相关论文: Analysis of stock index with a generalized BN-S mo…

A commonly used stochastic model for derivative and commodity market analysis is the Barndorff-Nielsen and Shephard (BN-S) model. Though this model is very efficient and analytically tractable, it suffers from the absence of long range…

In this paper, a refined Barndorff-Nielsen and Shephard (BN-S) model is implemented to find an optimal hedging strategy for commodity markets. The refinement of the BN-S model is obtained with various machine and deep learning algorithms.…

Stock price prediction has been the focus of a large amount of research but an acceptable solution has so far escaped academics. Recent advances in deep learning have motivated researchers to apply neural networks to stock prediction. In…

The problem related to predicting dynamic volatility in financial market plays a crucial role in many contexts. We build a new generalized Barndorff-Nielsen and Shephard (BN-S) model suitable for uncertain environment with fuzziness and…

This project aims to predict short-term and long-term upward trends in the S&P 500 index using machine learning models and feature engineering based on the "101 Formulaic Alphas" methodology. The study employed multiple models, including…

This project investigates the interplay of technical, market, and statistical factors in predicting stock market performance, with a primary focus on S&P 500 companies. Utilizing a comprehensive dataset spanning multiple years, the analysis…

We summarized both common and novel predictive models used for stock price prediction and combined them with technical indices, fundamental characteristics and text-based sentiment data to predict S&P stock prices. A 66.18% accuracy in S&P…

In the complex landscape of multivariate time series forecasting, achieving both accuracy and interpretability remains a significant challenge. This paper introduces the Fuzzy Transformer (Fuzzformer), a novel recurrent neural network…

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.…

This paper models stochastic process of price time series of CSI 300 index in Chinese financial market, analyzes volatility characteristics of intraday high-frequency price data. In the new generalized Barndorff-Nielsen and Shephard model,…

This study presents a three-step machine learning framework to predict bubbles in the S&P 500 stock market by combining financial news sentiment with macroeconomic indicators. Building on traditional econometric approaches, the proposed…

We propose a unified multi-tasking framework to represent the complex and uncertain causal process of financial market dynamics, and then to predict the movement of any type of index with an application on the monthly direction 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…

The use of intelligent systems for stock market predictions has been widely established. In this paper, we investigate how the seemingly chaotic behavior of stock markets could be well represented using several connectionist paradigms and…

We introduce a variant of the Barndorff-Nielsen and Shephard stochastic volatility model where the non Gaussian Ornstein-Uhlenbeck process describes some measure of trading intensity like trading volume or number of trades instead of…

This paper is about predicting the movement of stock consist of S&P 500 index. Historically there are many approaches have been tried using various methods to predict the stock movement and being used in the market currently for algorithm…

Stock price forecasting is an important issue for investors since extreme accuracy in forecasting can bring about high profits. Fuzzy Time Series (FTS) and Longest Common/Repeated Sub-sequence (LCS/LRS) are two important issues for…

The performance of financial market prediction systems depends heavily on the quality of features it is using. While researchers have used various techniques for enhancing the stock specific features, less attention has been paid to…

As the number of publicly traded companies as well as the amount of their financial data grows rapidly, it is highly desired to have tracking, analysis, and eventually stock selections automated. There have been few works focusing on…

Forecasting financial time series is considered to be a difficult task due to the chaotic feature of the series. Statistical approaches have shown solid results in some specific problems such as predicting market direction and single-price…