Robert Taylor

Robert Taylor

This paper presents the experimental process and results of SVM, Gradient Boosting, and an Attention-GRU Hybrid model in predicting the Implied Volatility of rolled-over five-year spread contracts of credit default swaps (CDS) on European corporate debt during the quarter following mid-May '24, as represented by the iTraxx/Cboe Europe Main 1-Month Volatility Index (BP Volatility). The analysis employs a feature matrix inspired by Merton's determinants of default probability. Our comparative assessment aims to identify strengths in SOTA and classical machine learning methods for financial risk prediction

Richard Lau, Anthony Tylan-Tyler, Lihan Yao et al.

This paper describes a temporal-spatial model for video processing with special applications to processing event camera videos. We propose to study a conjecture motivated by our previous study of video processing with delay loop reservoir (DLR) neural network, which we call Temporal-Spatial Conjecture (TSC). The TSC postulates that there is significant information content carried in the temporal representation of a video signal and that machine learning algorithms would benefit from separate optimization of the spatial and temporal components for intelligent processing. To verify or refute the TSC, we propose a Visual Markov Model (VMM) which decompose the video into spatial and temporal components and estimate the mutual information (MI) of these components. Since computation of video mutual information is complex and time consuming, we use a Mutual Information Neural Network to estimate the bounds of the mutual information. Our result shows that the temporal component carries significant MI compared to that of the spatial component. This finding has often been overlooked in neural network literature. In this paper, we will exploit this new finding to guide our design of a delay-loop reservoir neural network for event camera classification, which results in a 18% improvement on classification accuracy.