相关论文: Forecasting Crude Oil Price Using Event Extraction

Macroeconomic variables are known to significantly impact equity markets, but their predictive power for price fluctuations has been underexplored due to challenges such as infrequency and variability in timing of announcements, changing…

In this paper, we seek to improve the faithfulness of TempRel extraction models from two perspectives. The first perspective is to extract genuinely based on contextual description. To achieve this, we propose to conduct counterfactual…

Carbon futures has recently emerged as a novel financial asset in the trading markets such as the European Union and China. Monitoring the trend of the carbon price has become critical for both national policy-making as well as industrial…

This study focuses on the application of the Heston model to option pricing, employing both theoretical derivations and empirical validations. The Heston model, known for its ability to incorporate stochastic volatility, is derived and…

Stock market prediction is one of the most attractive research topic since the successful prediction on the market's future movement leads to significant profit. Traditional short term stock market predictions are usually based on the…

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 article, we analyze two modeling approaches for the pricing of derivative contracts on a commodity index. The first one is a microscopic approach, where the components of the index are modeled individually, and the index price is…

Stock price prediction is challenging due to market volatility and its sensitivity to real-time events. While large language models (LLMs) offer new avenues for text-based forecasting, their application in finance is hindered by noisy news…

Stock market forecasting is very important in the planning of business activities. Stock price prediction has attracted many researchers in multiple disciplines including computer science, statistics, economics, finance, and operations…

The smart grid vision entails advanced information technology and data analytics to enhance the efficiency, sustainability, and economics of the power grid infrastructure. Aligned to this end, modern statistical learning tools are leveraged…

Script event prediction requires a model to predict the subsequent event given an existing event context. Previous models based on event pairs or event chains cannot make full use of dense event connections, which may limit their capability…

Several studies have shown that deep learning models can provide more accurate volatility forecasts than the traditional methods used within this domain. This paper presents a composite model that merges a deep learning approach with…

One important effect of price shocks in the United States has been increased political attention paid to the structure and performance of oil and natural gas markets, along with some governmental support for energy conservation. This paper…

Environmental, social and governance (ESG) engagement of companies moved into the focus of public attention over recent years. With the requirements of compulsory reporting being implemented and investors incorporating sustainability in…

We present a stochastic local volatility model for derivative contracts on commodity futures. The aim of the model is to be able to recover the prices of derivative claims both on futures contracts and on indices on futures strategies.…

In this paper, we extend financial sentiment analysis~(FSA) to event-level since events usually serve as the subject of the sentiment in financial text. Though extracting events from the financial text may be conducive to accurate sentiment…

Accurate and efficient imbalance electricity price forecasting is critical for industrial energy trading systems, especially as battery assets and automated bidding pipelines increasingly participate in balancing markets. However, real-time…

We outline initial concepts for an immune inspired algorithm to evaluate and predict oil price time series data. The proposed solution evolves a short term pool of trackers dynamically, with each member attempting to map trends and…

Prediction of stock prices plays a significant role in aiding the decision-making of investors. Considering its importance, a growing literature has emerged trying to forecast stock prices with improved accuracy. In this study, we introduce…

Pricing decisions of companies require an understanding of the causal effect of a price change on the demand. When real-life pricing experiments are infeasible, data-driven decision-making must be based on alternative data sources such as…