Multivariate Realized Volatility Forecasting with Graph Neural Network.
Qinkai ChenChristian-Yann RobertPublished in: ICAIF (2022)
Keyphrases
- neural network
- garch model
- exchange rate
- prediction model
- financial time series
- multivariate time series
- graph representation
- short term
- random walk
- short term load forecasting
- structured data
- pattern recognition
- grey model
- graph theory
- graph structure
- stock market
- bipartite graph
- graph model
- directed graph
- artificial neural networks
- weighted graph
- backpropagation neural networks
- genetic algorithm
- recurrent neural networks
- graph matching
- neural network model
- fuzzy logic
- fault diagnosis
- neural nets
- mackey glass
- chaotic time series
- back propagation
- foreign exchange
- regression model
- forecasting model
- connected components
- spanning tree
- stock price
- directed acyclic graph
- bp neural network
- self organizing maps
- financial data
- graph databases
- radial basis function
- graph mining
- feed forward
- stock returns
- long term
- social networks
- stock index futures