Related papers: Predicting Foreign Exchange EUR/USD direction usin…
The rapid growth of the stock market has attracted many investors due to its potential for significant profits. However, predicting stock prices accurately is difficult because financial markets are complex and constantly changing. This is…
In recent years, a wide range of investment models have been created using artificial intelligence. Automatic trading by artificial intelligence can expand the range of trading methods, such as by conferring the ability to operate 24 hours…
In this note we investigate the consistency under inversion of jump diffusion processes in the Foreign Exchange (FX) market. In other terms, if the EUR/USD FX rate follows a given type of dynamics, under which conditions will USD/EUR follow…
The uncertainties in future Bitcoin price make it difficult to accurately predict the price of Bitcoin. Accurately predicting the price for Bitcoin is therefore important for decision-making process of investors and market players in the…
Electricity price forecasting is an essential task in all the deregulated markets of the world. The accurate prediction of the day-ahead electricity prices is an active research field and available data from various markets can be used as…
Cryptocurrencies, as decentralized digital assets, have experienced rapid growth and adoption, with over 23,000 cryptocurrencies and a market capitalization nearing \$1.1 trillion (about \$3,400 per person in the US) as of 2023. This…
We study the long memory of order flow for each of three liquid currency pairs on a large electronic trading platform in the foreign exchange (FX) spot market. Due to the extremely high levels of market activity on the platform, and in…
This work studies the symmetry between colloidal dynamics and the dynamics of the Euro--US Dollar currency exchange market (EURUSD). We consider the EURUSD price in the time range between 2001 and 2015, where we find significant qualitative…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
Prediction of future movement of stock prices has been a subject matter of many research work. There is a gamut of literature of technical analysis of stock prices where the objective is to identify patterns in stock price movements and…
Deep neural networks (DNNs) are powerful types of artificial neural networks (ANNs) that use several hidden layers. They have recently gained considerable attention in the speech transcription and image recognition community (Krizhevsky et…
We present a new model for prediction markets, in which we use risk measures to model agents and introduce a market maker to describe the trading process. This specific choice on modelling tools brings us mathematical convenience. The…
In a system containing a large number of interacting stochastic processes, there will typically be many non-zero correlation coefficients. This makes it difficult to either visualize the system's inter-dependencies, or identify its dominant…
In its semi-strong form, the Efficient Market Hypothesis (EMH) implies that technical analysis will not reveal any hidden statistical trends via intermarket data analysis. If technical analysis on intermarket data reveals trends which can…
There is intense interest in understanding the stochastic and dynamical properties of the global Foreign Exchange (FX) market, whose daily transactions exceed one trillion US dollars. This is a formidable task since the FX market is…
Electricity price forecasting (EPF) is a branch of forecasting on the interface of electrical engineering, statistics, computer science, and finance, which focuses on predicting prices in wholesale electricity markets for a whole spectrum…
Bitcoin is one of the cryptocurrencies that is gaining more popularity in recent years. Previous studies have shown that closing price alone is not enough to forecast stock market series. We introduce a new set of time series and…
At present, cryptocurrencies have become a global phenomenon in financial sectors as it is one of the most traded financial instruments worldwide. Cryptocurrency is not only one of the most complicated and abstruse fields among financial…
With increasing competition and pace in the financial markets, robust forecasting methods are becoming more and more valuable to investors. While machine learning algorithms offer a proven way of modeling non-linearities in time series,…
Predicting stock price movements during Earnings Announcements (EAs) is a significant challenge due to market noise and high-impact price discontinuities. In this study, we evaluate whether pre-announcement news sentiment, firm…