Nino Antulov-Fantulin

h-index1
2papers
3citations

2 Papers

2.3STAT-MECHJan 12, 2023
Stretched and measured neural predictions of complex network dynamics

Vaiva Vasiliauskaite, Nino Antulov-Fantulin

Differential equations are a ubiquitous tool to study dynamics, ranging from physical systems to complex systems, where a large number of agents interact through a graph with non-trivial topological features. Data-driven approximations of differential equations present a promising alternative to traditional methods for uncovering a model of dynamical systems, especially in complex systems that lack explicit first principles. A recently employed machine learning tool for studying dynamics is neural networks, which can be used for data-driven solution finding or discovery of differential equations. Specifically for the latter task, however, deploying deep learning models in unfamiliar settings - such as predicting dynamics in unobserved state space regions or on novel graphs - can lead to spurious results. Focusing on complex systems whose dynamics are described with a system of first-order differential equations coupled through a graph, we show that extending the model's generalizability beyond traditional statistical learning theory limits is feasible. However, achieving this advanced level of generalization requires neural network models to conform to fundamental assumptions about the dynamical model. Additionally, we propose a statistical significance test to assess prediction quality during inference, enabling the identification of a neural network's confidence level in its predictions.

1.2STOct 22, 2020Code
On the impact of publicly available news and information transfer to financial markets

Metod Jazbec, Barna Pásztor, Felix Faltings et al.

We quantify the propagation and absorption of large-scale publicly available news articles from the World Wide Web to financial markets. To extract publicly available information, we use the news archives from the Common Crawl, a nonprofit organization that crawls a large part of the web. We develop a processing pipeline to identify news articles associated with the constituent companies in the S\&P 500 index, an equity market index that measures the stock performance of U.S. companies. Using machine learning techniques, we extract sentiment scores from the Common Crawl News data and employ tools from information theory to quantify the information transfer from public news articles to the U.S. stock market. Furthermore, we analyze and quantify the economic significance of the news-based information with a simple sentiment-based portfolio trading strategy. Our findings provides support for that information in publicly available news on the World Wide Web has a statistically and economically significant impact on events in financial markets.