相关论文: Advancing Financial Risk Prediction Through Optimi…

In the context of time-series forecasting, we propose a LSTM-based recurrent neural network architecture and loss function that enhance the stability of the predictions. In particular, the loss function penalizes the model, not only on the…

This study evaluates deep neural networks for forecasting probability distributions of financial returns. 1D convolutional neural networks (CNN) and Long Short-Term Memory (LSTM) architectures are used to forecast parameters of three…

We compare traditional approach of computing logarithmic returns with the fractional differencing method and its tempered extension as methods of data preparation before their usage in advanced machine learning models. Differencing…

We analyse multimodal time-series data corresponding to weight, sleep and steps measurements. We focus on predicting whether a user will successfully achieve his/her weight objective. For this, we design several deep long short-term memory…

The application of deep learning models for stock price forecasting in emerging markets remains underexplored despite their potential to capture complex temporal dependencies. This study develops and evaluates a Long Short-Term Memory…

Spectral risk objectives - also called $L$-risks - allow for learning systems to interpolate between optimizing average-case performance (as in empirical risk minimization) and worst-case performance on a task. We develop stochastic…

This research systematically develops and evaluates various hybrid modeling approaches by combining traditional econometric models (ARIMA and ARFIMA models) with machine learning and deep learning techniques (SVM, XGBoost, and LSTM models)…

In this paper, a method of prediction on continuous time series variables from the production or flow -- an LSTM algorithm based on multivariate tuning -- is proposed. The algorithm improves the traditional LSTM algorithm and converts the…

Stock volatility prediction is an important task in the financial industry. Recent advancements in multimodal methodologies, which integrate both textual and auditory data, have demonstrated significant improvements in this domain, such as…

The financial domain presents a complex environment for stock market prediction, characterized by volatile patterns and the influence of multifaceted data sources. Traditional models have leveraged either Convolutional Neural Networks (CNN)…

Accurate prediction of future prices of stocks is a difficult task to perform. Even more challenging is to design an optimized portfolio of stocks with the identification of proper weights of allocation to achieve the optimized values of…

In the realm of cryptocurrency, the prediction of Bitcoin prices has garnered substantial attention due to its potential impact on financial markets and investment strategies. This paper propose a comparative study on hybrid machine…

This research provides an in-depth evaluation of various machine learning models for energy forecasting, focusing on the unique challenges of seasonal variations in student residential settings. The study assesses the performance of…

While time series momentum is a well-studied phenomenon in finance, common strategies require the explicit definition of both a trend estimator and a position sizing rule. In this paper, we introduce Deep Momentum Networks -- a hybrid…

This paper presents a novel study on harnessing Large Language Models' (LLMs) outstanding knowledge and reasoning abilities for explainable financial time series forecasting. The application of machine learning models to financial time…

For any financial organization, computing accurate quarterly forecasts for various products is one of the most critical operations. As the granularity at which forecasts are needed increases, traditional statistical time series models may…

Controller design faces a trade-off between robustness and performance, and the reliability of linear controllers has caused many practitioners to focus on the former. However, there is renewed interest in improving system performance to…

The need to recognise long-term dependencies in sequential data such as video streams has made Long Short-Term Memory (LSTM) networks a prominent Artificial Intelligence model for many emerging applications. However, the high computational…

The paper examines the performance of regression models (OLS linear regression, Ridge regression, Random Forest, and Fully-connected Neural Network) on the prediction of CMA (Conservative Minus Aggressive) factor premium and the performance…

Financial markets are an intriguing place that offer investors the potential to gain large profits if timed correctly. Unfortunately, the dynamic, non-linear nature of financial markets makes it extremely hard to predict future price…