Related papers: Robust Portfolio Design and Stock Price Prediction…
This paper tackles challenges in pricing and revenue projections due to consumer uncertainty. We propose a novel data-based approach for firms facing unknown consumer type distributions. Unlike existing methods, we assume firms only observe…
Predictive business process monitoring methods exploit logs of completed cases of a process in order to make predictions about running cases thereof. Existing methods in this space are tailor-made for specific prediction tasks. Moreover,…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
The importance of predicting stock market prices cannot be overstated. It is a pivotal task for investors and financial institutions as it enables them to make informed investment decisions, manage risks, and ensure the stability of the…
Recent developments in deep learning techniques have motivated intensive research in machine learning-aided stock trading strategies. However, since the financial market has a highly non-stationary nature hindering the application of…
This paper investigates an important problem of an appropriate variance-covariance matrix estimation in the Modern Portfolio Theory. We propose a novel framework for variancecovariance matrix estimation for purposes of the portfolio…
As the number of publicly traded companies as well as the amount of their financial data grows rapidly, it is highly desired to have tracking, analysis, and eventually stock selections automated. There have been few works focusing on…
The volatility and complex dynamics of cryptocurrency markets present unique challenges for accurate price forecasting. This research proposes a hybrid deep learning and machine learning model that integrates Long Short-Term Memory (LSTM)…
This study examines portfolio selection using predictive models for portfolio returns. Portfolio selection is a fundamental task in finance, and a variety of methods have been developed to achieve this goal. For instance, the mean-variance…
Bitcoin, one of the major cryptocurrencies, presents great opportunities and challenges with its tremendous potential returns accompanying high risks. The high volatility of Bitcoin and the complex factors affecting them make the study of…
Market indicators such as CPI and GDP have been widely used over decades to identify the stage of business cycles and also investment attractiveness of sectors given market conditions. In this paper, we propose a two-stage methodology that…
Mathematical optimization is a powerful tool for structured decision-making across domains such as resource allocation and planning. Formulating optimization models faithful to reality, though, remains a significant bottleneck as it…
The stock market's ascent typically mirrors the flourishing state of the economy, whereas its decline is often an indicator of an economic downturn. Therefore, for a long time, significant correlation elements for predicting trends in…
This research evaluates the performance of an Artificial Neural Network based prediction system that was employed on the Shanghai Stock Exchange for the period 21-Sep-2016 to 11-Oct-2016. It is a follow-up to a previous paper in which the…
A study on power market price forecasting by deep learning is presented. As one of the most successful deep learning frameworks, the LSTM (Long short-term memory) neural network is utilized. The hourly prices data from the New England and…
Forecasting financial market trends through time series analysis and natural language processing poses a complex and demanding undertaking, owing to the numerous variables that can influence stock prices. These variables encompass a…
The debate between active and passive investment strategies has been ongoing for many years and is far from being over. In this paper, we show that the choice of an optimal portfolio management strategy depends on an investment climate,…
Stock market plays an important role in the economic development. Due to the complex volatility of the stock market, the research and prediction on the change of the stock price, can avoid the risk for the investors. The traditional time…
The rapidly evolving cryptocurrency market presents unique challenges for investment due to its inherent volatility and evolving regulatory environment. Collective price movements can be exploited to construct diversified portfolios with…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…