2 papers
stat.AP2024
Low Volatility Stock Portfolio Through High Dimensional Bayesian Cointegration
Parley R Yang, Alexander Y Shestopaloff
We employ a Bayesian modelling technique for high dimensional cointegration estimation to construct low volatility portfolios from a large number of stocks. The proposed Bayesian f…
q-fin.ST2024
Stock Volume Forecasting with Advanced Information by Conditional Variational Auto-Encoder
Parley R Yang, Alexander Y Shestopaloff
We demonstrate the use of Conditional Variational Encoder (CVAE) to improve the forecasts of daily stock volume time series in both short and long term forecasting tasks, with the…