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This paper studies the joint role of long-memory dynamics,rough-volatility behavior, and persistence-based forecasting features in equity volatility modeling. We combine semiparametric long-memory estimation, rough-volatility diagnostics,…

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…

We reinvigorate maximum likelihood estimation (MLE) for macroeconomic density forecasting through a novel neural network architecture with dedicated mean and variance hemispheres. Our architecture features several key ingredients making MLE…

Stock market volatility forecasting is a task relevant to assessing market risk. We investigate the interaction between news and prices for the one-day-ahead volatility prediction using state-of-the-art deep learning approaches. The…

Volatility forecasting in financial markets is a topic that has received more attention from scholars. In this paper, we propose a new volatility forecasting model that combines the heterogeneous autoregressive (HAR) model with a family of…

We propose a novel data-driven network framework for forecasting problems related to E-mini S\&P 500 and CBOE Volatility Index futures, in which products with different expirations act as distinct nodes. We provide visual demonstrations of…

This study examines the use of a recurrent neural network for estimating the parameters of a Hawkes model based on high-frequency financial data, and subsequently, for computing volatility. Neural networks have shown promising results in…

Time series forecasting is a key tool in financial markets, helping to predict asset prices and guide investment decisions. In highly volatile markets, such as cryptocurrencies like Bitcoin (BTC) and Ethereum (ETH), forecasting becomes more…

Time series forecasting has seen many methods attempted over the past few decades, including traditional technical analysis, algorithmic statistical models, and more recent machine learning and artificial intelligence approaches. Recently,…

Financial markets are difficult to predict due to its complex systems dynamics. Although there have been some recent studies that use machine learning techniques for financial markets prediction, they do not offer satisfactory performance…

We extend the application and test the performance of a recently introduced volatility prediction framework encompassing LSTM and rough volatility. Our asset class of interest is cryptocurrencies, at the beginning of the "crypto-winter" in…

We apply machine learning models to forecast intraday realized volatility (RV), by exploiting commonality in intraday volatility via pooling stock data together, and by incorporating a proxy for the market volatility. Neural networks…

Human Activity Recognition (HAR) using wearable inertial measurement unit (IMU) sensors can revolutionize healthcare by enabling continual health monitoring, disease prediction, and routine recognition. Despite the high accuracy of Deep…

Volatility for financial assets returns can be used to gauge the risk for financial market. We propose a deep stochastic volatility model (DSVM) based on the framework of deep latent variable models. It uses flexible deep learning models to…

We employ single-qubit quantum circuit learning (QCL) to model the dynamics of volatility time series. To assess its effectiveness, we generate synthetic data using the Rational GARCH model, which is specifically designed to capture…

Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk measures, observed…

This research systematically develops and evaluates various hybrid modeling approaches by combining traditional econometric models (ARIMA and ARFIMA models) with machine learning and deep learning techniques (SVM, XGBoost, and LSTM models)…

Volatility is a natural risk measure in finance as it quantifies the variation of stock prices. A frequently considered problem in mathematical finance is to forecast different estimates of volatility. What makes it promising to use deep…

Limited datasets and complex nonlinear relationships are among the challenges that may emerge when applying econometrics to macroeconomic problems. This research proposes deep learning as an approach to transfer learning in the former case…

Accurate electricity price forecasting (EPF) is increasingly difficult in markets characterised by extreme volatility, frequent price spikes, and rapid structural shifts. Deep learning (DL) has been increasingly adopted in EPF due to its…