TY - GEN
T1 - Physics-Informed Koopman Neural Estimation of the Heston Model from High-Frequency Observations
AU - Zhu, Qiuming
AU - Kou, Haoran
AU - Qian, Linyi
AU - Shi, Chunqi
AU - Wu, Xianyi
AU - Zhou, Ziwei
N1 - Publisher Copyright:
© 2026, Association for the Advancement of Artificial Intelligence (www.aaai.org). All rights reserved.
PY - 2026
Y1 - 2026
N2 - 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.
AB - 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.
UR - https://www.scopus.com/pages/publications/105034601398
U2 - 10.1609/aaai.v40i34.40152
DO - 10.1609/aaai.v40i34.40152
M3 - 会议稿件
AN - SCOPUS:105034601398
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
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SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
SN - 9781577359067
T3 - Proceedings of the AAAI Conference on Artificial Intelligence
SP - 29142
EP - 29149
BT - Proceedings of the AAAI Conference on Artificial Intelligence
A2 - Koenig, Sven
A2 - Jenkins, Chad
A2 - Taylor, Matthew E.
PB - Association for the Advancement of Artificial Intelligence
T2 - 40th AAAI Conference on Artificial Intelligence, AAAI 2026
Y2 - 20 January 2026 through 27 January 2026
ER -