Stock market trend prediction using a functional time series approach

DOI10.1080/14697688.2019.1651452MaRDI QIDQ5215439zbMATHOpenAlexFDO

Authors Shih-Feng Huang, May-Ru Chen, Meihui Guo

Publication date 10 February 2020

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2019.1651452

zbMATH Keywords

vector autoregressive modelB-splinemulti-resolutionarea under curvefunctional autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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Cites work

• scientific article; zbMATH DE number 3797051 (Why is no real title available?)
• A practical guide to splines.
• A stochastic model for order book dynamics
• An algorithm for information structuring and retrieval
• Autoregressive forecasting of some functional climatic variations
• Convolutional autoregressive models for functional time series
• Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics
• Functional data analysis.
• Investors' interacting demand and supply curves for common stocks
• Latency and liquidity provision in a limit order book
• Linear processes in function spaces. Theory and applications

Cited in

(3)

• Stock market prediction based on adaptive training algorithm in machine learning
• Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces
• scientific article; zbMATH DE number 7029041 (Why is no real title available?)

Describes a project that uses

Uses Software

• fda (R)
• XGBoost

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