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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 intricate behavior patterns of financial markets are influenced by fundamental, technical, and psychological factors. During times of high volatility and regime shifts causes many traditional strategies like trend-following or…

Clinical researchers often select among and evaluate risk prediction models using standard machine learning metrics based on confusion matrices. However, if these models are used to allocate interventions to patients, standard metrics…

Although machine learning approaches have been widely used in the field of finance, to very successful degrees, these approaches remain bespoke to specific investigations and opaque in terms of explainability, comparability, and…

We consider economic obstacles that limit the reliability and accuracy of value-at-risk (VaR). Investors who manage large market transactions should take into account the impact of the randomness of large trade volumes on predictions of…

Several novel statistical methods have been developed to estimate large integrated volatility matrices based on high-frequency financial data. To investigate their asymptotic behaviors, they require a sub-Gaussian or finite high-order…

Random features (RFs) are a popular technique to scale up kernel methods in machine learning, replacing exact kernel evaluations with stochastic Monte Carlo estimates. They underpin models as diverse as efficient transformers (by…

Random forests is a common non-parametric regression technique which performs well for mixed-type unordered data and irrelevant features, while being robust to monotonic variable transformations. Standard random forests, however, do not…

In this paper we describe three stochastic models based on a semi-Markov chains approach and its generalizations to study the high frequency price dynamics of traded stocks. The three models are: a simple semi-Markov chain model, an indexed…

Financial markets tend to switch between various market regimes over time, making stationarity-based models unsustainable. We construct a regime-switching model independent of asset classes for risk-adjusted return predictions based on…

Random Forests (RFs) are widely used Machine Learning models in low-power embedded devices, due to their hardware friendly operation and high accuracy on practically relevant tasks. The accuracy of a RF often increases with the number of…

In this paper, motivated by the celebrated work of Kelly, we consider the problem of portfolio weight selection to maximize expected logarithmic growth. Going beyond existing literature, our focal point here is the rebalancing frequency…

This vision paper demonstrates that it is crucial to consider Return-on-Investment (ROI) when performing Data Analytics. Decisions on "How much analytics is needed"? are hard to answer. ROI could guide for decision support on the What?,…

This work aims to analyse the predictability of price movements of cryptocurrencies on both hourly and daily data observed from January 2017 to January 2021, using deep learning algorithms. For our experiments, we used three sets of…

It is an important task to model realized volatilities for high-frequency data in finance and economics and, as arguably the most popular model, the heterogeneous autoregressive (HAR) model has dominated the applications in this area.…

This paper describes the dependence of market-based statistical moments of returns on statistical moments and correlations of the current and past trade values. We use Markowitz's definition of value weighted return of a portfolio as the…

Performative prediction is a framework accounting for the shift in the data distribution induced by the prediction of a model deployed in the real world. Ensuring rapid convergence to a stable solution where the data distribution remains…

In recent years, more and more investors use technical analysis methods in their own trading. Evaluating the effectiveness of technical analysis has become more feasible due to increasing computing capability and blooming public data, which…

Signal maps are essential for the planning and operation of cellular networks. However, the measurements needed to create such maps are expensive, often biased, not always reflecting the metrics of interest, and posing privacy risks. In…

Predicting trends in stock market prices has been an area of interest for researchers for many years due to its complex and dynamic nature. Intrinsic volatility in stock market across the globe makes the task of prediction challenging.…