11,229 research outputs found
ALERTA-Net: A Temporal Distance-Aware Recurrent Networks for Stock Movement and Volatility Prediction
For both investors and policymakers, forecasting the stock market is
essential as it serves as an indicator of economic well-being. To this end, we
harness the power of social media data, a rich source of public sentiment, to
enhance the accuracy of stock market predictions. Diverging from conventional
methods, we pioneer an approach that integrates sentiment analysis,
macroeconomic indicators, search engine data, and historical prices within a
multi-attention deep learning model, masterfully decoding the complex patterns
inherent in the data. We showcase the state-of-the-art performance of our
proposed model using a dataset, specifically curated by us, for predicting
stock market movements and volatility
Trade When Opportunity Comes: Price Movement Forecasting via Locality-Aware Attention and Iterative Refinement Labeling
Price movement forecasting aims at predicting the future trends of financial
assets based on the current market conditions and other relevant information.
Recently, machine learning(ML) methods have become increasingly popular and
achieved promising results for price movement forecasting in both academia and
industry. Most existing ML solutions formulate the forecasting problem as a
classification(to predict the direction) or a regression(to predict the return)
problem over the entire set of training data. However, due to the extremely low
signal-to-noise ratio and stochastic nature of financial data, good trading
opportunities are extremely scarce. As a result, without careful selection of
potentially profitable samples, such ML methods are prone to capture the
patterns of noises instead of real signals. To address this issue, we propose a
novel price movement forecasting framework, called Locality-Aware Attention and
Iterative Refinement Labeling(LARA), which consists of two main components:
1)Locality-aware attention automatically extracts the potentially profitable
samples by attending to surrounding class-aware label information. Moreover,
equipped with metric learning techniques, locality-aware attention enjoys
task-specific distance metrics and distributes attention on potentially
profitable samples in a more effective way. 2)Iterative refinement labeling
further iteratively refines the labels of noisy samples and then combines the
learned predictors to be robust to the unseen and noisy samples. In a number of
experiments on three real-world financial markets: ETFs, stocks, and
cryptocurrencies, LARA achieves superior performance compared with the
traditional time-series analysis methods and a set of machine learning based
competitors on the Qlib platform. Extensive ablation studies and experiments
also demonstrate that LARA indeed captures more reliable trading opportunities
Machine Learning Methods to Exploit the Predictive Power of Open, High, Low, Close (OHLC) Data
Novel machine learning techniques are developed for the prediction of financial markets, with a combination of supervised, unsupervised and Bayesian optimisation machine learning methods shown able to give a predictive power rarely previously observed. A new data mining technique named Deep Candlestick Mining (DCM) is proposed that is able to discover highly predictive dataset specific candlestick patterns (arrangements of open, high, low, close (OHLC) aggregated price data structures) which significantly outperform traditional candlestick patterns. The power that OHLC features can provide is further investigated, using LSTM RNNs and XGBoost trees, in the prediction of a mid-price directional change, defined here as the mid-point between either the open and close or high and low of an OHLC bar. This target variable has been overlooked in the literature, which is surprising given the relative ease of predicting it, significantly in excess of noisier financial quantities. However, the true value of this quantity is only known upon the period's ending – i.e. it is an after-the-fact observation. To make use of and enhance the remarkable predictability of the mid-price directional change, multi-period predictions are investigated by training
many LSTM RNNs (XGBoost trees being used to identify powerful OHLC input feature combinations), over different time horizons, to construct a Bayesian optimised trend prediction ensemble. This fusion of long-, medium- and short-term information results in a model capable of predicting market trend direction to greater than 70% better than random. A trading strategy is constructed to demonstrate how this predictive power can be used by exploiting an artefact of the LSTM RNN training process which allows the trading system to size and place trades in accordance with the ensemble's predictive certainty
Bollinger Bands Thirty Years Later
The goal of this study is to explain and examine the statistical
underpinnings of the Bollinger Band methodology. We start off by elucidating
the rolling regression time series model and deriving its explicit relationship
to Bollinger Bands. Next we illustrate the use of Bollinger Bands in pairs
trading and prove the existence of a specific return duration relationship in
Bollinger Band pairs trading.Then by viewing the Bollinger Band moving average
as an approximation to the random walk plus noise (RWPN) time series model, we
develop a pairs trading variant that we call "Fixed Forecast Maximum Duration'
Bands" (FFMDPT). Lastly, we conduct pairs trading simulations using SAP and
Nikkei index data in order to compare the performance of the variant with
Bollinger Bands
Developing trading strategies based on risk-analysis of stocks
Risk Management has always been of fundamental importance to financial
markets. The aim of all good trading strategies is based around minimising possible
risk and at the same time achieving most profit. A balance between these two
factors must be struck for different risk – profit profiles. In this paper we describe an
innovative way for visually quantifying risk, and we show how our method can be
used as a tool for developing trading strategies to help manage risk. We run our
algorithm on selected historical FTSE-100 stocks and pick some companies for a
more detailed study of trading strategies. The method shows considerable promise
for future research work
Design and Modeling of Stock Market Forecasting Using Hybrid Optimization Techniques
In this paper, an artificial neural network-based stock market prediction model was developed. Today, a lot of individuals are making predictions about the direction of the bond, currency, equity, and stock markets. Forecasting fluctuations in stock market values is quite difficult for businesspeople and industries. Forecasting future value changes on the stock markets is exceedingly difficult since there are so many different economic, political, and psychological factors at play. Stock market forecasting is also a difficult endeavour since it depends on so many various known and unknown variables. There are several ways used to try to anticipate the share price, including technical analysis, fundamental analysis, time series analysis, and statistical analysis; however, none of these approaches has been shown to be a consistently reliable prediction tool.
