FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs.
Vedant ChoudharySebastian JaimungalMaxime BergeronPublished in: CoRR (2023)
Keyphrases
- principal components
- financial markets
- stock price
- stock market
- principal component analysis
- chinese stock market
- multivariate data
- stock returns
- evolutionary robotics
- dimensionality reduction
- financial crisis
- network architecture
- asset allocation
- functional connectivity
- neural network
- principal components analysis
- spectral data
- principal component regression
- asset management
- independent components
- financial time series
- independent component analysis
- lower bound
- garch model
- kernel space
- kernel principal component analysis
- exchange rate
- stock exchange
- short term
- foreign exchange
- non stationary
- feature set
- covariance matrix
- discriminant analysis
- upper bound
- feature vectors
- pattern recognition
- computer vision