相关论文: Tokenizing Stock Prices for Enhanced Multi-Step Fo…

Technical analysis in finance, which aims at forecasting price movements in the future by analyzing past market data, relies on the insights that can be gained from the interpretation of stock charts; therefore, non-expert investors could…

A novel forecast combination and weighted quantile based tail-risk forecasting framework is proposed, aiming to reduce the impact of modelling uncertainty in tail-risk forecasting. The proposed approach is based on a two-step estimation…

This paper presents a framework of imitating the principal investor's behavior for optimal pricing and hedging options. We construct a non-deterministic Markov decision process for modeling stock price change driven by the principal…

This paper introduces a novel methodology for index return forecasting, blending highly correlated stock prices, advanced deep learning techniques, and intricate factor integration. Departing from conventional cap-weighted approaches, our…

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.…

Accurate forecasting of multivariate time series remains challenging due to the need to capture both short-term fluctuations and long-range temporal dependencies. Transformer-based models have emerged as a powerful approach, but their…

Financial markets have a vital role in the development of modern society. They allow the deployment of economic resources. Changes in stock prices reflect changes in the market. In this study, we focus on predicting stock prices by deep…

Multi-stage stochastic optimization lies at the core of decision-making under uncertainty. As the analytical solution is available only in exceptional cases, dynamic optimization aims to efficiently find approximations but often neglects…

Tokenization is a foundational step in natural language processing (NLP) tasks, bridging raw text and language models. Existing tokenization approaches like Byte-Pair Encoding (BPE) originate from the field of data compression, and it has…

Probabilistic forecasting of high dimensional multivariate time series is a notoriously challenging task, both in terms of computational burden and distribution modeling. Most previous work either makes simple distribution assumptions or…

A surprising image of the stock market arises if the price time series of all Dow Jones Industrial Average stock components are represented in one chart at once. The chart evolves into a braid representation of the stock market by taking…

Building predictive models for robust and accurate prediction of stock prices and stock price movement is a challenging research problem to solve. The well-known efficient market hypothesis believes in the impossibility of accurate…

Multistage stochastic programming provides a modeling framework for sequential decision-making problems that involve uncertainty. One typically overlooked aspect of this methodology is how uncertainty is incorporated into modeling.…

A key aspect of temporal domains is the ability to make predictions multiple time steps into the future, a process known as multi-step forecasting (MSF). At the core of this process is selecting a forecasting strategy, however, with no…

This paper proposes a new sampling-based nonlinear model predictive control (MPC) algorithm, with a bound on complexity quadratic in the prediction horizon N and linear in the number of samples. The idea of the proposed algorithm is to use…

Multi-step-ahead forecasts are often updated as new observations become available, since shorter forecast horizons typically improve forecast quality. However, such improvements come at the cost of forecast instability, i.e., variability in…

Forecasting stock returns is a challenging problem due to the highly stochastic nature of the market and the vast array of factors and events that can influence trading volume and prices. Nevertheless it has proven to be an attractive…

Fluctuations in stock prices are influenced by a complex interplay of factors that go beyond mere historical data. These factors, themselves influenced by external forces, encompass inter-stock dynamics, broader economic factors, various…

Time series models, typically trained on numerical data, are designed to forecast future values. These models often rely on weighted averaging techniques over time intervals. However, real-world time series data is seldom isolated and is…

Time series forecasting is important in many fields that require accurate predictions for decision-making. Patching techniques, commonly used and effective in time series modeling, help capture temporal dependencies by dividing the data…