Questions tagged [finance]

Field concerned with the allocation (investment) of assets and liabilities over space and time, often under conditions of risk or uncertainty.

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18 views

Regression and Classification, which is better in financial market price prediction?

I want to use a model to trade in finanical market. which i have several features, like macd, rsi, or other common features. and my target is to make a tradeable predict in every time point. so my ...
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12 views

How to realize ARMA-GARCH using a LSTM model?

I am trying to model the returns of the S&P500 using a multivariate LSTM neural network to compare it to the ARMA-GARCH process. In order to do so, I need to model the conditional mean of returns....
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1answer
16 views

Steps to fit a Machine learning model for prediction of up and down market movement

I have around 5 years of data of an index containing many features on a daily basis. I want to classify whether the index will move up or down the next trading day (up or down movement is determined ...
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Optimize Yahoo Finance Code for Analysis [closed]

I am trying to analyze a number of companies using financial data I gathered from Yahoo Finance. I am also using the yfinance API to get some more details about the company using functions. Since I am ...
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How does the GAN based prediction in K. Zhang et al. (2018) improve performance?

In Stock Market Prediction Based on Generative Adversarial Network by K. Zhang et. al, the authors feed financial data (X0...Xt) into an LSTM to predict Xt+1. Then, they evaluate whether the series (...
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How to cluster large time series?

I want to perform clustering on a dataset which has a few thousand stock prices time series, each one with daily prices for previous 5 years (a couple thousand days). What would be the best approach ...
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1answer
161 views

How do I get Multiple CSV files (csv file names will be column names) from a folder to a pandas dataframe?

I think the title is enough for what is my problem here. I have 100 tickers in a folder. I got all csv files to one list. but I wanna see the tickers name which these are csv file names. what should ...
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1answer
20 views

Should I concat multiple stock timeseries datasets into one?

I have several timeseries datasets of stock data, with fundamental indicators. I would like to build a model that selects stocks for buy and hold. I understand that to perform this task I have two ...
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1answer
59 views

How to find the best fitting parametric distribution for an empirical dataset (stock returns)?

Given some real-valued empirical data (time series), I could convert it to a histogram to have an (non-parametric) empirical distribution of the data, but histograms are blocky and jagged. Instead, I ...
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20 views

Matching financial reconciliation data / matching multiple rows based on column values

I'm working with financial reconciliation data and the ask is to train the algorithm to match transactions (that are otherwise manually matched if the existing application didn't because not all the ...
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2answers
38 views

Predicting financial data (choosing a model)

it is my first time doing something with financial data. I have a dataset with account numbers and some other information about each client (some clients span more than one row since we have info for ...
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Correcting high AR(1) coefficients in dynamic Gordon model

I have just finished my thesis on a heterogeneous dividend expectations model applied to the COVID-19 crisis! However after receiving some feedback there is one last issue I want to resolve. I'm using ...
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48 views

How to normalize price from different years for machine learning models

I'm working on a price prediction problem which there is monthly data available with prices for several years. For training complex non-linear models like neural networks I will need a lot of data to ...
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20 views

How to estimate a heterogeneous asset pricing model in eviews?

I'am trying to estimate a heterogeneous asset pricing model for my thesis in eviews. It is a model where the fundamental price is determined by the sum of discounted future dividends where two type of ...
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14 views

How to use a stock's daily rate of return to estimate its price after a certain number of days?

I am teaching myself finance with the idea of applying data science to it, but I am confused about the concept of daily rate of return. Specifically, given the price of a stock $P(t)$ on day $t \in \...
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33 views

What's the best way to do classification basing on two given datasets (annual data and daily data)?

I want to do binary-classification basing on two given dataset, one is annual statistical data of a company and has the label I should be able to predict like this: ...
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1answer
28 views

How to measure Covid impact by analysing credit card transaction of customer

I Want to know how can I identify that is the customer is in financial distress due to the COVID situation using its credit card transactions. I have a daily transaction of customers till current ...
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16 views

Lasso stricter with more data

I am currently analyzing investment strategies, and have implemented a backtest accordingly. This essentially means that I predict returns each month by using all prior historical data. Consequently, ...
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25 views

Financial Time Series and Machine Learning question

I am working on a Machine Learning project applied to a financial time series. Initially, I grabbed features (open, high, low, close) and implemented a Random Forest. One of the subsequent tasks ...
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150 views

Will flattening multivariate time series data before clustering make the results meaningless?

I have a large number of financial time series that I wish to do cluster analysis on. Each time series has the same length and spans multiple years of daily data (returns, volatility, etc.). As part ...
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1answer
74 views

Image classification on stock data

I am trying to classify stock images into 4 categories: Category 1: Image patterns which gives more than 10% profit next 3 day. Category 2: Image patterns which gives less than 10% profit but ...
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11 views

Corpus suggestion for financial domain [closed]

I am looking for a financial corpus or any form of publicly available financial texts which is replete with technical terms and acronyms. Any suggestion is appreciated.
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2answers
419 views

What is the approx minimum size of dataset required to build 90% correct model?

