On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,657 papers · 148 categories

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3 results for “GARMA”

A Dual Generalized Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimateq-fin.ST

Dual model predicts electricity spot prices using neural networks and wavelets.

problem Forecasting hourly electricity spot prices.

method Dual generalized long memory modelling with k-factor GARMA and G-GARCH models, using LLWNN and PSO for variance prediction.

result The hybrid k-factor GARMA-LLWNN model outperforms other methods in forecasting accuracy.

electricity spot price forecasting neural networks wavelets G-GARCH

2022-04-18abs ↗pdf ↗

Modelling risk for commodities in Brazil: An application to live cattle spot and futures pricesq-fin.ST

Study models live cattle futures prices in Brazil.

problem Estimate futures prices for better risk management.

method Holt-Winters, ARIMA, GARMA models.

result GARMA(2,1) model best predicts BGI prices.

Brazil cattle futures risk modelling Holt-Winters ARIMA

2021-07-15abs ↗pdf ↗

Predictive Accuracy of a Hybrid Generalized Long Memory Model for Short Term Electricity Price Forecastingcs.LG

Study improves electricity price forecasting accuracy using a hybrid model.

problem Accurate short-term electricity price forecasting is challenging due to social and natural factors.

method Hybrid model combining GARMA, G-GARCH, Wavelet, LLWNN, and optimization algorithms.

result The hybrid model outperforms other models in Nord Pool Electricity markets.

electricity price forecasting hybrid model GARMA G-GARCH Wavelet decomposition

2022-04-18abs ↗pdf ↗