Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « Causal convolution, temporal convolutional network » ?

Aussi appelé : causal convolution · temporal convolutional network

Definition 8.3 Machine Learning for Markets · Chapitre 8 — Sequence Models on Order Books

A causal convolution uses only the current and earlier positions: ut=∑j=0k−1Bjzt−jru_t = \sum_{j=0}^{k-1}B_jz_{t - jr}, with dilation rr. A temporal convolutional network (TCN) stacks causal convolutions with dilations 1,2,4,…1, 2, 4,\dots, so that the receptive field grows exponentially with depth, usually with residual connections (Bai, Kolter and Koltun, 2018).

Lire dans le chapitre →