There’s no difference in the actual model (or its architecture) - but we realized that the “trades” (this can be made more precise if you’d like) MQT would be a martingale against encompass a large class of volatility definitions, so we gave an example of a novel volatility measure (or a trade) that isn’t the classical definition and showed MQT works well against it (Theorem 8.1 and Eqn 14).
This is great; thank you! I will send an email in the coming month. Also, I suppose a quick clarification, but what’s the relation between: MQTransformer: Multi-Horizon Forecasts with Context Dependent and Feedback-Aware Attention and MQTransformer: Multi-Horizon Forecasts with Context Dependent Attention and Optimal Bregman Volatility
Looking forward to it!
There’s no difference in the actual model (or its architecture) - but we realized that the “trades” (this can be made more precise if you’d like) MQT would be a martingale against encompass a large class of volatility definitions, so we gave an example of a novel volatility measure (or a trade) that isn’t the classical definition and showed MQT works well against it (Theorem 8.1 and Eqn 14).