Discussion on deep autoregressive models and transformer architectures for time-series applications.
talk-data.com
E
Speaker
Ernest (Ernie) P. Chan
12
talks
Dr. Ernest 'Ernie' P. Chan is the founder of Predictnow.ai and QTS Capital Management, LLC. Since 1994, he has specialized in developing statistical models and machine learning algorithms to extract patterns from large datasets, with experience at IBM T.J. Watson Research Center, Morgan Stanley, and Credit Suisse. He writes the Quantitative Trading blog and conducts workshops on quantitative investment strategies and machine learning in London.
Bio from: A Weekend with Ernie Chan in London: Trading with GenAI
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Talks & appearances
Showing 12 of 13 activities
Overview of VAEs and their application to time-series data.
Overview of discriminative AI methods including CART decision trees and neural networks for trading data.
Hands-on exercise to build, fine-tune, and apply the Lag-Llama transformer to time-series data.
Hands-on exercise building a lightweight transformer for time-series prediction.
Hands-on exercise building an RNN to predict SPX returns and evaluating performance metrics.
Hands-on feature engineering with TA-LIB and building a gradient-boosted tree to predict SPX returns.
Hands-on exercise applying Gaussian Mixture Models for regime detection in time series.
Hands-on exercise applying Hidden Markov Models for regime detection in time series.
Hands-on exercise applying TimeVAE to predict SPX returns.
Comparison of generative vs discriminative AI and semi-supervised learning concepts.
Using GenAI/LLMs to create and backtest trading strategies.