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Note that the function $f$ only depends on $|t-u|$, meaning it is actually symmetric: $f(x)=f(-x)$. Doing the change of variable $\tau:=t-u$: $$\begin{align} \int_0^Tdu\int_0^Tf(t-u)dt &=\int_0^Tdu\int_{-u}^{T-u}f(\tau)d\tau \\ &=\int_0^Tdu\left(\int_0^{T-u}f(\tau)d\tau+\int_0^uf(\tau)d\tau\right) \\ &=\int_0^T{du \left(\int_0^T{f(\tau) \textbf{1}...


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Some tips: Do not predict price directly, set your target variable to be (relative) return. as you mentioned your model trains really fast (just 5-9 epochs) and then error does not get lower. I suspect that your neural network just predicts last price + some noise. (you can also see it from your graphs as prediction just lags the true value) Test your ...


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In time series prediction for trading there are two parts: -prediction model -trading strategy based on it. As for construction of prediction model, there are also two parts: - feature selection (which can be very time-consuming) - actual prediction. For feature selection the model should be simple and thus just predicting direction is more desirable.You ...


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Given that liquidity of NIFTY options decreases rather quickly with moneyness, using the most liquid ATM option is your best bet (i.e. the least bid ask spread). Although, keep it consistent in that you use the same option (i.e. say the one that expiries 3M into the future) for different days. Also, better to use implied volatility as a performance measure ...


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Long story short no. Also, your question is too general in my opinion. Stock prices are not predictable according to the efficient market hypothesis. However there are many models one can try, they can include whatever you can think of from weather data to traffic data to the stock price 10 years ago of the company. There are momentum-based strategies that ...


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Multiday aggregations are usually moving averages, not OHLC. For example, I might get the 10-day MA; I would not ask for the 10-day high. (Charts might take the latest sample, but that's only for visualization.) As for multiday bars that aren't defined by time, I'm not sure how to interpret something like that. The bars would span multiple days and then cut-...


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