We built three alternative Adaptive Neuro-Fuzzy Inference System (ANFIS) models to compare the outcomes. The average of the tuned models is used to create an ensemble model. Although comparable applications have been attempted in the literature, the data set is extremely difficult to work with because it only contains sharp peaks and falls with no seasonality. In this study, fuzzy c-means clustering, subtractive clustering, and grid partitioning are all used. The experiments we ran were designed to assess the effectiveness of various construction techniques used to our ANFIS models. When evaluating the outcomes, the metrics of R-squared and mean standard error are mostly taken into consideration. In the experiments, R-squared values of over.90 are attained
Regulatory Cooperation and Foreign Portfolio Investment
We investigate the effect of cross-border regulatory cooperation on global mutual fund portfolio allocations, focusing on the Multilateral Memorandum of Understanding (MMoU), a non-binding information sharing arrangement between global securities regulators. Connections between the US Securities and Exchange Commission (SEC) and other foreign regulators increase the SEC’s ability to pursue US cross-listed firms. We find that foreign investment in US-cross- listed firms domiciled in the signatory country increases significantly relative to non-cross-listed firms from that country. We find the strongest effects of the MMoU for non-US investors trading on non-US exchanges, which suggests that there are significant spillover effects associated with regulatory cooperation. This increase in foreign investment is particularly pronounced for investors from geographically, linguistically, and culturally distant countries where information asymmetry is high, and also for dedicated investors who are more reliant on public information and oversight. Consistent with the increased US regulatory oversight driving the results, the increase in foreign investment is concentrated among US-cross-listed firms that are SEC registrants, firms from countries that had weak prior regulatory links to the US, and firms from investor countries that are closely aligned with the US.https://deepblue.lib.umich.edu/bitstream/2027.42/145440/1/1385_Omartian.pdfhttps://deepblue.lib.umich.edu/bitstream/2027.42/145440/4/1385_Omartian.pdfDescription of 1385_Omartian.pdf : Fixed cove
Modeling record-breaking stock prices
We study the statistics of record-breaking events in daily stock prices of
366 stocks from the Standard and Poors 500 stock index. Both the record events
in the daily stock prices themselves and the records in the daily returns are
discussed. In both cases we try to describe the record statistics of the stock
data with simple theoretical models. The daily returns are compared to i.i.d.
RV's and the stock prices are modeled using a biased random walk, for which the
record statistics are known. These models agree partly with the behavior of the
stock data, but we also identify several interesting deviations. Most
importantly, the number of records in the stocks appears to be systematically
decreased in comparison with the random walk model. Considering the
autoregressive AR(1) process, we can predict the record statistics of the daily
stock prices more accurately. We also compare the stock data with simulations
of the record statistics of the more complicated GARCH(1,1) model, which, in
combination with the AR(1) model, gives the best agreement with the
observational data. To better understand our findings, we discuss the survival
and first-passage times of stock prices on certain intervals and analyze the
correlations between the individual record events. After recapitulating some
recent results for the record statistics of ensembles of N stocks, we also
present some new observations for the weekly distributions of record events.Comment: 20 pages, 28 figure
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