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# Questions tagged [prediction]

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### Predict future Implied Volatility Surface with LSV models

From my understanding, Local Stochastic Volatility (LSV) models (such as the Heston-LSV for instance) are ones of the most used diffusion models used for exotic pricing. One of their advantages (by ...
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1 answer
84 views

### Predictive Forecast (Close, 14)

I've been following an asset wherein a "R-squared predictive forecast (close, 14)" is posted online each day. On some days, this figure is extremely high, like .92. Exactly what is the ...
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### Boosting models for algo trading

I’m currently working on a xgboost model to predict the price change above or below a given percentage between a candle’s open price and the next candle’s close price. I use a wide range of features, ...
1 vote
1 answer
99 views

### Neural network time series prediction tool [closed]

What are some of the state of the art time series prediction tool with neural network?
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### Predict a company business classification

I am trying to predict whether companies belong to a universe considered by an index provider for a particular thematic index using natural language processing techniques. In this particular example, ...
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### Closed cycle of pairs in pairs trading

Suppose I am trading cointegrated pairs $A_1A_2, A_2A_3, \ldots A_{k-1}A_k, A_kA_1$ and I got a signal to long $A_1$, short $A_2$; long $A_2$, short $A_3$; $\cdots$ long $A_k$, short $A_1$. How ...
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1 answer
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### Understanding how markets predict BoC's policy interest rate decisions

I read in the newspaper things like, Interest rate swaps, which are based on market expectations about future rate decisions, are pricing in at least one Bank of Canada rate cut later this year, and ...
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4 votes
2 answers
493 views

### Continuous prediction vs Event-based predictions

When making a high-frequency or mid-frequency prediction on an assets return, what are the advantages and disadvantages of making a continuous prediction vs a prediction that only fires on a ...
• 103
2 votes
1 answer
343 views

### Constructing a mid using signals from another asset

When delta-neutral market making it is important to construct a mid price. Often the mid price of the asset you are trading is influenced by another (correlated) asset. What methodologies would you ...
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