CVAE improves stock volume forecasting with advanced input variables.
problem Improving accuracy of daily stock volume forecasts.
method Conditional Variational Auto-Encoder (CVAE) with advanced input variables.
result CVAE generates non-linear forecasts with better accuracy and correlation to actual data.
Stacked LSTM networks improve traffic volume forecasting.
problem Accurate traffic volume prediction for better planning.
method Applying stacked Long Short-Term Memory (LSTM) networks for time series forecasting.
result Stacked LSTM networks enhance the accuracy of traffic volume predictions.
Study predicts intraday stock trading volume using ML models.
problem Predicting intraday trading volumes in equity markets.
method Used machine learning models with HF predictors.
result Intraday stock trading volume is highly predictable.
Temporal mixture ensemble predicts cryptocurrency exchange volumes better than traditional methods.
problem Intraday volume forecasting in cryptocurrency markets.
method Temporal mixture ensemble model using transaction and order book data.
result The model outperforms traditional time series and machine learning methods.
The paper sets limits on the accuracy of macroeconomic forecasts based on statistical moments and trade volumes.
problem Uncertainty in predicting macroeconomic variables like prices and returns.
method Defines theoretical lower bounds of uncertainty and upper limits on forecast accuracy based on statistical moments and trade volumes.
result Accuracy of forecasts of probabilities of macroeconomic variables doesn't exceed Gaussian approximations.
Paper uses Transformers to predict intraday volume ratio with high accuracy.
problem Accurate prediction of intraday volume ratio for VWAP strategies.
method Transformer architecture with log-normal transformation and external features.
result Probabilistic forecasting captures mean and standard deviation of volume ratios.
Intense volatility in financial markets affect humans worldwide. Therefore, relatively accurate prediction of volatility is critical. We suggest that massive data sources resulting from human interaction with the Internet may offer a new perspective on the behavior of market participants in periods of large market move…
A novel probabilistic approach forecasts imbalance prices in Belgium.
problem Forecasting imbalance prices in short-term energy markets.
method Two-step approach: compute net regulation volume state transition probabilities, then infer imbalance prices.
result The probabilistic approach outperforms deterministic and Gaussian Process models.
Proposes a graph neural network for traffic forecasting in WANs.
problem Traffic forecasting challenges in WANs due to dynamic and large data volumes.
method Dynamic diffusion convolutional recurrent neural networks for multistep traffic forecasting.
result Significant improvements in forecasting accuracy compared to classical methods.
Market-based asset price probability depends on trade volumes and values, improving forecasts and reliability.
problem Limited accuracy of frequency-based asset price statistical moments.
method Derive market-based variance and 3rd statistical moment from trade values and volumes, accounting for trade volume randomness.
result Market-based statistical moments improve price probability forecasts and reliability.
Improved weather forecasting using deep CNN on cubed-sphere grid.
problem Global weather prediction accuracy and speed.
method Deep convolutional neural network (CNN) on cubed-sphere grid, offline mapping, loss minimization.
result Significantly improved weather forecasts, indefinitely stable, realistic patterns at long lead times.
Study improves crash rate forecasting in Washington, D.C. using stochastic volatility model.
problem Forecasting crash rates in areas with irregular traffic patterns and exogenous events.
method Adopted a stochastic volatility model to capture heterogeneity and temporal instability.
result The stochastic volatility model outperforms conventional models in forecasting crash rates in Washington, D.C.
Deep learning models predict call center volumes with seasonal patterns.
problem Forecasting call center volumes with complex seasonal behavior.
method Investigated recurrent neural networks (RNNs) including Elman, LSTM, and GRU models.
result Optimal RNN configurations outperform other forecasting techniques.
H-STGCN predicts traffic using navigation data and improves accuracy.
problem Limited accuracy in traffic forecasting due to lack of contextual information.
method Proposes H-STGCN, a hybrid spatio-temporal graph convolutional network.
result H-STGCN outperforms state-of-the-art methods in various metrics, especially for non-recurring congestion.
A new framework detects forecast model inadequacies using online monitoring of forecast errors.
problem Inaccurate forecasts lead to poor decision-making in complex models.
method Sequential changepoint techniques on forecast errors for real-time identification of process changes.
result The framework identifies shifts in forecast errors faster than in the original models, indicating process changes.
