相关论文: Wavelet Denoising and Attention-based RNN-ARIMA Mo…

Predicting the price correlation of two assets for future time periods is important in portfolio optimization. We apply LSTM recurrent neural networks (RNN) in predicting the stock price correlation coefficient of two individual stocks.…

This paper proposes an algorithm based on a staged sliding window Transformer architecture to detect abnormal behaviors in the microstructure of the foreign exchange market, focusing on high-frequency EUR/USD trading data. The method…

In this paper we propose a shrinkage wavelet-based method to estimate the signal in a nonparametric regression model with Autoregressive Fractionally Integrated Moving Average (ARFIMA) errors. Monte Carlo experiments indicate that the…

The prediction of stock and foreign exchange (Forex) had always been a hot and profitable area of study. Deep learning application had proven to yields better accuracy and return in the field of financial prediction and forecasting. In this…

Forecasting with multivariate time series, which aims to predict future values given previous and current several univariate time series data, has been studied for decades, with one example being ARIMA. Because it is difficult to measure…

The application of deep learning to time series forecasting is one of the major challenges in present machine learning. We propose a novel methodology that combines machine learning and image processing methods to define and predict market…

We propose a mathematical procedure for finding informed traders in ultra-high frequency trading. We wrote it as Vector ARMA and found condition of its stationarity. For the price exposure complied with ARMA(1,2) we proved that underlying…

Foreign currency exchange plays a vital role for trading of currency in the financial market. Due to its volatile nature, prediction of foreign currency exchange is a challenging task. This paper presents different machine learning…

Time series forecasting is essential for decision making in many domains. In this work, we address the challenge of predicting prices evolution among multiple potentially interacting financial assets. A solution to this problem has obvious…

Predicting stock prices presents challenges in financial forecasting. While traditional approaches such as ARIMA and RNNs are prevalent, recent developments in Large Language Models (LLMs) offer alternative methodologies. This paper…

This paper presents a comprehensive study on stock price prediction, leveragingadvanced machine learning (ML) and deep learning (DL) techniques to improve financial forecasting accuracy. The research evaluates the performance of various…

Predicting a fast and accurate model for stock price forecasting is been a challenging task and this is an active area of research where it is yet to be found which is the best way to forecast the stock price. Machine learning, deep…

The renewable energies prediction and particularly global radiation forecasting is a challenge studied by a growing number of research teams. This paper proposes an original technique to model the insolation time series based on combining…

Financial markets are inherently volatile and prone to sudden disruptions such as market crashes, flash collapses, and liquidity crises. Accurate anomaly detection and early risk forecasting in financial time series are therefore crucial…

Deep-learning techniques have been successfully used for time-series forecasting and have often shown superior performance on many standard benchmark datasets as compared to traditional techniques. Here we present a comprehensive and…

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…

A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial asset price models using an Artificial Neural Network (ANN). Determining optimal values of the model parameters is formulated as training…

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…

Time series forecasting has seen many methods attempted over the past few decades, including traditional technical analysis, algorithmic statistical models, and more recent machine learning and artificial intelligence approaches. Recently,…

Prediction for high dimensional time series is a challenging task due to the curse of dimensionality problem. Classical parametric models like ARIMA or VAR require strong modeling assumptions and time stationarity and are often…