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This paper considers a portfolio trading strategy formulated by algorithms in the field of machine learning. The profitability of the strategy is measured by the algorithm's capability to consistently and accurately identify stock indices…
Accurate volatility forecasts are vital in modern finance for risk management, portfolio allocation, and strategic decision-making. However, existing methods face key limitations. Fully multivariate models, while comprehensive, are…
Neural networks are powerful tools for classification and regression in static environments. This paper describes a technique for creating an ensemble of neural networks that adapts dynamically to changing conditions. The model separates…
Financial markets are of much interest to researchers due to their dynamic and stochastic nature. With their relations to world populations, global economies and asset valuations, understanding, identifying and forecasting trends and…
Modern machine learning models (such as deep neural networks and boosting decision tree models) have become increasingly popular in financial market prediction, due to their superior capacity to extract complex non-linear patterns. However,…
This research paper explores the performance of Machine Learning (ML) algorithms and techniques that can be used for financial asset price forecasting. The prediction and forecasting of asset prices and returns remains one of the most…
High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now accounts for nearly one-half of all trades. Although evidence…
This paper proposes a novel trading system which plays the role of an artificial counselor for stock investment. In this paper, the stock future prices (technical features) are predicted using Support Vector Regression. Thereafter, the…
This paper presents performance analysis of hybrid model comprise of concordance and Genetic Programming (GP) to forecast financial market with some existing models. This scheme can be used for in depth analysis of stock market. Different…
This paper presents a data-driven interpretable machine learning algorithm for semi-static hedging of Exchange Traded options, considering transaction costs with efficient run-time. Further, we provide empirical evidence on the performance…
Cryptocurrency is a cryptography-based digital asset with extremely volatile prices. Around USD 70 billion worth of cryptocurrency is traded daily on exchanges. Trading cryptocurrency is difficult due to the inherent volatility of the…
In the face of increasing financial uncertainty and market complexity, this study presents a novel risk-aware financial forecasting framework that integrates advanced machine learning techniques with intuitionistic fuzzy multi-criteria…
Financial market prediction is a challenging application of machine learning, where even small improvements in directional accuracy can yield substantial value. Most models struggle to exceed 55--57\% accuracy due to high noise,…
This work focuses on the dynamic hedging of financial derivatives, where a reinforcement learning algorithm is designed to minimize the variance of the delta hedging process. In contrast to previous research in this area, we apply…
Stock prices, as an economic indicator, reflect changes in economic development and market conditions. Traditional stock price prediction models often only consider time-series data and are limited by the mechanisms of the models…
The Heston stochastic volatility model is a widely used tool in financial mathematics for pricing European options. However, its calibration remains computationally intensive and sensitive to local minima due to the model's nonlinear…
The volatility features of financial data would considerably change in different periods, that is one of the main factors affecting the applications of machine learning in quantitative trading. Therefore, to effectively distinguish…
Algorithmic trading relies on extracting meaningful signals from diverse financial data sources, including candlestick charts, order statistics on put and canceled orders, traded volume data, limit order books, and news flow. While deep…
An appropriate calibration and forecasting of volatility and market risk are some of the main challenges faced by companies that have to manage the uncertainty inherent to their investments or funding operations such as banks, pension funds…
In the realm of cryptocurrency, the prediction of Bitcoin prices has garnered substantial attention due to its potential impact on financial markets and investment strategies. This paper propose a comparative study on hybrid machine…