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Physics-Informed Koopman Neural Estimation of the Heston Model from High-Frequency Observations

  • Qiuming Zhu
  • , Haoran Kou
  • , Linyi Qian*
  • , Chunqi Shi
  • , Xianyi Wu
  • , Ziwei Zhou
  • *Corresponding author for this work
  • East China Normal University
  • Ltd.
  • Shanghai University of Finance and Economics

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

We propose a physics-informed learning framework, called Koopman-PINN, to estimate the parameters of the Heston stochastic volatility model with high-frequency price data in financial markets. The method integrates a nonparametric volatility estimation (known as ART-filter in the literature), moment-based parameter initialization, and a neural Koopman operator constrained by the infinitesimal generator of the underlying stochastic differential equation. By incorporating a generator-based loss, the model bridges Koopman theory and neural modeling to handle partially observed coupled stochastic dynamics in a manner consistent with continuoustime evolution. Across diverse parameter combinations reflecting varying market conditions, Koopman-PINN consistently achieves accurate and robust five-parameter recovery, outperforming existing estimators under a minimal set of initialization assumptions.

Original languageEnglish
Title of host publicationProceedings of the AAAI Conference on Artificial Intelligence
EditorsSven Koenig, Chad Jenkins, Matthew E. Taylor
PublisherAssociation for the Advancement of Artificial Intelligence
Pages29142-29149
Number of pages8
Edition34
ISBN (Print)9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067, 9781577359067
DOIs
StatePublished - 2026
Event40th AAAI Conference on Artificial Intelligence, AAAI 2026 - Singapore, Singapore
Duration: 20 Jan 202627 Jan 2026

Publication series

NameProceedings of the AAAI Conference on Artificial Intelligence
Number34
Volume40
ISSN (Print)2159-5399
ISSN (Electronic)2374-3468

Conference

Conference40th AAAI Conference on Artificial Intelligence, AAAI 2026
Country/TerritorySingapore
CitySingapore
Period20/01/2627/01/26

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