Price change prediction of ultra high frequency financial data based on temporal convolutional network

no code implementations • 1 Jul 2021 • Wei Dai, Yuan An, Wen Long

Through in-depth analysis of ultra high frequency (UHF) stock price change data, more reasonable discrete dynamic distribution models are constructed in this paper.

Deep Kernel Gaussian Process Based Financial Market Predictions

no code implementations • 26 May 2021 • Yong Shi, Wei Dai, Wen Long, Bo Li

However, the deep kernel Gaussian Process has not been applied to forecast the conditional returns and volatility in financial market to the best of our knowledge.

Improved ACD-based financial trade durations prediction leveraging LSTM networks and Attention Mechanism

no code implementations • 7 Jan 2021 • Yong Shi, Wei Dai, Wen Long, Bo Li

In the input sequence, the temporal positions which are more important for predicting the next duration can be efficiently highlighted via the added attention mechanism layer.