Evolution-Bootstrapped Simulation: Artificial or Human Intelligence: Which Came First?
Humans have created artificial intelligence (AI), not the other way around. This statement is deceptively obvious. In this note, we decided to challenge this statement as a small, lighthearted...
Applying Deep Learning to Calibrate Stochastic Volatility Models
Stochastic volatility models, where the volatility is a stochastic process, can capture most of the essential stylized facts of implied volatility surfaces and give more realistic dynamics of the...
Exploring the Advantages of Transformers for High-Frequency Trading
This paper explores the novel deep learning Transformers architectures for high-frequency Bitcoin-USDT log-return forecasting and compares them to the traditional Long Short-Term Memory models. A...
A compendium of data sources for data science, machine learning, and artificial intelligence
Recent advances in data science, machine learning, and artificial intelligence, such as the emergence of large language models, are leading to an increasing demand for data that can be processed...
Benchmarking Specialized Databases for High-frequency Data
This paper presents a benchmarking suite designed for the evaluation and comparison of time series databases for high-frequency data, with a focus on financial applications. The proposed suite...
An in silico drug repurposing pipeline to identify drugs with the potential to inhibit SARS-CoV-2 replication
Drug repurposing provides an opportunity to redeploy drugs, which ideally are already approved for use in humans, for the treatment of other diseases. For example, the repurposing of dexamethasone...
A domain-theoretic approach to Brownian motion and general continuous stochastic processes
Transformers versus LSTMs for electronic trading
With the rapid development of artificial intelligence, long short term memory (LSTM), one kind of recurrent neural network (RNN), has been widely applied in time series prediction. Like RNN,...
C++ Design Patterns for Low-latency Applications Including High-frequency Trading
This work aims to bridge the existing knowledge gap in the optimisation of latency-critical code, specifically focusing on high-frequency trading (HFT) systems. The research culminates in three...
From Deep Filtering to Deep Econometrics
Calculating true volatility is an essential task for option pricing and risk management. However, it is made difficult by market microstructure noise. Particle filtering has been proposed to solve...