Zobrazeno 1 - 10
of 188 868
pro vyhledávání: '"Intraday"'
Autor:
Zhang, Lu1 (AUTHOR), Zhang, Hao1,2 (AUTHOR) qianfengwk@126.com
Publikováno v:
Emerging Markets Finance & Trade. 2024, Vol. 60 Issue 10, p2237-2260. 24p.
Autor:
Mishra, Ramanuj1 (AUTHOR) ramanujmishra304@gmail.com, Thakur, Sanjay1 (AUTHOR)
Publikováno v:
Abhigyan. Dec2024, Vol. 42 Issue 4, p364-384. 21p.
Autor:
Lee, Hanwool, Park, Heehwan
This paper presents a new approach to volume ratio prediction in financial markets, specifically targeting the execution of Volume-Weighted Average Price (VWAP) strategies. Recognizing the importance of accurate volume profile forecasting, our resear
Externí odkaz:
http://arxiv.org/abs/2411.10956
Calibrating the time-dependent Implied Volatility Surface (IVS) using sparse market data is an essential challenge in computational finance, particularly for real-time applications. This task requires not only fitting market data but also satisfying
Externí odkaz:
http://arxiv.org/abs/2411.02375
In this paper, we propose a complete modelling framework to value several batteries in the electricity intraday market at the trading session scale. The model consists of a stochastic model for the 24 mid-prices (one price per delivery hour) combined
Externí odkaz:
http://arxiv.org/abs/2412.15959
Autor:
Puć, Andrzej, Janczura, Joanna
In this paper, we develop a new approach to the very short-term point forecasting of electricity prices in the continuous market. It is based on the Support Vector Regression with a kernel correction built on additional forecast of dependent variable
Externí odkaz:
http://arxiv.org/abs/2411.16237
We consider the application of machine learning models for short-term intra-day trading in equities. We envisage a scenario wherein machine learning models are submitted by independent data scientists to predict discretised ten-candle returns every f
Externí odkaz:
http://arxiv.org/abs/2412.03167
Autor:
Bergault, Philippe, Cognéville, Enzo
This paper presents a novel model for simulating and analyzing sparse limit order books (LOBs), with a specific application to the European intraday electricity market. In illiquid markets, characterized by significant gaps between order levels due t
Externí odkaz:
http://arxiv.org/abs/2410.06839
The observation data of blazar 1ES 1426 + 42.8 were obtained using the 1.02 m optical telescope of Yunnan Observatories during $2021$ to $2023$. Intraday variability (IDV) is detected on seven nights. We use the turbulent model to investigate the mec
Externí odkaz:
http://arxiv.org/abs/2409.06983
Autor:
Lyon, Gabriel1 (AUTHOR), Cataldo, Alejandro2 (AUTHOR) aecatald@uc.cl, Angulo, Gustavo1 (AUTHOR), Rey, Pablo A.3 (AUTHOR), Sauré, Antoine4 (AUTHOR)
Publikováno v:
International Journal of Production Research. Apr2023, Vol. 61 Issue 7, p2231-2249. 19p. 3 Color Photographs, 10 Charts, 2 Graphs.