CUED Publications database

Gaussian process volatility model

Wu, Y and Lobato, JMH and Ghahramani, Z (2014) Gaussian process volatility model. Advances in Neural Information Processing Systems, 2. pp. 1044-1052. ISSN 1049-5258

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Abstract

The prediction of time-changing variances is an important task in the modeling of financial data. Standard econometric models are often limited as they assume rigid functional relationships for the evolution of the variance. Moreover, functional parameters are usually learned by maximum likelihood, which can lead to over-fitting. To address these problems we introduce GP-Vol, a novel non-parametric model for time-changing variances based on Gaussian Processes. This new model can capture highly flexible functional relationships for the variances. Furthermore, we introduce a new online algorithm for fast inference in GP-Vol. This method is much faster than current offline inference procedures and it avoids overfitting problems by following a fully Bayesian approach. Experiments with financial data show that GP-Vol performs significantly better than current standard alternatives.

Item Type: Article
Subjects: UNSPECIFIED
Divisions: Div F > Computational and Biological Learning
Depositing User: Cron Job
Date Deposited: 17 Jul 2017 19:45
Last Modified: 09 Nov 2017 01:29
DOI: