Cross-Asset Graph Conformal Prediction (CA-GCP), a framework that pools volatility-normalized nonconformity scores across the correlation-graph neighborhood of each target asset using a proximity-and recency-weighted quantile, grounded in the theory of weighted conformal prediction, is proposed.
The proposed Dynamic Regime-Aware Conformal Prediction (DRACP), which combines density-ratio, localized kernel and probabilistic regime-aware weighting with a self-tuning online significance controller in a unified weighted conformal calibration framework, provides the most reliable calibration.
Quantile Dynamically-Tuned Adaptive Conformal Inference (QDtACI) is proposed, a model-agnostic conformal calibration layer that constructs finite-sample intervals around any VaR forecast, using only the return series and the forecast itself, whose reliability tracks the quality of the underlying forecast.
Milo Ivancevic, K. Nguyen, Zhi-Yuan Luo· Risk Management· 0 citations
This work builds a score-calibrated robustness framework that converts any fixed point predictor into a decision-relevant uncertainty representation through distribution-free conformal calibration, and shows that conformal scores endow fixed black-box predictors with an interpretable uncertainty scale for downstream de...
This study audits whether regime weighting can sharpen conformal forecast intervals without using target-period information or omitting the required finite-sample correction. Conformal prediction builds such intervals from past forecast errors. A natural refinement gives more weight to errors from days whose volatility...
Short-term load forecasting (STLF) plays a critical role in modern smart grid operation by enabling reliable dispatch, reserve allocation, and demand-side management. Although Transformer-based architectures have demonstrated strong point forecasting performance, most existing approaches remain deterministic and do not...
SPACE is proposed, a conformal wrapper for sample-generating multivariate forecasters that consistently brings realized joint and rolling coverage closer to the nominal target, achieving superior coverage-efficiency tradeoffs relative to competing wrappers.
Baishi Li, Kelvin J. L. Koa, Ke-Wei Huang· 1 citation
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