Related papers: Trading USDCHF filtered by Gold dynamics via HMM c…
Land use land cover changes (LULCC) are generally modeled using multi-scale spatio-temporal variables. Recently, Markov Chain (MC) has been used to model LULCC. However, the model is derived from the proportion of LULCC observed over a…
Financial markets are nonlinear with complexity, where different types of assets are traded between buyers and sellers, each having a view to maximize their Return on Investment (ROI). Forecasting market trends is a challenging task since…
Foundation models - already transformative in domains such as natural language processing - are now starting to emerge for time-series tasks in finance. While these pretrained architectures promise versatile predictive signals, little is…
We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price trajectory, we give a pathwise presentation of the replication of…
Pairs trading is a strategy based on exploiting mean reversion in prices of securities. It has been shown to generate significant excess returns, but its profitability has dropped significantly in recent periods. We employ the most common…
High-frequency trading (HFT) represents a pivotal and intensely competitive domain within the financial markets. The velocity and accuracy of data processing exert a direct influence on profitability, underscoring the significance of this…
Flexible algorithm of multicurrency trade on Forex market has been built on the grounds of non-linear stochastic wavelets (NSW) model. Probability of the loss-free trade has been evaluated. Results of the algorithm's real-time testing and…
In this paper we solve the discrete time mean-variance hedging problem when asset returns follow a multivariate autoregressive hidden Markov model. Time dependent volatility and serial dependence are well established properties of financial…
We describe a generalization of the Hierarchical Dirichlet Process Hidden Markov Model (HDP-HMM) which is able to encode prior information that state transitions are more likely between "nearby" states. This is accomplished by defining a…
We propose a novel portfolio trading system, which contains a feature preprocessing module and a trading module. The feature preprocessing module consists of various data processing operations, while in the trading part, we integrate the…
We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian…
In this paper we develop a linear expectile hidden Markov model for the analysis of cryptocurrency time series in a risk management framework. The methodology proposed allows to focus on extreme returns and describe their temporal evolution…
This research introduces a novel pairs trading strategy based on copulas for cointegrated pairs of cryptocurrencies. To identify the most suitable pairs, the study employs linear and non-linear cointegration tests along with a correlation…
In sampling tasks, it is common for target distributions to be known up to a normalizing constant. However, in many situations, even evaluating the unnormalized distribution can be costly or infeasible. This issue arises in scenarios such…
Stochastic volatility models are the backbone of financial engineering. We study both continuous time diffusions as well as discrete time models. We propose two novel approaches to estimating stochastic volatility diffusions, one using…
One of the pillars to build a country's economy is the stock market. Over the years, people are investing in stock markets to earn as much profit as possible from the amount of money that they possess. Hence, it is vital to have a…
Information seeking process is an important topic in information seeking behavior research. Both qualitative and empirical methods have been adopted in analyzing information seeking processes, with major focus on uncovering the latent…
In this paper, a distributed Kalman filtering (DKF) algorithm is proposed based on a diffusion strategy, which is used to track an unknown signal process in sensor networks cooperatively. Unlike the centralized algorithms, no fusion center…
We consider the task of learning mappings from sequential data to real-valued responses. We present and evaluate an approach to learning a type of hidden Markov model (HMM) for regression. The learning process involves inferring the…
Recommender systems help users find relevant items of interest based on the past preferences of those users. In many domains, however, the tastes and preferences of users change over time due to a variety of factors and recommender systems…