相关论文: Novel Modelling Strategies for High-frequency Stoc…

With the widespread engineering applications ranging from artificial intelligence and big data decision-making, originally a lot of tedious financial data processing, processing and analysis have become more and more convenient and…

The task of predicting future stock values has always been one that is heavily desired albeit very difficult. This difficulty arises from stocks with non-stationary behavior, and without any explicit form. Hence, predictions are best made…

We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by a discrete time homogeneous semi-Markov which depends also…

Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (2008). The required high-dimensional…

Data Mining is being actively applied to stock market since 1980s. It has been used to predict stock prices, stock indexes, for portfolio management, trend detection and for developing recommender systems. The various algorithms which have…

The paper focuses on predicting the Nifty 50 Index by using 8 Supervised Machine Learning Models. The techniques used for empirical study are Adaptive Boost (AdaBoost), k-Nearest Neighbors (kNN), Linear Regression (LR), Artificial Neural…

To reject the Efficient Market Hypothesis a set of 5 technical indicators and 23 fundamental indicators was identified to establish the possibility of generating excess returns on the stock market. Leveraging these data points and various…

In order to make good investment decisions, it is vitally important for an investor to know how to make good analysis of financial time series. Within this context, studies on the forecast of the values and trends of stock prices have…

In recent years, machine learning and deep learning have become popular methods for financial data analysis, including financial textual data, numerical data, and graphical data. This paper proposes to use sentiment analysis to extract…

Recent developments in deep learning techniques have motivated intensive research in machine learning-aided stock trading strategies. However, since the financial market has a highly non-stationary nature hindering the application of…

Financial trading is at the forefront of time-series analysis, and has grown hand-in-hand with it. The advent of electronic trading has allowed complex machine learning solutions to enter the field of financial trading. Financial markets…

The decisions traders make to buy or sell an asset depend on various analyses, with expertise required to identify patterns that can be exploited for profit. In this paper we identify novel features extracted from emergent and…

This paper explores the effectiveness of high-frequency options trading strategies enhanced by advanced portfolio optimization techniques, investigating their ability to consistently generate positive returns compared to traditional long or…

Stock recommendation is vital to investment companies and investors. However, no single stock selection strategy will always win while analysts may not have enough time to check all S&P 500 stocks (the Standard & Poor's 500). In this paper,…

This paper proposes a novel stock selection strategy framework based on combined machine learning algorithms. Two types of weighting methods for three representative machine learning algorithms are developed to predict the returns of the…

Efficient Market Hypothesis is the popular theory about stock prediction. With its failure much research has been carried in the area of prediction of stocks. This project is about taking non quantifiable data such as financial news…

In an era where financial markets are heavily influenced by many static and dynamic factors, it has become increasingly critical to carefully integrate diverse data sources with machine learning for accurate stock price prediction. This…

Designing robust frameworks for precise prediction of future prices of stocks has always been considered a very challenging research problem. The advocates of the classical efficient market hypothesis affirm that it is impossible to…

High-frequency trading (HFT) accounts for almost half of equity trading volume, yet it is not identified in public data. We develop novel data-driven measures of HFT activity that separate strategies that supply and demand liquidity. We…

The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the scientific production in this field, we still cannot find a…