN-based approaches. To capture the path-dependent nature of volatility dynamics, our model is condit

We present a fast and robust calibration method for stochastic volatility models that admit Fourier-analytic transform-based pricing via characteristic functions. The design is structure-preserving: we keep the original pricing transform and (i) split the pricing formula into data-independent inte-

Covariance matrices estimated from short, noisy, and non-Gaussian financial time series are notoriously unstable. Empirical evidence suggests that such covariance structures often exhibit power-law scaling, reflecting complex, hierarchical interactions among assets. Motivated by this observation, we

Risk management is a prominent issue in peer-to-peer lending. An investor may naturally reduce his risk exposure by diversifying instead of putting all his money on one loan. In that case, an investor may want to minimize the Value-at-Risk (VaR) or Conditional Value-at-Risk (CVaR) of his loan portfo

We propose the Causal Sphere Hypergraph Transformer (CSHT), a novel architecture for interpretable financial time-series forecasting that unifies \emph{“Granger-causal hypergraph structure”}, \emph{“Riemannian geometry”}, and \emph{“causally masked Transformer attention”}. CSHT models the directiona

Robust asset allocation is a key challenge in quantitative finance, where deep-learning forecasters often fail due to objective mismatch and error amplification. We introduce the Signature-Informed Transformer (SIT), a novel framework that learns end-to-end allocation policies by directly optimizing

We present a deep learning framework for pricing options based on market-implied volatility surfaces. Using end-of-day S&P 500 index options quotes from 2018-2023, we construct arbitrage-free volatility surfaces and generate training data for American puts and arithmetic Asian options using QuantLib

We propose a new pseudo-Siamese Network for Asset Pricing (SNAP) model, based on deep learning approaches, for conditional asset pricing. Our model allows for the deep alpha, deep beta and deep factor risk premia conditional on high dimensional observable information of financial characteristics and

Trade-based manipulation (TBM) undermines the fairness and stability of financial markets drastically. Spoofing, one of the most covert and deceptive TBM strategies, exhibits complex anomaly patterns across multilevel prices, while often being simplified as a single-level manipulation. These pattern

Modeling limit order books (LOBs) dynamics is a fundamental problem in market microstructure research. In particular, generating high-dimensional volume snapshots with strong temporal and liquidity-dependent patterns remains a challenging task, despite recent work exploring the application of Genera

In this research, we explore neural network-based methods for pricing multidimensional American put options under the BlackScholes and Heston model, extending up to five dimensions. We focus on two approaches: the Time Deep Gradient Flow (TDGF) method and the Deep Galerkin Method (DGM). We extend th

We propose a hybrid quantum-classical reinforcement learning framework for sector rotation in the Taiwan stock market. Our system employs Proximal Policy Optimization (PPO) as the backbone algorithm and integrates both classical architectures (LSTM, Transformer) and quantum-enhanced models (QNN, QRW

Option pricing theory, such as the Black and Scholes (1973) model, provides an explicit solution to construct a strategy that perfectly hedges an option in a continuous-time setting. In practice, however, trading occurs in discrete time and often involves transaction costs, making the direct applica

Many prediction problems across science and engineering, especially in finance and economics, involve large cross-sections of individual time series, where each unit (e.g., a loan, stock, or customer) is driven by unit-level features and latent cross-sectional dynamics. While sequence models have ad

In the pursuit of modelling a loan’s probability of default (PD) over its lifetime, repeat default events are often ignored when using Cox Proportional Hazard (PH) models. Excluding such events may produce biased and inaccurate PD-estimates, which can compromise financial buffers against future loss

Algorithmic trading relies on extracting meaningful signals from diverse financial data sources, including candlestick charts, order statistics on put and canceled orders, traded volume data, limit order books, and news flow. While deep learning has demonstrated remarkable success in processing unst

This research proposes a cutting-edge ensemble deep learning framework for stock price prediction by combining three advanced neural network architectures: The particular areas of interest for the research include but are not limited to: Variational Autoencoder (VAE), Transformer, and Long Short-Ter

