A Multivariate and Multi-step Ahead Machine Learning Approach to Traditional and Cryptocurrencies Volatility Forecasting.
Jacopo De StefaniOlivier CaelenDalila HattabYann-Aël Le BorgneGianluca BontempiPublished in: MIDAS/PAP@PKDD/ECML (2018)
Keyphrases
- machine learning
- exchange rate
- garch model
- financial time series
- application of machine learning methods
- text mining
- pattern recognition
- machine learning methods
- feature selection
- grey model
- multivariate time series
- regression model
- short term
- knowledge acquisition
- machine learning algorithms
- stock market
- neural network
- computer science
- data mining
- artificial intelligence
- computer vision
- decision trees
- model selection
- data analysis
- active learning
- text classification
- inductive learning
- prediction model
- stock price
- learning tasks
- multivariate data
- foreign exchange
- supervised learning
- learning algorithm
- stock index futures