Questions tagged [neural-networks]
The neural-networks tag has no usage guidance.
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Non-overlapping ranges of HCNN' observables and of state transition function
In the artcicle Forecasting and Trading the High-Low Range of Stocks and ETFs with Neural Networks HCNN is used for forecasting of nine time-series, namely:
returns of the lows
returns of the highs
...
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Sampling dollar bars for ML model of multiple tickers
I have a Neural Network model that provides predictions for the future returns of a portfolio comprising stocks and cryptocurrencies. The original model operates on standard time bars and generates ...
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Probability Integral Transform: Standardisation
I've been applying the probability integral transform as shown here to standardise date for input into a neural network:
https://math.stackexchange.com/questions/592076/mapping-cdfs-to-each-other?...
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Implied volatility of Below intrinsic value Heston prices for deep calibraiton
I am trying to generate implied volatility surfaces for European call in the Heston model. I get below intrinsic values for deep ITM, so about 2% of my surface has below intrinsic prices, which doesn'...
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Neural Network to learn Heston Model parameters
I am trying to solve this question:
Write down pseudocode to learn a local stochastic volatility for finitely many
given option prices: assume a Heston stochastic variance and parametrize
local ...
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Good (non-random walk) financial time series to perform forecasting on
I would like to start with a brief caveat, namely that I am by no means a domain expert in financial markets. Therefore the question I am asking may sound silly to a practitioner but I am asking it ...
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transforming a model to long short instead of long-only
I am currently trying to adapt a model to a long short portfolio strategy. The model is stated here: A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem by Jiang, Xu,...
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