相关论文: Financial time-series analysis: A brief overview

Predicting volatility in financial markets, including stocks, index ETFs, foreign exchange, and cryptocurrencies, remains a challenging task due to the inherent complexity and non-linear dynamics of these time series. In this study, I apply…

In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price dynamics on the abstract resource. The model was…

Forecasting financial time series (FTS) is an essential field in finance and economics that anticipates market movements in financial markets. This paper investigates the accuracy of text mining and technical analyses in forecasting…

We encounter time series data in many domains such as finance, physics, business, and weather. One of the main tasks of time series analysis, one that helps to take informed decisions under uncertainty, is forecasting. Time series are often…

A new definition of events of game-theoretic probability zero in continuous time is proposed and used to prove results suggesting that trading in financial markets results in the emergence of properties usually associated with randomness.…

This paper proposes an information retrieval method for the economy news. The effect of economy news, are researched in the word level and stock market values are considered as the ground proof. The correlation between stock market prices…

Time series analysis has become crucial in various fields, from engineering and finance to healthcare and social sciences. Due to their multidimensional nature, time series often need to be embedded into a fixed-dimensional feature space to…

Continuous-time series is essential for different modern application areas, e.g. healthcare, automobile, energy, finance, Internet of things (IoT) and other related areas. Different application needs to process as well as analyse a massive…

The self-similar analysis of time series is generalized by introducing the notion of scenario probabilities. This makes it possible to give a complete statistical description for the forecast spectrum by defining the average forecast as a…

In recent years there has been a surge of interest in the statistics of record-breaking events in stochastic processes. Along with that, many new and interesting applications of the theory of records were discovered and explored. The record…

We are settling a longstanding quarrel in quantitative finance by proving the existence of trends in financial time series thanks to a theorem due to P. Cartier and Y. Perrin, which is expressed in the language of nonstandard analysis…

We develop a theory of securities price formation and dynamics based on quantum approach and without presuming any similarities with quantum mechanics. Disorder introduced by trading environment leads to probability distribution of returns…

Temporal data distribution shift is prevalent in the financial text. How can a financial sentiment analysis system be trained in a volatile market environment that can accurately infer sentiment and be robust to temporal data distribution…

We investigate possible origins of trends using a deterministic threshold model, where we refer to long-term variabilities of price changes (price movements) in financial markets as trends. From the investigation we find two phenomena. One…

Transformers have achieved superior performances in many tasks in natural language processing and computer vision, which also triggered great interest in the time series community. Among multiple advantages of Transformers, the ability to…

The paper proposes a method of financial time series forecasting taking into account the semantics of news. For the semantic analysis of financial news the sampling of negative and positive words in economic sense was formed based on…

Financial markets are highly complex and volatile; thus, learning about such markets for the sake of making predictions is vital to make early alerts about crashes and subsequent recoveries. People have been using learning tools from…

The probability distribution of log-returns of financial time series, sampled at high frequency, is the basis for any further developments in quantitative finance. In this letter, we present experimental results based on a large set of time…

We propose that predictability is a prerequisite for profitability on financial markets. We look at ways to measure predictability of price changes using information theoretic approach and employ them on all historical data available for…

Travel time derivatives are financial instruments that derive their value from road travel times, serving as an underlying asset that cannot be directly traded. Within the transportation domain, these derivatives are proposed as a more…