Tail-Aware Stablecoin Probabilisctic Forecasting (pdf)
Tail-Aware Stablecoin Probabilistic Forecasting
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Tail-Aware Stablecoin Probabilistic Forecasting
This courselet introduces a custom Neural Network model providing calibrated probabilistic forecasts of stablecoin marginal prices in the AMM.
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- 0 Rating
- 0 Reviews
- 1 Students Enrolled
Courselet Content
1 components
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29.98 M |
Requirements
- Some advanced ML concepts, such as the transformer architecture.
General Overview
Description
This courselet builds on the previous onchain stablecoin feature set.
It introduces a transformer-based model for probabilistic forecasting of the marginal stablecoin prices on the AMM.
Using sparse variate cross-attention to capture liquidity and micro-structure conditions and heavy tailed parametrized distributional output, the model allows tail risk monitoring complementary to the early warning signal from the previous courselet.
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