Stock market trend prediction using a functional time series approach

DOI10.1080/14697688.2019.1651452zbMATH Open1431.91380OpenAlexW2969723604MaRDI QIDQ5215439FDOQ5215439

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

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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)

Cites Work

• Functional data analysis.
• A practical guide to splines.
• Linear processes in function spaces. Theory and applications
• Title not available (Why is that?)
• An algorithm for information structuring and retrieval
• A stochastic model for order book dynamics
• Autoregressive forecasting of some functional climatic variations
• Convolutional autoregressive models for functional time series
• Latency and liquidity provision in a limit order book
• Investors' interacting demand and supply curves for common stocks
• Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics

Cited In (3)

• Title not available (Why is that?)
• 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

Uses Software

• fda (R)
• XGBoost

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