"Intraday Volatility-Volume Joint Modeling and Forecasting: A State-space Approach" by Shengjie Xiu
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Күн бұрын"Intraday Volatility-Volume Joint Modeling and Forecasting: A State-space Approach" presented by PhD student Shengjie Xiu.
Talk delivered for EUSIPCO, Sept. 2023.
Papers details:
Shengjie Xiu and Daniel P. Palomar, “Intraday Volatility-Volume Joint Modeling and Forecasting: A State-Space Approach,” in Proc. European Signal Processing Conference (EUSIPCO), Helsinki, Finland, Sep. 4-8, 2023.
Software:
github.com/convexfi
github.com/convexfi/intradayM...
CRAN.R-project.org/package=in...
The authors are with the Hong Kong University of Science and Technology (HKUST)
www.danielppalomar.com
@kevinpowerone 5 ай бұрын
Daniel, que bendición poder encontrar un canal como este, estudie mecatronica y vi temas como llaman o espacio de estados y los aplique en robots pero jamás pensé que pudieran aplicarse en el mercado de valores, espero sigas subiendo más videos ya que esta aplicación es fascinante. Thanks also to the great student that present the lecture 😊
@danielpalomar 4 ай бұрын
Gracias!
@elysium55916 Жыл бұрын
Thanks for sharing. Does it scale to longer timeframes (ie the dynamic component wotld be daily instead of intraday)?
@shengjiexiu Жыл бұрын
Sure, it worths a trial! Consider modeling the joint movement of daily volume & daily volatility (named as Mixed Distribution Hypothesis in the literature). Then the intraday periodic components may not be needed in that case.
@wussboi Жыл бұрын
python package pls
@shengjiexiu Жыл бұрын
Will come soon! Thanks for your interest!
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