Related papers: Combining Deep Learning and GARCH Models for Finan…
Accurate load forecasting remains a formidable challenge in numerous sectors, given the intricate dynamics of dynamic power systems, which often defy conventional statistical models. As a response, time-series methodologies like ARIMA and…
Purpose: This study introduces a novel framework for identifying and exploiting predictive lead-lag relationships in financial markets. We propose an integrated approach that combines advanced statistical methodologies with machine learning…
Time series forecasting represents a significant and challenging task across various fields. Recently, methods based on mode decomposition have dominated the forecasting of complex time series because of the advantages of capturing local…
The application of the standard static Geometric Brownian Motion (GBM) model for cryptocurrency risk management resulted in a systemic failure, evidenced by a 80.67% chance of loss in the 5% value-at-risk benchmark. This study addresses a…
This paper offers a new approach for estimating and forecasting the volatility of financial time series. No assumption is made about the parametric form of the processes. On the contrary, we only suppose that the volatility can be…
This study evaluates deep neural networks for forecasting probability distributions of financial returns. 1D convolutional neural networks (CNN) and Long Short-Term Memory (LSTM) architectures are used to forecast parameters of three…
The stochastic volatility model is one of volatility models which infer latent volatility of asset returns. The Bayesian inference of the stochastic volatility (SV) model is performed by the hybrid Monte Carlo (HMC) algorithm which is…
In this work we show that prediction uncertainty estimates gleaned from deep learning models can be useful inputs for influencing the relative allocation of risk capital across trades. In this way, consideration of uncertainty is important…
This paper introduces an extension of the Markov switching GARCH model where the volatility in each state is a convex combination of two different GARCH components with time varying weights. This model has the dynamic behavior to capture…
Heteroskedasticity is a common feature of financial time series and is commonly addressed in the model building process through the use of ARCH and GARCH processes. More recently multivariate variants of these processes have been in the…
We construct liquidity-adjusted return and volatility using purposely designed liquidity metrics (liquidity jump and liquidity diffusion) that incorporate additional liquidity information. Based on these measures, we introduce a…
We suggest the Doubly Multiplicative Error class of models (DMEM) for modeling and forecasting realized volatility, which combines two components accommodating low-, respectively, high-frequency features in the data. We derive the…
This work aims to implement Long Short-Term Memory mixture density networks (LSTM-MDNs) for Value-at-Risk forecasting and compare their performance with established models (historical simulation, CMM, and GARCH) using a defined backtesting…
This paper offers a new method for estimation and forecasting of the volatility of financial time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient…
Deep learning methods have gained popularity in recent years through the media and the relative ease of implementation through open source packages such as Keras. We investigate the applicability of popular recurrent neural networks in…
It is common for long financial time series to exhibit gradual change in the unconditional volatility. We propose a new model that captures this type of nonstationarity in a parsimonious way. The model augments the volatility equation of a…
A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial asset price models using an Artificial Neural Network (ANN). Determining optimal values of the model parameters is formulated as training…
We construct fractionally integrated continuous-time GARCH models, which capture the observed long range dependence of squared volatility in high-frequency data. Since the usual Molchan-Golosov and Mandelbrot-van-Ness fractional kernels…
This paper explores Artificial Neural Network (ANN) as a model-free solution for a calibration algorithm of option pricing models. We construct ANNs to calibrate parameters for two well-known GARCH-type option pricing models: Duan's GARCH…
We study the prediction of Value at Risk (VaR) for cryptocurrencies. In contrast to classic assets, returns of cryptocurrencies are often highly volatile and characterized by large fluctuations around single events. Analyzing a…