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Abdellilah Nafia, Abdellah Yousfi and Abdellah Echaoui
In recent years, a great deal of attention has been devoted to the use of neural networks in portfolio management, particularly in the prediction of stock prices. Building a more profitable portfolio with less risk has always been a challenging task. In ...
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Yuefeng Cen, Mingxing Luo, Gang Cen, Cheng Zhao and Zhigang Cheng
It is meaningful to analyze the market correlations for stock selection in the field of financial investment. Since it is difficult for existing deep clustering methods to mine the complex and nonlinear features contained in financial time series, in ord...
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Onur Gozbasi,Buket Altinoz,Eyup Ensar Sahin
Pág. 35 - 40
Bitcoin and other digital currencies are financial assets with high volatility, which calls for an investigation of the factors that influence their prices and thus has led to a debate on whether they are reliable investment instruments or diversificatio...
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Nikoletta Poutachidou and Stephanos Papadamou
The purpose of this study is to investigate the fluctuations that occur in stock returns of US stock indices when there is an increase in the volume of Google internet searches for the phrase ?quantitative easing? in the US. The exponential generalized a...
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Monica Defend, Aleksey Min, Lorenzo Portelli, Franz Ramsauer, Francesco Sandrini and Rudi Zagst
This article considers the estimation of Approximate Dynamic Factor Models with homoscedastic, cross-sectionally correlated errors for incomplete panel data. In contrast to existing estimation approaches, the presented estimation method comprises two exp...
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Chia-Cheng Chen,Chun-Hung Chen,Ting-Yin Liu
Pág. 59 - 66
This study aims to explore the prediction of S&P 500 stock price movement and conduct an analysis of its investment performance. Based on the S&P 500 index, the study compares three machine learning models: ANN, SVM, and Random Forest. With a per...
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Johannes Stübinger and Katharina Adler
This paper develops the generalized causality algorithm and applies it to a multitude of data from the fields of economics and finance. Specifically, our parameter-free algorithm efficiently determines the optimal non-linear mapping and identifies varyin...
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David Suda and Luke Spiteri
We implement hidden Markov models (HMMs) and hidden semi-Markov models (HSMMs) on Bitcoin/US dollar (BTC/USD) with the aim of market phase detection. We make analogous comparisons to Standard and Poor?s 500 (S and P 500), a benchmark traditional stock in...
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Nicola Metzger and Vijay Shenai
The performance of hedge funds is of interest to investors looking for ways of generating value over passive strategies, particularly in bad times. This study used the Hedge Index database with over 9500 hedge funds to analyse, in depth, the performance ...
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