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Precisely forecasting the excess returns of an asset (e.g., Tesla stock) is beneficial to all investors. However, the unpredictability of market dynamics, influenced by human behaviors, makes this a challenging task. In prior research,…
Deep Reinforcement learning is a branch of unsupervised learning in which an agent learns to act based on environment state in order to maximize its total reward. Deep reinforcement learning provides good opportunity to model the complexity…
Stock price prediction is a critical area of financial forecasting, traditionally approached by training models using the historical price data of individual stocks. While these models effectively capture single-stock patterns, they fail to…
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
When analyzing the components influencing the stock prices, it is commonly believed that economic activities play an important role. More specifically, asset prices are more sensitive to the systematic economic news that impose a pervasive…
Macroeconomic variables are known to significantly impact equity markets, but their predictive power for price fluctuations has been underexplored due to challenges such as infrequency and variability in timing of announcements, changing…
As financial markets grow increasingly complex in the big data era, accurate stock prediction has become more critical. Traditional time series models, such as GRUs, have been widely used but often struggle to capture the intricate…
Identifying meaningful relationships between the price movements of financial assets is a challenging but important problem in a variety of financial applications. However with recent research, particularly those using machine learning and…
Stock return predictability is an important research theme as it reflects our economic and social organization, and significant efforts are made to explain the dynamism therein. Statistics of strong explanative power, called "factor" have…
Income and risk coexist, yet investors are often so focused on chasing high returns that they overlook the potential risks that can lead to high losses. Therefore, risk forecasting and risk control is the cornerstone of investment. To…
This project investigates the interplay of technical, market, and statistical factors in predicting stock market performance, with a primary focus on S&P 500 companies. Utilizing a comprehensive dataset spanning multiple years, the analysis…
According to behavioral finance, stock market returns are influenced by emotional, social and psychological factors. Several recent works support this theory by providing evidence of correlation between stock market prices and collective…
In recent years, machine learning and deep learning have become popular methods for financial data analysis, including financial textual data, numerical data, and graphical data. This paper proposes to use sentiment analysis to extract…
Modeling and managing portfolio risk is perhaps the most important step to achieve growing and preserving investment performance. Within the modern portfolio construction framework that built on Markowitz's theory, the covariance matrix of…
The stock market is a crucial component of the financial market, playing a vital role in wealth accumulation for investors, financing costs for listed companies, and the stable development of the national macroeconomy. Significant…
Midterm stock price prediction is crucial for value investments in the stock market. However, most deep learning models are essentially short-term and applying them to midterm predictions encounters large cumulative errors because they…
Fluctuations in stock prices are influenced by a complex interplay of factors that go beyond mere historical data. These factors, themselves influenced by external forces, encompass inter-stock dynamics, broader economic factors, various…
As Large Language Models (LLMs) become increasingly integrated into financial systems, understanding their behavioural properties is crucial. Do LLMs conform to the rational expectations paradigm, do they exhibit human-like "animal…
Technical and fundamental analysis are traditional tools used to analyze individual stocks; however, the finance literature has shown that the price movement of each individual stock correlates heavily with other stocks, especially those…
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…