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April 28, 2026
Scientists Develop Algorithm for Accurate Financial Time Series Forecasting
Researchers at the HSE Faculty of Computer Science benchmarked more than 200,000 model configurations for predicting financial asset prices and realised volatility, showing that performance can be improved by filtering out noise at specific frequencies in advance. This technique increased accuracy in 65% of cases. The authors also developed their own algorithm, which achieves accuracy comparable to that of the best models while requiring less computational power. The study has been published in Applied Soft Computing.
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Machine Learning on data with sPlot background subtraction

Journal of Instrumentation. 2019. Vol. 14. No. 08. P. 1–8.
M. Borisyak, N. Kazeev

Data analysis in high energy physics often deals with data samples consisting of a mixture of signal and background events. The sPlot technique is a common method to subtract the contribution of the background by assigning weights to events. Part of the weights are by design negative. Negative weights lead to the divergence of some machine learning algorithms training due to absence of the lower bound in the loss function. In this paper we propose a mathematically rigorous way to train machine learning algorithms on data samples with background described by sPlot to obtain signal probabilities conditioned on observables, without encountering negative event weight at all. This allows usage of any out-of-the-box machine learning methods on such data.

Research target: Physics Computer Science
Priority areas: IT and mathematics
Language: English
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DOI
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Keywords: machine learningфизика высоких энергийExperimental High Energy Physics and Elementary Particles PhysicsМашинное обучение и анализ данных
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