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This paper presents a convolutional neural network (CNN) which can be used for forecasting electricity load profiles 36 hours into the future. In contrast to well established CNN architectures, the input data is one-dimensional. A parameter…

Machine Learning · Computer Science 2019-11-27 Christian Lang , Florian Steinborn , Oliver Steffens , Elmar W. Lang

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…

Statistical Finance · Quantitative Finance 2025-07-15 Ivan Letteri

In the big data era, deep learning and intelligent data mining technique solutions have been applied by researchers in various areas. Forecast and analysis of stock market data have represented an essential role in today's economy, and a…

Signal Processing · Electrical Eng. & Systems 2020-08-26 Wilfredo Tovar

Dynamic link prediction is important for modeling evolving interactions in complex systems, including social, communication, financial, and transportation networks. Classical temporal graph models capture sequential dependencies, but they…

Fluctuations in the stock market rapidly shape the economic world and consumer markets, impacting millions of individuals. Hence, accurately forecasting it is essential for mitigating risks, including those associated with inactivity.…

Statistical Finance · Quantitative Finance 2025-01-15 Konstantinos-Leonidas Bisdoulis

Graph neural network (GNN) models are increasingly being used for the classification of electroencephalography (EEG) data. However, GNN-based diagnosis of neurological disorders, such as Alzheimer's disease (AD), remains a relatively…

Neurons and Cognition · Quantitative Biology 2023-12-21 Dominik Klepl , Fei He , Min Wu , Daniel J. Blackburn , Ptolemaios G. Sarrigiannis

The present document delineates the analysis, design, implementation, and benchmarking of various neural network architectures within a short-term frequency prediction system for the foreign exchange market (FOREX). Our aim is to simulate…

Mathematical Finance · Quantitative Finance 2024-05-15 Theodoros Zafeiriou , Dimitris Kalles

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…

Computational Finance · Quantitative Finance 2025-01-03 Nico Herrig

Graph convolutional network (GCN) is generalization of convolutional neural network (CNN) to work with arbitrarily structured graphs. A binary adjacency matrix is commonly used in training a GCN. Recently, the attention mechanism allows the…

Machine Learning · Statistics 2022-03-03 Chao Shang , Qinqing Liu , Ko-Shin Chen , Jiangwen Sun , Jin Lu , Jinfeng Yi , Jinbo Bi

Recently artificial neural networks (ANNs) have seen success in volatility prediction, but the literature is divided on where an ANN should be used rather than the common GARCH model. The purpose of this study is to compare the volatility…

Computational Finance · Quantitative Finance 2021-10-19 Curtis Nybo

The availability of historical data related to electricity day-ahead prices and to the underlying price formation process is limited. In addition, the electricity market in Europe is facing a rapid transformation, which limits the…

Applications · Statistics 2023-06-27 Raffaele Sgarlato

Precise short-term price prediction in the highly volatile cryptocurrency market is critical for informed trading strategies. Although Temporal Fusion Transformers (TFTs) have shown potential, their direct use often struggles in the face of…

Statistical Finance · Quantitative Finance 2025-09-16 Arash Peik , Mohammad Ali Zare Chahooki , Amin Milani Fard , Mehdi Agha Sarram

Electricity price is a key factor affecting the decision-making for all market participants. Accurate forecasting of electricity prices is very important and is also very challenging since electricity price is highly volatile due to various…

Machine Learning · Computer Science 2021-12-28 Vasudharini Sridharan , Mingjian Tuo , Xingpeng Li

Cement production is among the largest contributors to industrial air pollution, emitting ~3 Mt NOx/year. The industry-standard mitigation approach, selective non-catalytic reduction (SNCR), exhibits low NH3 utilization efficiency,…

This thesis serves three primary purposes, first of which is to forecast two stocks, i.e. Goldman Sachs (GS) and General Electric (GE). In order to forecast stock prices, we used a long short-term memory (LSTM) model in which we inputted…

Trading and Market Microstructure · Quantitative Finance 2020-12-01 Hamed Vaheb

The significant fluctuations in stock index prices in recent years highlight the critical need for accurate forecasting to guide investment and financial strategies. This study introduces a novel composite forecasting framework that…

Machine Learning · Computer Science 2024-08-30 Xiaorui Xue , Shaofang Li , Xiaonan Wang

Prediction of future movement of stock prices has been a subject matter of many research work. In this work, we propose a hybrid approach for stock price prediction using machine learning and deep learning-based methods. We select the NIFTY…

Statistical Finance · Quantitative Finance 2021-10-12 Sidra Mehtab , Jaydip Sen

Traffic forecasting is an essential problem in urban planning and computing. The complex dynamic spatial-temporal dependencies among traffic objects (e.g., sensors and road segments) have been calling for highly flexible models;…

Machine Learning · Computer Science 2023-08-14 Juyong Jiang , Binqing Wu , Ling Chen , Kai Zhang , Sunghun Kim

In this paper we apply a specific type ANNs - convolutional neural networks (CNNs) - to the problem of finding start and endpoints of trends, which are the optimal points for entering and leaving the market. We aim to explore long-term…

Statistical Finance · Quantitative Finance 2021-04-30 Ekaterina Zolotareva

This paper introduces a novel approach to optimizing portfolio rebalancing by integrating Graph Neural Networks (GNNs) for predicting transaction costs and Dijkstra's algorithm for identifying cost-efficient rebalancing paths. Using…

Portfolio Management · Quantitative Finance 2024-10-04 Diego Vallarino
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