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Tomoko Matsui

2 accepted papers

2022

C*-algebra Net: A New Approach Generalizing Neural Network Parameters to C*-algebra

ICML 2022spotlight

We propose a new framework that generalizes the parameters of neural network models to $C^*$-algebra-valued ones. $C^*$-algebra is a generalization of the space of complex numbers. A typical example is the space of continuous functions on a compact space. This generalization enables us to combine mu…

Cited by 9SourcePDFScholar
2017

Forecasting covariance for optimal carry trade portfolio allocations

ICASSP 2017accepted

Modelling and forecasting of asset volatility and covariance is of prime importance in the construction of portfolios. In this paper, we present a generalised multi-factor model that incorporates heteroskedasticity and dependence in the idiosyncratic error terms. We apply this model to forecasting t…

Cited by 0SourceScholar