Reinforcement Learning (RL) applied to financial problems has been the subject of a lively area of research. The use of RL for optimal trading strategies that exploit latent information in the market is, to the best of our knowledge, not widely tackled. In this paper we study an optimal trading problem, where a trading signal follows an Ornstein-Uhlenbeck process with regime-switching dynamics. We employ a blend of RL and Recurrent Neural Networks (RNN) in order to make the most at extracting underlying information from the trading signal with latent parameters. The latent parameters driving mean reversion, speed, and volatility are filtered from observations of the signal, and trading strategies are derived via RL. To address this problem, we propose three Deep Deterministic Policy Gradient (DDPG)-based algorithms that integrate Gated Recurrent Unit (GRU) networks to capture temporal dependencies in the signal. The first, a one -step approach (hid-DDPG), directly encodes hidden states from the GRU into the RL trader. The second and third are two-step methods: one (prob-DDPG) makes use of posterior regime probability estimates, while the other (reg-DDPG) relies on forecasts of the next signal value. Through extensive simulations with increasingly complex Markovian regime dynamics for the trading signal's parameters, as well as an empirical application to equity pair trading, we find that prob-DDPG achieves superior cumulative rewards and exhibits more interpretable strategies. By contrast, reg-DDPG provides limited benefits, while hid-DDPG offers intermediate performance with less interpretable strategies. Our results show that the quality and structure of the information supplied to the agent are crucial: embedding probabilistic insights into latent regimes substantially improves both profitability and robustness of reinforcement learning-based trading strategies.

With the global economic integration and the high interconnection of financial markets, financial institutions are facing unprecedented challenges, especially liquidity risk. This paper proposes a liquidity coverage ratio (LCR) prediction model based on the gated recurrent unit (GRU) network to help financial institutions manage their liquidity risk more effectively. By utilizing the GRU network in deep learning technology, the model can automatically learn complex patterns from historical data and accurately predict LCR for a period of time in the future. The experimental results show that compared with traditional methods, the GRU model proposed in this study shows significant advantages in mean absolute error (MAE), proving its higher accuracy and robustness. This not only provides financial institutions with a more reliable liquidity risk management tool but also provides support for regulators to formulate more scientific and reasonable policies, which helps to improve the stability of the entire financial system.

Ashland City, Tennessee, located within the Lower Cumberland Sycamore watershed, is highly susceptible to flooding due to increased upstream water levels. This study aimed to develop a robust flood prediction model for the city, utilizing water level data at 30-minute intervals from ten USGS gauge stations within the watershed. A Gated Recurrent Unit (GRU) network, known for its ability to effectively process sequential time-series data, was used. The model was trained, validated, and tested using a year-long dataset (January 2021-January 2022), and its performance was evaluated using statistical metrics including Nash-Sutcliffe Efficiency (NSE), Root Mean Squared Error (RMSE), Percent Bias (PBIAS), Mean Absolute Error (MAE), and Coefficient of Determination (R^2). The results demonstrated a high level of accuracy, with the model explaining 98.2% of the variance in the data. Despite minor discrepancies between predicted and observed values, the GRU model proved to be an effective tool for flood prediction in Ashland City, with potential applications for enhancing disaster preparedness and response efforts in Ashland City.

This brief addresses the design of a Nonlinear Model Predictive Control (NMPC) strategy for exponentially incremental Input-to-State Stable (ISS) systems. In particular, a novel formulation is devised, which does not necessitate the onerous computation of terminal ingredients, but rather relies on the explicit definition of a minimum prediction horizon ensuring closed-loop stability. The designed methodology is particularly suited for the control of systems learned by Recurrent Neural Networks (RNNs), which are known for their enhanced modeling capabilities and for which the incremental ISS properties can be studied thanks to simple algebraic conditions. The approach is applied to Gated Recurrent Unit (GRU) networks, providing also a method for the design of a tailored state observer with convergence guarantees. The resulting control architecture is tested on a benchmark system, demonstrating its good control performances and efficient applicability.

This paper presents a method for time series forecasting with deep learning and its assessment on two datasets. The method starts with data preparation, followed by model training and evaluation. The final step is a visual inspection. Experimental work demonstrates that a single time series can be used to train deep learning networks if time series in a dataset contain patterns that repeat even with a certain variation. However, for less structured time series such as stock market closing prices, the networks perform just like a baseline that repeats the last observed value. The implementation of the method as well as the experiments are open-source.

In this paper, we report experimental results from augmenting Recurrent Neural Networks (RNN) with multi-step-ahead strategies for traffic speed prediction. For multi-step-ahead time series forecasting, researchers have applied MIMO, recursive, and direct strategies to machine learning methods in other domains. We applied the recursive and direct strategies to the GRU networks for predicting multi-step-ahead traffic speed and compared the prediction errors with the GRU network without the strategies (i.e. Based on the results from the experiments, we found that the direct strategy and the MIMO strategy produce models with smaller error metrics as compared to the recursive strategy. The direct strategy is computationally very expensive, thus MIMO strategy i.e. the GRU architecture without any strategy, is our preferred recommendation.

Multiple Object Tracking (MOT) has been a useful yet challenging task in many real-world applications such as video surveillance, intelligent retail, and smart city. The challenge is how to model long-term temporal dependencies in an efficient manner. Some recent works employ Recurrent Neural Networks (RNN) to obtain good performance, which, however, requires a large amount of training data. In this paper, we proposed a novel tracking method that integrates the auto-tuning Kalman method for prediction and the Gated Recurrent Unit (GRU) and achieves a near-optimum with a small amount of training data. Experimental results show that our new algorithm can achieve competitive performance on the challenging MOT benchmark, and faster and more robust than the state-of-the-art RNN-based online MOT algorithms.

In the present work, we explore the capability of artificial neural networks (ANN) to predict the closure terms for large eddy simulations (LES) solely from coarse-scale data. To this end, we derive a consistent framework for LES closure models, with special emphasis laid upon the incorporation of implicit discretization-based filters and numerical approximation errors. We investigate implicit filter types, which are inspired by the solution representation of discontinuous Galerkin and finite volume schemes and mimic the behaviour of the discretization operator, and a global Fourier cutoff filter as a representative of a typical explicit LES filter. Within the perfect LES framework, we compute the exact closure terms for the different LES filter functions from direct numerical simulation results of decaying homogeneous isotropic turbulence. Multiple ANN with a multilayer perceptron (MLP) or a gated recurrent unit (GRU) architecture are trained to predict the computed closure terms solely from coarse-scale input data. For the given application, the GRU architecture clearly outperforms the MLP networks in terms of accuracy, whilst reaching up to 99.9% cross-correlation between the networks' predictions and the exact closure terms for all considered filter functions. The GRU networks are also shown to generalize well across different LES filters and resolutions. The present study can thus be seen as a starting point for the investigation of data-based modeling approaches for LES, which not only include the physical closure terms, but account for the discretization effects in implicitly filtered LES as well.

Gated recurrent units (GRUs) are specialized memory elements for building recurrent neural networks. Despite their incredible success in natural language, speech, and video processing, little is understood about the specific dynamics representable in a GRU network, along with the constraints these dynamics impose when generalizing a specific task. As a result, it is difficult to know a priori how successful a GRU network will perform on a given task. Using a continuous time analysis, we gain intuition on the inner workings of GRU networks. We restrict our presentation to low dimensions to allow for a comprehensive visualization. We found a surprisingly rich repertoire of dynamical features that includes stable limit cycles (nonlinear oscillations), multi-stable dynamics with various topologies, and homoclinic orbits. We contextualize the usefulness of the different kinds of dynamics and experimentally test their existence.