In the field of financial derivatives trading, managing volatility risk is crucial for protecting investment portfolios from market changes. Traditional Vega hedging strategies, which often rely on basic and rule-based models, are hard to adapt well to rapidly changing market conditions. We introduc

In this paper, we propose an event-driven Limit Order Book (LOB) model that captures twelve of the most observed LOB events in exchange-based financial markets. To model these events, we propose using the state-of-the-art Neural Hawkes process, a more robust alternative to traditional Hawkes process

We propose a structural default model for portfolio-wide valuation adjustments (xVAs) and represent it as a system of coupled backward stochastic differential equations. The framework is divided into four layers, each capturing a key component: (i) clean values, (ii) initial margin and Collateral Va

Financial markets are complex systems characterized by high statistical noise, nonlinearity, volatility, and constant evolution. Thus, modeling them is extremely hard. Here, we address the task of generating realistic and responsive Limit Order Book (LOB) market simulations, which are fundamental fo

This paper applies deep reinforcement learning (DRL) to optimize liquidity provisioning in Uniswap v3, a decentralized finance (DeFi) protocol implementing an automated market maker (AMM) model with concentrated liquidity. We model the liquidity provision task as a Markov Decision Process (MDP) and

Simulation methods have always been instrumental in finance, and data-driven methods with minimal model specification, commonly referred to as generative models, have attracted increasing attention, especially after the success of deep learning in a broad range of fields. However, the adoption of th

Artificial intelligence is transforming financial investment decision-making frameworks, with deep reinforcement learning demonstrating substantial potential in robo-advisory applications. This paper addresses the limitations of traditional portfolio optimization methods in dynamic asset weight adju

We propose a reinforcement learning (RL) framework that leverages multimodal data including historical stock prices, sentiment analysis, and topic embeddings from news articles, to optimize trading strategies for SP100 stocks. Building upon recent advancements in financial reinforcement learning, we

The primary objective of this research is to build a Momentum Transformer that is expected to outperform benchmark time-series momentum and mean-reversion trading strategies. We extend the ideas introduced in the paper Trading with the Momentum Transformer: An Intelligent and Interpretable Architect

Temporal Graph Learning (TGL) is crucial for capturing the evolving nature of stock markets. Traditional methods often ignore the interplay between dynamic temporal changes and static relational structures between stocks. To address this issue, we propose the Dynamic Graph Representation with Contra

Data-driven decision-making processes increasingly utilize end-to-end learnable deep neural networks to render final decisions. Sometimes, the output of the forward functions in certain layers is determined by the solutions to mathematical optimization problems, leading to the emergence of different

Limit order book (LOB) is a dynamic, event-driven system that records real-time market demand and supply for a financial asset in a stream flow. Event stream prediction in LOB refers to forecasting both the timing and the type of events. The challenge lies in modeling the time-event distribution to

The Lightning Network (LN) has emerged as a second-layer solution to Bitcoin’s scalability challenges. The rise of Payment Channel Networks (PCNs) and their specific mechanisms incentivize individuals to join the network for profit-making opportunities. According to the latest statistics, the total

We introduce CatNet, an algorithm that effectively controls False Discovery Rate (FDR) and selects significant features in LSTM. CatNet employs the derivative of SHAP values to quantify the feature importance, and constructs a vector-formed mirror statistic for FDR control with the Gaussian Mirror a

This paper studies pricing of weather-derivative (WD) contracts on temperature and precipitation. For temperature-linked strangles in Toronto and Chicago, we benchmark a harmonic-regression/ARMA model against a feed-forward neural network (NN), finding that the NN reduces out-of-sample mean-squared

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 networks, ensuring a causal transport from the real market time series to the fake generated time series. Specifically,

Calibrating the time-dependent Implied Volatility Surface (IVS) using sparse market data is an essential challenge in computational finance, particularly for real-time applications. This task requires not only fitting market data but also satisfying a specified partial differential equation (PDE) an

Hedging exotic options in presence of market frictions is an important risk management task. Deep hedging can solve such hedging problems by training neural network policies in realistic simulated markets. Training these neural networks may be delicate and suffer from slow convergence, particularly

