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

This study explores the use of Recurrent Neural Networks (RNN) for real-time cryptocurrency price prediction and optimized trading strategies. Given the high volatility of the cryptocurrency market, traditional forecasting models often fall…

The application of deep learning techniques for predicting stock market prices is a prominent and widely researched topic in the field of data science. To effectively predict market trends, it is essential to utilize a diversified dataset.…

Recently, combining stock features with inter-stock correlations has become a common and effective approach for stock movement prediction. However, financial data presents significant challenges due to its low signal-to-noise ratio and the…

We propose in this paper an original technique to predict global radiation using a hybrid ARMA/ANN model and data issued from a numerical weather prediction model (ALADIN). We particularly look at the Multi-Layer Perceptron. After…

Accurate forecasting of exchange rates remains a persistent challenge, particularly for emerging economies such as Brazil, Russia, India, and China (BRIC). These series exhibit long memory and nonlinearity that conventional time series…

In this paper we introduce a method for significantly improving the signal to noise ratio in financial data. The approach relies on combining a target variable with different context variables and use auto-encoders (AEs) to learn…

Stock market prediction presents considerable challenges for investors, financial institutions, and policymakers operating in complex market environments characterized by noise, non-stationarity, and behavioral dynamics. Traditional…

An appropriate calibration and forecasting of volatility and market risk are some of the main challenges faced by companies that have to manage the uncertainty inherent to their investments or funding operations such as banks, pension funds…

High-frequency stock price prediction is challenging due to non-stationarity, noise, and volatility. To tackle these issues, we propose the Hybrid Attentive Ensemble Learning Transformer (HAELT), a deep learning framework combining a…

In this article, we introduce a novel deep learning hybrid model that integrates attention Transformer and Gated Recurrent Unit (GRU) architectures to improve the accuracy of cryptocurrency price predictions. By combining the Transformer's…

We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time-frequency domain. Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we allow for the decomposition of the…

Application of machine learning for stock prediction is attracting a lot of attention in recent years. A large amount of research has been conducted in this area and multiple existing results have shown that machine learning methods could…

Consistent alpha generation, i.e., maintaining an edge over the market, underpins the ability of asset traders to reliably generate profits. Technical indicators and trading strategies are commonly used tools to determine when to…

Market traders often engage in the frequent transaction of volatile assets to optimize their total return. In this study, we introduce a novel investment strategy model, anchored on the 'lazy factor.' Our approach bifurcates into a Price…

Accurately forecasting carbon prices is essential for informed energy market decision-making, guiding sustainable energy planning, and supporting effective decarbonization strategies. However, it remains challenging due to structural breaks…

Any discussion on exchange rate movements and forecasting should include explanatory variables from both the current account and the capital account of the balance of payments. In this paper, we include such factors to forecast the value of…

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,…

The price movement prediction of stock market has been a classical yet challenging problem, with the attention of both economists and computer scientists. In recent years, graph neural network has significantly improved the prediction…

Volatility is a natural risk measure in finance as it quantifies the variation of stock prices. A frequently considered problem in mathematical finance is to forecast different estimates of volatility. What makes it promising to use deep…

This paper analyses how Time Series Analysis techniques can be applied to capture movement of an exchange traded index in a stock market. Specifically, Seasonal Auto Regressive Integrated Moving Average (SARIMA) class of models is applied…