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Asahi Ushio

Publications and source records attributed to Asahi Ushio.

20 records · Page 2Linked to original sources

Latent Space Cartography: Generalised Metric-Inspired Measures and Measure-Based Transformations for Generative Models

Deep generative models are universal tools for learning data distributions on high dimensional data spaces via a mapping to lower dimensional latent spaces. We provide a study of latent space geometries and extend and build upon previous results on Riemannian metrics. We show how a class of heuristic measures gives more flexibility in finding meaningful, problem-specific distances, and how it can be applied to diverse generator types such as autoregressive generators commonly used in e.g. language and other sequence modeling. We further demonstrate how a diffusion-inspired transformation previously studied in cartography can be used to smooth out latent spaces, stretching them according to a chosen measure. In addition to providing more meaningful distances directly in latent space, this also provides a unique tool for novel kinds of data visualizations. We believe that the proposed methods can be a valuable tool for studying the structure of latent spaces and learned data distributions of generative models.

cs.LG↗

Volatility Forecasts Using Nonlinear Leverage Effects

The leverage effect-- the correlation between an asset's return and its volatility-- has played a key role in forecasting and understanding volatility and risk. While it is a long standing consensus that leverage effects exist and improve forecasts, empirical evidence paradoxically do not show that most individual stocks exhibit this phenomena, mischaracterizing risk and therefore leading to poor predictive performance. We examine this paradox, with the goal to improve density forecasts, by relaxing the assumption of linearity in the leverage effect. Nonlinear generalizations of the leverage effect are proposed within the Bayesian stochastic volatility framework in order to capture flexible leverage structures, where small fluctuations in prices have a different effect from large shocks. Efficient Bayesian sequential computation is developed and implemented to estimate this effect in a practical, on-line manner. Examining 615 stocks that comprise the S\&P500 and Nikkei 225, we find that relaxing the linear assumption to our proposed nonlinear leverage effect function improves predictive performances for 89\% of all stocks compared to the conventional model assumption.

q-fin.ST↗