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

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Authors: Association for Artificial Intelligence 2026, Haoran Kou, Linyi Qian, Chunqi Shi, Xianyi Wu, Ziwei Zhou, Qiuming Zhu
Cited by: 0

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 continuous-time 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.

Fields of Study & Subjects

Stochastic processes and financial applications Model Reduction and Neural Networks Stock Market Forecasting Methods

Publication details

Journal / source
Underline Science Inc.
Publication date
7 January 2026
Language
EN