Fork me on GitHub

Trending arXiv

Note: this version is tailored to @Smerity - though you can run your own! Trending arXiv may eventually be extended to multiple users ...


Autoregressive Convolutional Neural Networks for Asynchronous Time Series

Mikołaj Bińkowski, Gautier Marti, Philippe Donnat

We propose Significance-Offset Convolutional Neural Network, a deep convolutional network architecture for regression of multivariate asynchronous time series. The model is inspired by standard autoregressive (AR) models and gating mechanisms used in recurrent neural networks. It involves an AR-like weighting system, where the final predictor is obtained as a weighted sum of adjusted regressors, while the weights are data-dependent functions learnt through a convolutional network. The architecture was designed for applications on asynchronous time series and is evaluated on such datasets: a hedge fund proprietary dataset of over 2 million quotes for a credit derivative index, an artificially generated noisy autoregressive series and household electricity consumption dataset. The proposed architecture achieves promising results as compared to convolutional and recurrent neural networks.

Captured tweets and retweets: 1