Time series forecasting has gained lots of attention recently; this is because many real-world phenomena can be modeled as time series. The massive volume of data and recent advancements in the processing power of the computers enable researchers to develop more sophisticated machine learning algorithms such as neural …
Study develops advanced models to forecast complex LOB data.
problem Forecasting high-frequency data in a limit order book (LOB).
method Advanced multidimensional sequence-to-sequence models with compound multivariate embedding.
result Method outperforms other multivariate forecasting methods, achieving lowest forecasting error.
Generative model improves intraday electricity price forecasting.
problem Intraday electricity price forecasting for improved trading strategies.
method Generative neural network model for probabilistic path forecasts.
result Generative model leads to higher profit gains than benchmark methods.
This paper studies how to forecast daily closing price series of Bitcoin, using data on prices and volumes of prior days. Bitcoin price behaviour is still largely unexplored, presenting new opportunities. We compared our results with two modern works on Bitcoin prices forecasting and with a well-known recent paper that…
Introduces a new price measure and a second-order economic theory for volatility forecasting.
problem Forecasting price volatility in financial markets.
method Develops a new price measure and a second-order economic theory to model price volatility.
result Shows that second-order economic theory improves forecasting of price volatility.
The paper derives market-based correlations between asset prices and returns.
problem Market assumptions of constant trade volumes and past values are inaccurate.
method Derives expressions of correlations based on statistical moments and trade volumes.
result Market-based correlations are essential for traders, banks, and funds.
Paper uses evidence theory to improve stock price forecasting accuracy.
problem Inaccurate stock price predictions due to time series limitations.
method Applies evidence theory's confidence functions and Dempster combination rule to stock price forecasting.
result Improved accuracy in stock price predictions compared to classic methods.
ForecastQA creates a new QA task for event forecasting from text data.
problem Forecasting future events from unstructured text data.
method Formulated a restricted-domain, multiple-choice QA task for event forecasting.
result Best model achieves 60.1% accuracy, lagging behind human performance by about 19%
Proposes a network framework for forecasting futures with different expirations.
problem Forecasting E-mini S\&P 500 and CBOE Volatility Index futures with different expirations.
method A novel data-driven network framework using GCN-LSTM, visualizing correlation structures, and enhancing LSTM's predictive power.
result Enhanced predictive power of future forecasts through a multi-channel Graph Convolutional Network.
The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability periods. In the case of asset prices, such scaling behaviour can be used for risk…
Faced with the growing research towards crude oil price fluctuations influential factors following the accelerated development of Internet technology, accessible data such as Google search volume index are increasingly quantified and incorporated into forecasting approaches. In this paper, we apply multi-scale data tha…
We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique process the duration of the transaction and the corresponding volume of orders. The model is motivated by the fact that the "excitation" of …
Study of the forecasting models using large scale microblog discussions and the search behavior data can provide a good insight for better understanding the market movements. In this work we collected a dataset of 2 million tweets and search volume index (SVI from Google) for a period of June 2010 to September 2011. We…
Kernel analog forecasting studied for multiscale systems.
problem Interpreting data-driven predictions in multiscale dynamical systems.
method Kernel analog forecasting methods applied to multiscale systems with varying Markovian closures.
result Guidance provided for interpreting data-driven predictions in practice.
The study challenges the reliability of VaR due to market randomness.
problem Reliability and accuracy of VaR predictions are compromised by market randomness.
method Introduces market-based probabilities of price and return, dependent on trade values and volumes.
result Market-based price volatility is more accurate than frequency-based VaR predictions.
Deep learning models improve financial price forecasting accuracy.
problem Accurately predicting financial time series prices.
method Review of recent advancements in deep learning models for price forecasting.
result Deep learning models outperform traditional methods in financial price forecasting.
Improved GAS models using trees and forests for better forecasts.
problem Improving forecasts from GAS models to avoid curse of dimensionality.
method Localized parameters using decision trees and random forests.
result Significantly outperform baseline GAS model in empirical analyses.
The paper examines how market trade values and volumes affect price autocorrelation.
problem Understanding the impact of market trade values and volumes on price autocorrelation.
method Derives the dependence of price statistical moments and volatility on trade values and volumes, and assesses statistical moments and correlations by conventional frequency-based probabilities.
result Highlights the impact of market trade randomness on price statistical moments and autocorrelation.