The diffusion of financial news into market prices is a complex process, making it challenging to evaluate the connections between news events and market movements. This paper introduces FININ (Financial Interconnected News Influence Network), a novel market prediction model that captures not only t

Forecasting stock market prices remains a complex challenge for traders, analysts, and engineers due to the multitude of factors that influence price movements. Recent advancements in artificial intelligence (AI) and natural language processing (NLP) have significantly enhanced stock price predictio

Volatility, which indicates the dispersion of returns, is a crucial measure of risk and is hence used extensively for pricing and discriminating between different financial investments. As a result, accurate volatility prediction receives extensive attention. The Generalized Autoregressive Condition

Stock markets play an important role in the global economy, where accurate stock price predictions can lead to significant financial returns. While existing transformer-based models have outperformed long short-term memory networks and convolutional neural networks in financial time series predictio

We present a new deep primal-dual backward stochastic differential equation framework based on stopping time iteration to solve optimal stopping problems. A novel loss function is proposed to learn the conditional expectation, which consists of subnetwork parameterization of a continuation value and

We study the loan contracts offered by decentralised loan protocols (DLPs) through the lens of financial derivatives. DLPs, which effectively are clearinghouses, facilitate transactions between option buyers (i.e. borrowers) and option sellers (i.e. lenders). The loan-to-value at which the contract

Generative modeling has transformed many fields, such as language and visual modeling, while its application in financial markets remains under-explored. As the minimal unit within a financial market is an order, order-flow modeling represents a fundamental generative financial task. However, curren

Financial networks can be constructed using statistical dependencies found within the price series of speculative assets. Across the various methods used to infer these networks, there is a general reliance on predictive modelling to capture cross-correlation effects. These methods usually model the

The innovative GNN-CL model proposed in this paper marks a breakthrough in the field of financial fraud detection by synergistically combining the advantages of graph neural networks (gnn), convolutional neural networks (cnn) and long short-term memory (LSTM) networks. This convergence enables multi

The application of deep learning techniques for predicting stock market prices is a prominent and widely researched topic in the field of data science. To effectively predict market trends, it is essential to utilize a diversified dataset. In this paper, we give a graph neural network based convolut

We demonstrate the use of Conditional Variational Encoder (CVAE) to improve the forecasts of daily stock volume time series in both short and long term forecasting tasks, with the use of advanced information of input variables such as rebalancing dates. CVAE generates non-linear time series as out-o

We devise a novel method for nowcasting implied volatility based on neural operators. Better known as implied volatility smoothing in the financial industry, nowcasting of implied volatility means constructing a smooth surface that is consistent with the prices presently observed on a given option m

Financial assets exhibit complex dependency structures, which are crucial for investors to create diversified portfolios to mitigate risk in volatile financial markets. To explore the financial asset dependencies dynamics, we propose a novel approach that models the dependencies of assets as an Asse

The accurate prediction of stock movements is crucial for investment strategies. Stock prices are subject to the influence of various forms of information, including financial indicators, sentiment analysis, news documents, and relational structures. Predominant analytical approaches, however, tend

In quantitative investment, constructing characteristic-sorted portfolios is a crucial strategy for asset allocation. Traditional methods transform raw stock data of varying frequencies into predictive characteristic factors for asset sorting, often requiring extensive manual design and misalignment

We propose a deep learning algorithm for high dimensional optimal stopping problems. Our method is inspired by the penalty method for solving free boundary PDEs. Within our approach, the penalized PDE is approximated using the Deep BSDE framework proposed by \cite{“weinan2017deep”}, which leads us t

In this study, we model the Indian stock market as heterogenous scale free network, which is then embedded in a two dimensional hyperbolic space through a machine learning based technique called as coalescent embedding. This allows us to apply the hyperbolic kmeans algorithm on the Poincare disc and

This paper explores the utilization of Temporal Graph Networks (TGN) for financial anomaly detection, a pressing need in the era of fintech and digitized financial transactions. We present a comprehensive framework that leverages TGN, capable of capturing dynamic changes in edges within financial ne

