相关论文: Multivariate Financial Forecasting using the Chron…

This article investigates the use of Machine Learning and Deep Learning models in multivariate time series analysis within financial markets. It compares small and big data approaches, focusing on their distinct challenges and the benefits…

Neural networks have revolutionized many empirical fields, yet their application to financial time series forecasting remains controversial. In this study, we demonstrate that the conventional practice of estimating models locally in…

Modeling car-following behavior is essential for traffic simulation, analyzing driving patterns, and understanding complex traffic flows with varying levels of autonomous vehicles. Traditional models like the Safe Distance Model and…

Financial time series forecasting is central to trading, portfolio optimization, and risk management, yet it remains challenging due to noisy, non-stationary, and heterogeneous data. Recent advances in time series foundation models (TSFMs),…

In multivariate time series forecasting, the Transformer architecture encounters two significant challenges: effectively mining features from historical sequences and avoiding overfitting during the learning of temporal dependencies. To…

The multivariate time series forecasting has attracted more and more attention because of its vital role in different fields in the real world, such as finance, traffic, and weather. In recent years, many research efforts have been proposed…

Forecasting agricultural markets remains challenging due to nonlinear dynamics, structural breaks, and sparse data. A long-standing belief holds that simple time-series methods outperform more advanced alternatives. This paper provides the…

Multivariate time series forecasting is widely used in various fields. Reasonable prediction results can assist people in planning and decision-making, generate benefits and avoid risks. Normally, there are two characteristics of time…

In the data-rich environment, using many economic predictors to forecast a few key variables has become a new trend in econometrics. The commonly used approach is factor augment (FA) approach. In this paper, we pursue another direction,…

Accurate volatility forecasts are vital in modern finance for risk management, portfolio allocation, and strategic decision-making. However, existing methods face key limitations. Fully multivariate models, while comprehensive, are…

Time series foundation models excel at diverse time series forecasting tasks, but their capacity for continuous improvement through incremental learning remains unexplored. We present the first comprehensive study investigating these…

Multivariate time series forecasting has long received significant attention in real-world applications, such as energy consumption and traffic prediction. While recent methods demonstrate good forecasting abilities, they have three…

Time series forecasting is essential for operational intelligence in the hospitality industry, and particularly challenging in large-scale, distributed systems. This study evaluates the performance of statistical, machine learning (ML),…

Large time series foundation models often adopt channel-independent architectures to handle varying data dimensions, but this design ignores crucial cross-channel dependencies. Concurrently, existing multimodal approaches have not fully…

This study investigates zero-shot forecasting capabilities of Time Series Foundation Models (TSFMs) for macroeconomic indicators. We apply TSFMs to forecasting economic indicators under univariate conditions, bypassing the need for train…

We employ model predictive control for a multi-period portfolio optimization problem. In addition to the mean-variance objective, we construct a portfolio whose allocation is given by model predictive control with a risk-parity objective,…

One of the most important studies in finance is to find out whether stock returns could be predicted. This research aims to create a new multivariate model, which includes dividend yield, earnings-to-price ratio, book-to-market ratio as…

In this paper we survey the most recent advances in supervised machine learning and high-dimensional models for time series forecasting. We consider both linear and nonlinear alternatives. Among the linear methods we pay special attention…

A systematic comparison of Chronos, a transformer-based time series forecasting framework, against traditional approaches including ARIMA and Prophet. We evaluate these models across multiple time horizons and user categories, with a focus…

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.…