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Quantitative Finance · Begrippenlijst

Wat is Causal convolution, temporal convolutional network?

Ook bekend als: causal convolution · temporal convolutional network

Definition 8.3 Machine Learning for Markets · Hoofdstuk 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).

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