4 citations · 5 across the 3 of their papers we have counts for
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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…
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…