As a branch of time series forecasting, stock movement forecasting is one of the challenging problems for investors and researchers. Since Transformer was introduced to analyze financial data, many researchers have dedicated themselves to forecasting stock movement using Transformer or attention mec

Time-series with volatility clustering pose a unique challenge to uncertainty quantification (UQ) for returns forecasts. Methods for UQ such as Deep Evidential regression offer a simple way of quantifying return forecast uncertainty without the costs of a full Bayesian treatment. However, the Normal

Detecting anomalies is important for identifying inefficiencies, errors, or fraud in business processes. Traditional process mining approaches focus on analyzing ‘flattened’, sequential, event logs based on a single case notion. However, many real-world process executions exhibit a graph-like struct

Deep or reinforcement learning (RL) approaches have been adapted as reactive agents to quickly learn and respond with new investment strategies for portfolio management under the highly turbulent financial market environments in recent years. In many cases, due to the very complex correlations among

This paper aims to develop a supervised deep-learning scheme to compute call option prices for the Barndorff-Nielsen and Shephard model with a non-martingale asset price process having infinite active jumps. In our deep learning scheme, teaching data is generated through the Monte Carlo method devel

This work introduces a self and mutually exciting point process that embeds flexible residuals and intensity with discretely Markovian dynamics. By allowing the integration of diverse residual distributions, this model serves as an extension of the Hawkes process, facilitating intensity modeling. Th

We propose a novel approach to marked Hawkes kernel inference which we name the moment-based neural Hawkes estimation method. Hawkes processes are fully characterized by their first and second order statistics through a Fredholm integral equation of the second kind. Using recent advances in solving

The use of machine learning to generate synthetic data has grown in popularity with the proliferation of text-to-image models and especially large language models. The core methodology these models use is to learn the distribution of the underlying data, similar to the classical methods common in fi

We propose a time series forecasting method named Quantum Gramian Angular Field (QGAF). This approach merges the advantages of quantum computing technology with deep learning, aiming to enhance the precision of time series classification and forecasting. We successfully transformed stock return time

Identifying the structural dependence between the cryptocurrencies and predicting market trend are fundamental for effective portfolio management in cryptocurrency trading. In this paper, we present a unified Bayesian framework based on potential field theory and Gaussian Process to characterize the

We propose an ensemble method to improve the generalization performance of trading strategies trained by deep reinforcement learning algorithms in a highly stochastic environment of intraday cryptocurrency portfolio trading. We adopt a model selection method that evaluates on multiple validation per

The purpose of this research is to devise a tactic that can closely track the daily cumulative volume-weighted average price (VWAP) using reinforcement learning. Previous studies often choose a relatively short trading horizon to implement their models, making it difficult to accurately track the da

We consider the supervised learning problem of learning the price of an option or the implied volatility given appropriate input data (model parameters) and corresponding output data (option prices or implied volatilities). The majority of articles in this literature considers a (plain) feed forward

We propose two parametric approaches to evaluate swing contracts with firm constraints. Our objective is to define approximations for the optimal control, which represents the amounts of energy purchased throughout the contract. The first approach involves approximating the optimal control by means

In this paper, we introduce a model-based deep-learning approach to solve finite-horizon continuous-time stochastic control problems with jumps. We iteratively train two neural networks: one to represent the optimal policy and the other to approximate the value function. Leveraging a continuous-time

Financial time series forecasting is central to trading, portfolio optimization, and risk management, yet it remains challenging due to noisy, non-stationary, and heterogeneous data. Recent advances in time series foundation models (TSFMs), inspired by large language models, offer a new paradigm for

Derivatives, as a critical class of financial instruments, isolate and trade the price attributes of risk assets such as stocks, commodities, and indices, aiding risk management and enhancing market efficiency. However, traditional hedging models, constrained by assumptions such as continuous tradin

In this paper we demonstrate both theoretically as well as numerically that neural networks can detect model-free static arbitrage opportunities whenever the market admits some. Due to the use of neural networks, our method can be applied to financial markets with a high number of traded securities

