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In recent years, more and more investors use technical analysis methods in their own trading. Evaluating the effectiveness of technical analysis has become more feasible due to increasing computing capability and blooming public data, which…
In today's financial markets, quantitative trading has become an essential trading method, with the MACD indicator widely employed in quantitative trading strategies. This paper begins by screening and cleaning the dataset, establishing a…
This study focuses on forecasting intraday trading volumes, a crucial component for portfolio implementation, especially in high-frequency (HF) trading environments. Given the current scarcity of flexible methods in this area, we employ a…
Financial markets are a source of non-stationary multidimensional time series which has been drawing attention for decades. Each financial instrument has its specific changing-over-time properties, making its analysis a complex task. Hence,…
With the increasing volume of high-frequency data in the information age, both challenges and opportunities arise in the prediction of stock volatility. On one hand, the outcome of prediction using tradition method combining stock technical…
This paper constructs and validates a composite day-classification system for Micro E-Mini Nasdaq 100 futures (MNQ) using three pre-market observable conditions: first-30-minute return magnitude, overnight gap magnitude, and abnormal…
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…
Stock markets exhibit regime-dependent behavior where prediction models optimized for stable conditions often fail during volatile periods. Existing approaches typically treat all market states uniformly or require manual regime labeling,…
Grasping the historical volatility of stock market indices and accurately estimating are two of the major focuses of those involved in the financial securities industry and derivative instruments pricing. This paper presents the results of…
Portfolio optimization in real-world financial markets is notoriously difficult due to non-stationarity, noisy data, and high transaction costs. Standard predict-then-optimize methods first forecast returns and then solve for weights,…
The endeavor of stock trend forecasting is principally focused on predicting the future trajectory of the stock market, utilizing either manual or technical methodologies to optimize profitability. Recent advancements in machine learning…
This paper addresses the challenges faced in large-volume trading, where executing substantial orders can result in significant market impact and slippage. To mitigate these effects, this study proposes a volatility-volume-based order…
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…
In recent years, deep or reinforcement learning approaches have been applied to optimise investment portfolios through learning the spatial and temporal information under the dynamic financial market. Yet in most cases, the existing…
Trading volume movement prediction is the key in a variety of financial applications. Despite its importance, there is few research on this topic because of its requirement for comprehensive understanding of information from different…
We study the problem of optimal execution of a trading order under Volume Weighted Average Price (VWAP) benchmark, from the point of view of a risk-averse broker. The problem consists in minimizing mean-variance of the slippage, with…
The intricate behavior patterns of financial markets are influenced by fundamental, technical, and psychological factors. During times of high volatility and regime shifts causes many traditional strategies like trend-following or…
This paper presents a new approach to volume ratio prediction in financial markets, specifically targeting the execution of Volume-Weighted Average Price (VWAP) strategies. Recognizing the importance of accurate volume profile forecasting,…
Volume prediction is one of the fundamental objectives in the Fintech area, which is helpful for many downstream tasks, e.g., algorithmic trading. Previous methods mostly learn a universal model for different stocks. However, this kind of…
Accurate prediction of financial market volatility is critical for risk management, derivatives pricing, and investment strategy. In this study, we propose a multitude of regime-switching methods to improve the prediction of S&P 500…