相关论文: Analysis of Binarized High Frequency Financial Dat…

The Efficient Market Hypothesis (EMH) is widely accepted to hold true under certain assumptions. One of its implications is that the prediction of stock prices at least in the short run cannot outperform the random walk model. Yet, recently…

In this paper we present a brief overview of population synthesis methods with a discussion of their main advantages and disadvantages. In the second part, we present some recent results from synthesis models of close binary compact objects…

This paper discusses and analyzes various models of binary correlated sources, which may be relevant in several distributed communication scenarios. These models are statistically characterized in terms of joint Probability Mass Function…

We pose the estimation and predictability of stock market performance. Three cases are taken: US, Japan, Germany, the monthly index of the value of realized investment in stocks, prices plus the value of dividend payments (OECD data). Once…

In high frequency financial data not only returns but also waiting times between trades are random variables. In this work, we analyze the spectra of the waiting-time processes for tick-by-tick trades. The numerical problem, strictly…

The increasing availability of "big" (large volume) social media data has motivated a great deal of research in applying sentiment analysis to predict the movement of prices within financial markets. Previous work in this field investigates…

The dynamics of complex systems, from financial markets to the brain, can be monitored in terms of multiple time series of activity of the constituent units, such as stocks or neurons respectively. While the main focus of time series…

Let n denote the number of variables and m the number of equations in a sparse polynomial system over the binary field. We study the inconsistency probability of randomly generated sparse polynomial systems over the binary field, where each…

This article constructs a fractal interpolation function, also referred to as $\alpha$-fractal function, using Suzuki-type generalized $\varphi$-contraction mappings (STGPC). The STGPC is a generalization of $\varphi$-contraction mappings.…

Found in varied contexts from neurons to ants to fish, binary decision-making is one of the simplest forms of collective computation. In this process, information collected by individuals about an uncertain environment is accumulated to…

We consider the problem of efficient financial surveillance aimed at "on-the-go" detection of structural breaks (anomalies) in "live"-monitored financial time series. With the problem approached statistically, viz. as that of multi-cyclic…

Suppose Alice and Bob receive strings $X=(X_1,...,X_n)$ and $Y=(Y_1,...,Y_n)$ each uniformly random in $[s]^n$ but so that $X$ and $Y$ are correlated . For each symbol $i$, we have that $Y_i = X_i$ with probability $1-\eps$ and otherwise…

This paper explores neural network-based approaches for algorithmic trading in cryptocurrency markets. Our approach combines multi-timeframe trend analysis with high-frequency direction prediction networks, achieving positive risk-adjusted…

We study the stochastic structure of cryptocurrency rates of returns as compared to stock returns by focusing on the associated cross-sectional distributions. We build two datasets. The first comprises forty-six major cryptocurrencies, and…

Technical trading rules and linear regressive models are often used by practitioners to find trends in financial data. However, these models are unsuited to find non-linearly separable patterns. We propose a decision tree forecasting model…

Market events such as order placement and order cancellation are examples of the complex and substantial flow of data that surrounds a modern financial engineer. New mathematical techniques, developed to describe the interactions of complex…

Thanks to the high potential for profit, trading has become increasingly attractive to investors as the cryptocurrency and stock markets rapidly expand. However, because financial markets are intricate and dynamic, accurately predicting…

The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…

The binary information collects all those events that may or may not occur. With this kind of variables, a large amount of information can be captured, in particular, about financial assets and their future trends. In our paper, we assume…

The multifractal spectra of daily foreign exchange rates for US dollar (USD), the British Pound (GBP), the Euro (Euro) and the Japanese Yen (Yen) with respect to the Indian Rupee are analysed for the period 6th January 1999 to 24th July…