Sep 2, 2022 · We propose a partial-index-tracking optimization model controlling the net predicted market sensitivities of the portfolios and index to be the same.
Apr 19, 2024 · We propose a novel partial-replication method via learning to predict market sensitivities. We first examine deep-learning models to predict market ...
We first examine deep-learning models to predict market sensitivities in a supervised manner with our data-processing methods. Then, we propose a partial-index- ...
We first examine deep-learning models to predict market sensitivities in a supervised manner with our data-processing methods. Then, we propose a partial-index- ...
Dec 19, 2022 · Next, we suggest a mixed-integer linear programming (MILP) model that constructs index-tracking portfolios utilizing the predicted market.
Index Tracking Via Learning to Predict Market Sensitivities. https://doi.org/10.1007/978-3-031-47724-9_9. Journal: Lecture Notes in Networks and Systems ...
We develop a novel deep learning method for the enhanced index tracking problem, which aims to outperform an index while effectively controlling the tracking ...
In this systematic literature review, we examine the existing studies predicting realized volatility and implied volatility indices using artificial ...
Abstract.This paper mainly introduces the machine learning algorithm to pre- dict the rise and fall of SP500 stock return prediction.
Dec 19, 2023 · The book titled "Prediction of Stock Market Index Movements with Machine Learning" focuses on the performance of machine learning methods in forecasting the ...