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Stock market forecasting is a lucrative field of interest with promising profits but not without its difficulties and for some people could be even causes of failure. Financial markets by their nature are complex, non-linear and chaotic,…
Unfair stock trading strategies have been shown to be one of the most negative perceptions that customers can have concerning trading and may result in long-term losses for a company. Investment banks usually place trading orders for…
The relation between time series irreversibility and entropy production has been recently investigated in thermodynamic systems operating away from equilibrium. In this work we explore this concept in the context of financial time series.…
This paper develops and estimates a multivariate affine GARCH(1,1) model with Normal Inverse Gaussian innovations that captures time-varying volatility, heavy tails, and dynamic correlation across asset returns. We generalize the…
As a forward-looking measure of future equity market volatility, the VIX index has gained immense popularity in recent years to become a key measure of risk for market analysts and academics. We consider discrete reported intraday VIX tick…
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…
We present a detailed study of the performance of a trading rule that uses moving average of past returns to predict future returns on stock indexes. Our main goal is to link performance and the stochastic process of the traded asset. Our…
The unpredictability and volatility of the stock market render it challenging to make a substantial profit using any generalised scheme. Many previous studies tried different techniques to build a machine learning model, which can make a…
Volatility-based trading strategies have attracted a lot of attention in financial markets due to their ability to capture opportunities for profit from market dynamics. In this article, we propose a new volatility-based trading strategy…
The development of reinforced learning methods has extended application to many areas including algorithmic trading. In this paper trading on the stock exchange is interpreted into a game with a Markov property consisting of states,…
Foreign exchange is the largest financial market in the world, and it is also one of the most volatile markets. Technical analysis plays an important role in the forex market and trading algorithms are designed utilizing machine learning…
In this note, we introduce how to use Volatility Index (VIX) for postprocessing quantitative strategies so as to increase the Sharpe ratio and reduce trading risks. The signal from this procedure is an indicator of trading or not on a daily…
Stock trading strategy plays a crucial role in investment companies. However, it is challenging to obtain optimal strategy in the complex and dynamic stock market. We explore the potential of deep reinforcement learning to optimize stock…
Advanced algorithms based on Deep Reinforcement Learning (DRL) have been able to become a reliable tool for the Forex market traders and provide a suitable strategy for maximizing profit and reducing trading risk. These tools try to find…
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…
A new alternative method to approximate the Visibility Graph (VG) of a time series has been introduced here. It exploits the fact that most of the nodes in the resulting network are not connected to those that are far away from them. This…
The Grains and Oilseeds Index (GOI) and its sub-indices of wheat, maize, soyabeans, rice, and barley are daily price indexes reflect the price changes of the global spot markets of staple agro-food crops. In this paper, we carry out a…
Financial markets are nonlinear with complexity, where different types of assets are traded between buyers and sellers, each having a view to maximize their Return on Investment (ROI). Forecasting market trends is a challenging task since…
Triangular arbitrage is a profitable trading strategy in financial markets that exploits discrepancies in currency exchange rates. Traditional methods for detecting triangular arbitrage opportunities, such as exhaustive search algorithms…
We present a deep long short-term memory (LSTM)-based neural network for predicting asset prices, together with a successful trading strategy for generating profits based on the model's predictions. Our work is motivated by the fact that…