DiffVolume generates realistic volume snapshots for LOBs.
problem Generating high-dimensional volume snapshots in LOBs is challenging.
method Conditional Diffusion model for volume generation.
result DiffVolume outperforms in realism, counterfactual generation, and downstream prediction.
Neural Lévy model improves risk and density forecasting for financial returns.
problem Financial returns exhibit heavy tails, volatility clustering, and jumps.
method Proposes a neural Lévy jump-diffusion framework that learns conditional drift, diffusion, jump intensity, and size distribution.
result Demonstrates improved calibration, sharper tail control, and risk reduction.
MEM models improve volatility forecasting in financial markets.
problem Improving volatility forecasting in financial markets.
method Multiplicative Error Model (MEM) framework for positive-valued time series.
result MEMs parsimoniously produce good forecasts of asset returns.
Designing efficient and robust algorithms for accurate prediction of stock market prices is one of the most exciting challenges in the field of time series analysis and forecasting. With the exponential rate of development and evolution of sophisticated algorithms and with the availability of fast computing platforms, …
Improved crude oil price forecasting using multi-dimensional LLM sentiment signals.
problem Challenges in predicting crude oil prices due to unstructured news.
method Extracted five sentiment dimensions from GPT-4o, Llama 3.2-3b, and FinBERT models on energy-sector news articles.
result Combining GPT-4o and FinBERT yields the best predictive performance for weekly WTI crude oil futures returns.
Study uses deep learning to predict stock trends with superior performance.
problem Predicting short-term equity trends with high accuracy.
method Dual-task multilayer perceptron (MLP) integrating technical signals and deep learning.
result Deep learning model outperforms linear baselines in multi-factor stock selection.
Carbon capture and storage (CCS) can aid decarbonization of the atmosphere to limit further global temperature increases. A framework utilizing unsupervised learning is used to generate a range of subsurface geologic volumes to investigate potential sites for long-term storage of carbon dioxide. Generative adversarial …
The paper modifies asset pricing models using Taylor series expansions and market-based averages.
problem Improving asset pricing models to better reflect market dynamics.
method Derives new pricing equations using Taylor series expansions and market-based averages.
result New expressions for asset prices and volatilities derived from market data.
A new distillation framework predicts stock trading volumes more accurately with less model size.
problem Predicting stock trading volumes using regression models without class correlations.
method Transformed regression model into a probabilistic forecasting model, matching distributions and correlational relationships.
result Framework achieves superior prediction accuracy with significantly smaller model size.
This paper forecasts cryptocurrency log-returns using LASSO-VAR and sentiment analysis.
problem Forecasting log-returns of cryptocurrencies using social media sentiment.
method LASSO-VAR model combined with Twitter and Reddit sentiment data.
result The model predicts the correct direction of cryptocurrency returns more than 50% of the time.
The paper models intraday power prices using fundamental drivers.
problem Lack of research on drivers for intraday price processes.
method Modelling location, shape, and scale of intraday price distribution using fundamental variables.
result Significant improvements in probabilistic forecasting performance, especially in tails.
Accurate forecasts of electricity spot prices are essential to the daily operational and planning decisions made by power producers and distributors. Typically, point forecasts of these quantities suffice, particularly in the Nord Pool market where the large quantity of hydro power leads to price stability. However, wh…
Proposes a Structural Matrix Autoregressive model for joint analysis of asset returns, realized volatility, and trading volume.
problem Joint analysis of asset returns, realized volatility, and trading volume
method Structural Matrix Autoregressive model
result Volatility is primary driver of trading activity, with informational shocks incorporated through price variability.
Study improves carbon price forecasting using quantile regression and feature selection.
problem Accurately predicting carbon prices influenced by geopolitical, social, and economic factors.
method Collect and analyze various influencing factors, select significant features, and use Sparse Quantile Group Lasso and Adaptive Sparse Quantile Group Lasso for robust predictions.
result Proposed methods outperform existing ones and provide a complete profile of future carbon prices.
Study improves cryptocurrency volatility forecasting using multiple data sources.
problem Improving accuracy of predicting cryptocurrency volatility.
method Developed CoMForE, a multimodal AdaBoost-LSTM ensemble model.
result Significantly improved cryptocurrency volatility forecasting (19.29% improvement).