4 citations · 5 across the 3 of their papers we have counts for
3 papers
q-fin.ST2024
A GCN-LSTM Approach for ES-mini and VX Futures Forecasting
Nikolas Michael, Mihai Cucuringu, Sam Howison
We propose a novel data-driven network framework for forecasting problems related to E-mini S\&P 500 and CBOE Volatility Index futures, in which products with different expirations…
stat.ML2023★ 1 cited
OFTER: An Online Pipeline for Time Series Forecasting
Nikolas Michael, Mihai Cucuringu, Sam Howison
We introduce OFTER, a time series forecasting pipeline tailored for mid-sized multivariate time series. OFTER utilizes the non-parametric models of k-nearest neighbors and Generali…
q-fin.ST2022★ 4 cited
Option Volume Imbalance as a predictor for equity market returns
Nikolas Michael, Mihai Cucuringu, Sam Howison
We investigate the use of the normalized imbalance between option volumes corresponding to positive and negative market views, as a predictor for directional price movements in the…