Lin Ma

Xing Yan, Weizhong Zhang, Lin Ma et al.

We propose a parsimonious quantile regression framework to learn the dynamic tail behaviors of financial asset returns. Our model captures well both the time-varying characteristic and the asymmetrical heavy-tail property of financial time series. It combines the merits of a popular sequential neural network model, i.e., LSTM, with a novel parametric quantile function that we construct to represent the conditional distribution of asset returns. Our model also captures individually the serial dependences of higher moments, rather than just the volatility. Across a wide range of asset classes, the out-of-sample forecasts of conditional quantiles or VaR of our model outperform the GARCH family. Further, the proposed approach does not suffer from the issue of quantile crossing, nor does it expose to the ill-posedness comparing to the parametric probability density function approach.

Yongyi Tang, Lin Ma, Wei Liu et al.

Human motion prediction aims at generating future frames of human motion based on an observed sequence of skeletons. Recent methods employ the latest hidden states of a recurrent neural network (RNN) to encode the historical skeletons, which can only address short-term prediction. In this work, we propose a motion context modeling by summarizing the historical human motion with respect to the current prediction. A modified highway unit (MHU) is proposed for efficiently eliminating motionless joints and estimating next pose given the motion context. Furthermore, we enhance the motion dynamic by minimizing the gram matrix loss for long-term motion prediction. Experimental results show that the proposed model can promisingly forecast the human future movements, which yields superior performances over related state-of-the-art approaches. Moreover, specifying the motion context with the activity labels enables our model to perform human motion transfer.