博客

How to evaluate a predictive distribution honestly — CRPS as a proper scoring rule, the PIT histogram as a calibration diagnostic, and DeepAR sampling in GluonTS.

Putting the Heston, free-boundary, and jump-diffusion pricing PDEs into a neural network loss — the log-price residual, the mixed-partial autograd trick, and what still needs measuring.

How PCMCI's two-stage MCI test recovers directed causal links between crypto assets where correlation and bivariate Granger cannot — the construction, the tigramite pipeline, and the real-data study it still needs.

Turning raw book updates into a signed flow quantity: the CKS event decomposition, multi-level OFI with PCA reduction, and Lee-Ready trade classification — plus an honest accounting of what the headline R-squared actually measures.

Neural ODEs, Neural SDEs and continuous normalizing flows for irregularly-sampled market data — and the one ablation that decides whether continuous dynamics are worth their solver cost.

Does jointly predicting return, volume, and volatility actually help? Measuring loss-balancing schemes and diagnosing negative transfer through gradient cosine similarity — with a classical baseline and purged walk-forward folds.

Magnitude and structured pruning, the Lottery Ticket Hypothesis, movement pruning, distillation and 2:4 sparsity — the methods behind shrinking a trading model, and what still has to be measured before any of it ships.