相关论文: Multiple-output support vector regression with a f…

This study proposes an algorithm titled a statistical firefly algorithm (SFA) for truss topology optimization. In the proposed algorithm, historical results of fireflies' motions are used in hypothesis testing to limit the motions of…

Forecasting the movements of stock prices is one the most challenging problems in financial markets analysis. In this paper, we use Machine Learning (ML) algorithms for the prediction of future price movements using limit order book data.…

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,…

A comparative analysis of deep learning models and traditional statistical methods for stock price prediction uses data from the Nigerian stock exchange. Historical data, including daily prices and trading volumes, are employed to implement…

We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…

Forecasting multivariate time series remains challenging due to complex cross-variable dependencies and the presence of heterogeneous external influences. This paper presents Spectrogram-Enhanced Multimodal Fusion (SEMF), which combines…

We propose three different data-driven approaches for pricing European-style call options using supervised machine-learning algorithms. These approaches yield models that give a range of fair prices instead of a single price point. The…

We formulate a new inference task in the domain of multivariate time series forecasting (MTSF), called Variable Subset Forecast (VSF), where only a small subset of the variables is available during inference. Variables are absent during…

Designing robust and accurate prediction models has been a viable research area since a long time. While proponents of a well-functioning market predictors believe that it is difficult to accurately predict market prices but many scholars…

Predicting future values at risk (fVaR) is an important problem in finance. They arise in the modelling of future initial margin requirements for counterparty credit risk and future market risk VaR. One is also interested in derived…

This research paper introduces innovative approaches for multivariate time series forecasting based on different variations of the combined regression strategy. We use specific data preprocessing techniques which makes a radical change in…

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,…

Using Chronos-2, an open-source time-series foundation model, we evaluate pretrained time-series models for economic and financial forecasting with an emphasis on whether multivariate (MV) inputs improve accuracy relative to univariate (UV)…

News items have a significant impact on stock markets but the ways are obscure. Many previous works have aimed at finding accurate stock market forecasting models. In this paper, we use text mining and sentiment analysis on Chinese online…

Several well-established benchmark predictors exist for Value-at-Risk (VaR), a major instrument for financial risk management. Hybrid methods combining AR-GARCH filtering with skewed-$t$ residuals and the extreme value theory-based approach…

Creating accurate predictions in the stock market has always been a significant challenge in finance. With the rise of machine learning as the next level in the forecasting area, this research paper compares four machine learning models and…

In this paper, we propose a novel stock index model, namely the manifold feature(MF) index, to reflect the overall price activity of the entire stock market. Based on the theory of manifold learning, the researched stock dataset is assumed…

Firefly algorithms belong to modern meta-heuristic algorithms inspired by nature that can be successfully applied to continuous optimization problems. In this paper, we have been applied the firefly algorithm, hybridized with local search…

With the volatile and complex nature of financial data influenced by external factors, forecasting the stock market is challenging. Traditional models such as ARIMA and GARCH perform well with linear data but struggle with non-linear…

Accurate forecasting in financial markets requires integrating diverse data sources, from historical prices to macroeconomic indicators and financial news. However, existing models often fail to align these modalities effectively, limiting…