Emmanouil Antonios Platanios
Carnegie Mellon University
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Publication
Featured researches published by Emmanouil Antonios Platanios.
IEEE Transactions on Pattern Analysis and Machine Intelligence | 2014
Emmanouil Antonios Platanios; Sotirios P. Chatzis
Generalized autoregressive conditional heteroscedasticity (GARCH) models have long been considered as one of the most successful families of approaches for volatility modeling in financial return series. In this paper, we propose an alternative approach based on methodologies widely used in the field of statistical machine learning. Specifically, we propose a novel nonparametric Bayesian mixture of Gaussian process regression models, each component of which models the noise variance process that contaminates the observed data as a separate latent Gaussian process driven by the observed data. This way, we essentially obtain a Gaussian process-mixture conditional heteroscedasticity (GPMCH) model for volatility modeling in financial return series. We impose a nonparametric prior with power-law nature over the distribution of the model mixture components, namely the Pitman-Yor process prior, to allow for better capturing modeled data distributions with heavy tails and skewness. Finally, we provide a copula-based approach for obtaining a predictive posterior for the covariances over the asset returns modeled by means of a postulated GPMCH model. We evaluate the efficacy of our approach in a number of benchmark scenarios, and compare its performance to state-of-the-art methodologies.
national conference on artificial intelligence | 2015
Tom M. Mitchell; William W. Cohen; E. Hruschka; Partha Pratim Talukdar; Justin Betteridge; Andrew Carlson; Bhavana Dalvi; Matt Gardner; Bryan Kisiel; Jayant Krishnamurthy; Ni Lao; Kathryn Mazaitis; T. Mohamed; Ndapandula Nakashole; Emmanouil Antonios Platanios; Alan Ritter; Mehdi Samadi; Burr Settles; Richard C. Wang; Derry Tanti Wijaya; Abhinav Gupta; Xi Chen; A. Saparov; M. Greaves; J. Welling
uncertainty in artificial intelligence | 2014
Emmanouil Antonios Platanios; Avrim Blum; Tom M. Mitchell
international conference on machine learning | 2016
Emmanouil Antonios Platanios; Avinava Dubey; Tom M. Mitchell
neural information processing systems | 2017
Emmanouil Antonios Platanios; Hoifung Poon; Tom M. Mitchell; Eric Horvitz
Theory and Applications of Categories | 2015
Bryan Kisiel; Bill McDowell; Matt Gardner; Ndapandula Nakashole; Emmanouil Antonios Platanios; Abulhair Saparov; Shashank Srivastava; Derry Tanti Wijaya; Tom M. Mitchell
arXiv: Learning | 2012
Emmanouil Antonios Platanios; Sotirios P. Chatzis
Archive | 2012
Emmanouil Antonios Platanios; Sotirios P. Chatzis
empirical methods in natural language processing | 2018
Emmanouil Antonios Platanios; Mrinmaya Sachan; Graham Neubig; Tom M. Mitchell
arXiv: Learning | 2018
Emmanouil Antonios Platanios