We develop a spouse-protected tontine in which a first death changes the household state but generates no pool transfer. The same account remains attached to the household contract until extinction and funds a spouse-only continuation phase if the retiree dies first. We derive contract-level actuari

We present an end-to-end deep learning framework for systematic options trading that directly embeds hedging behavior through explicit control of portfolio-level risk exposures. While neural networks trained to optimize risk-adjusted performance have been shown to outperform traditional rules-based

Recursive differenced forecasting, the standard remedy for non-stationarity, predicts one-step changes and integrates them by cumulative summation. We show that this reconstruction is a discrete integrator with a pole on the unit circle, so the biased increment errors of a learned nonlinear model ar

Scaling laws in modern deep learning describe how held-out loss improves as model capacity, training data, and compute increase, often following power-law trends. We investigate whether analogous scaling regularities arise in actuarial ratemaking, where data are tabular, heterogeneous, and noisy, an

This paper introduces a physics-informed generative framework that resolves the fundamental conflict between the statistical flexibility of deep learning and the rigorous theoretical constraints of fixed-income modeling. We demonstrate that standard generative models and unconstrained statistical ex

This paper studies the problem of hedging and pricing a European call option under proportional transaction costs, from two complementary perspectives. We first derive the optimal hedging strategy under CARA utility, following the stochastic control framework of Davis et al. (1993), characterising t

Static regret to a single expert is often the wrong target for strictly online prediction under non-stationarity, where the best expert may switch repeatedly over time. We study Policy-Controlled Generalized Share (PCGS), a general strictly online framework in which the generalized-share recursion i

Anti-money laundering (AML) systems are important for protecting the global economy. However, conventional rule-based methods rely on domain knowledge, leading to suboptimal accuracy and a lack of scalability. Graph neural networks (GNNs) for digraphs (directed graphs) can be applied to transaction

Credit risk scoring must support high-stakes lending decisions where data distributions change over time, probability estimates must be reliable, and group-level fairness is required. While modern machine learning models improve default prediction accuracy, they often produce poorly calibrated score

This paper introduces MarketGAN, a factor-based generative framework for high-dimensional asset return generation under severe data scarcity. We embed an explicit asset-pricing factor structure as an economic inductive bias and generate returns as a single joint vector, thereby preserving cross-sect

This article proposes a calibration framework for complex option pricing models that jointly fits market option prices and the term structure of variance. Calibrated models under the conventional objective function, the sum of squared errors in Black-Scholes implied volatilities, can produce model-i

This paper investigates whether artificial intelligence can enhance stock clustering compared to traditional methods. We consider this in the context of the semi-strong Efficient Markets Hypothesis (EMH), which posits that prices fully reflect all public information and, accordingly, that clusters b

This study evaluates deep neural networks for forecasting probability distributions of financial returns. 1D convolutional neural networks (CNN) and Long Short-Term Memory (LSTM) architectures are used to forecast parameters of three probability distributions: Normal, Student’s t, and skewed Student

Thematic investing, which aims to construct portfolios aligned with structural trends, remains a challenging endeavor due to overlapping sector boundaries and evolving market dynamics. A promising direction is to build semantic representations of investment themes from textual data. However, despite

Cryptocurrency markets are characterized by extreme volatility, making accurate forecasts essential for effective risk management and informed trading strategies. Traditional deterministic (point) forecasting methods are inadequate for capturing the full spectrum of potential volatility outcomes, un

We introduce the concept of temporal hierarchy forecasting (THieF) in predicting day-ahead electricity prices and show that reconciling forecasts for hourly products, 2- to 12-hour blocks, and baseload contracts significantly (up to 13%) improves accuracy at all levels. These results remain consiste

The rise of decentralized finance (DeFi) has created a growing demand for accurate yield and performance forecasting to guide liquidity allocation strategies. In this study, we benchmark six models, XGBoost, Random Forest, LSTM, Transformer, quantum neural networks (QNN), and quantum support vector