I am working with a financial dataset size which is around 3000. I have attempted the supervised-learning regression techniques and not able to go beyond 70% accuracy. Features: 10 Data size:3700 ...
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2answers
55 views

Understandable and explainable machine learning model

I want to find formula for best financial portfolio. Inputs: Historical fundamental data for last 15 years. For 3000 companies for every quatal we have things like ...
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14 views

Bootstrapped curves and machine learning

I am exploring machine learning models to employ for my use case as described below and would appreciate some expertise Effectively I have bootstrapped bond prices to derive a zero coupon curve for ...
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2answers
415 views

Splitting training and test set with financial data

I am using trees algorithms (decision tree, random forest and XGBoost) to forecast the sign of the returns in the stock market (classification). I am using this article as a reference: http://...
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1answer
99 views

How do I find all the drastic changes in the stock and fetch news for those days of the stock?

I am analyzing MindTree company's stocks as an internship project using python pandas and have been given the task to find all the drastic changes by looking at the produced plot for the stock and ...
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1answer
27 views

May I use the same data in several time series intervals?

I am playing with RNNs / LTSMs for a classification task in predicting financial data. I have a time-series going many years back, and are planning to divide it into a number of shorter time-...
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2answers
149 views

LSTM for financial data

I'm using LSTM to predict financial data. As input data I use log returns and I want to predict the next day market movement. Do I need to retrain the ANN every day in order to keep time consistency ...
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2answers
3k views

How is data science applied in investment banking?

What do data scientists do at investment banks? What tools are they using? What kind of analysis are they doing? Why are they doing it? Etc.
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2answers
1k views

Binary Classification Probabilities

I'm using keras in R to predict financial time series. I guess that ANN converges. But when I do predictions I can see that probabilities don't sum up to 1 I'm using ...
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1answer
687 views

Predict the loss amount for insurance policies using the historical trends and features?

Anyone who has worked with insurance policy datasets, please guide me to an appropriate dataset for this problem . Also, what is this 'loss amount' and what model will be appropriate for it?
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1answer
1k views

Can LSTM Predict The Next Few Days Of Stock Price?

I have searched many websites and forums describing stock price forecast using LSTM. They shared two things in common: one is that all the sources make predictions with same set of data and none of ...
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1answer
60 views

Structure the dataset for financial machine learning

I am trying to construct a dataset to apply MLP in forecasting financial returns. The main idea is that I want to predict future equity returns (1 month ahead, but the horizon can vary, just to give ...
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149 views

Any tool that can help on manually label a time series data please?

i am working with a 10 years weekly financial time series data set, which has the standard format date open high low close volume. i would like to manually label (classify) the data set with label/...
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64 views

Are there any APIs for financial pattern recognition? [closed]

I have seen this question on the site, however it is asking for the techniques that can be used for implementation. The thing I want to know is that, on the other hand, if are there any APIs or ...
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1answer
72 views

Preprocess list data

I got question about preparation data for my ML algorithm. Raw data has format similar to: ...
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2answers
1k views

how many rows have values from the same columns pandas

I have a df with many columns that represent the market cap of companies that compose an index. The index of the dataframe is dates. Before the company enters the index or after it leaves it, the ...
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1answer
54 views

Constructing graph of crypto financial instruments 2016-2017

Set of financial instruments represent the set of vertices of the graph. For any pair of vertices $i$ and $j$, an edge connecting them is added to the graph if the corresponding correlation ...
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1answer
314 views

Best way to store financial data together with news

My question is if there is a DBMS that allows storing financial data (i.e. timestamp+value) together with small text fragments. These small fragments will not be very long, but it might help an ...
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1answer
758 views

Reinforcement Learning algorithm for Optimized Trade Execution

My question deals with the algorithm described in the paper: Reinforcement Learning for Optimized Trade Execution This paper uses reinforcement learning technique to deal with the problem of ...
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0answers
31 views

Find a Default Assumption for a series of Forecasted Loans

Your help would be appreciated! I'm trying to calculate the net returns of a series loans, at different stages of completion. I've categorised the loans into open loans (repaying & late loans) ...
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1answer
128 views

Understanding portfolio-level risk models

I have a tremendous amount of experience training supervised machine learning models. However, I recently became a data scientist at a small financial services company, and I've been asked to build ...
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5answers
1k views

Deep Learning Project to Predict Stock Prices

So I have a background in computer programming and a little in machine learning in general. What I would like to do is create a fun project in A.I. with deep learning. I have a dataset that has a ...
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1answer
41 views

Recommendations for algorithm

I have a very large dataset consisting of approximately 15,000 rows of survey data. The surveys are quantitative summaries of interviews with investors regarding their rankings of financial asset ...
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1answer
1k views

Difference between business and financial and data analyst

Can anyone please tell me whats the difference between Business analyst Financial analyst Data analyst And what should one need to learn in order to achieve either of these profile.
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1answer
274 views

Finding levels in an array of floats

Before anybody asks please let me confirm this question is related to trading technical analysis. The problem is quite simple, but I lack the scientific background required to solve it. Data comes ...
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1answer
438 views

Resources for data science applications in finance/banking [closed]

What are good resources for data science applications in finance/banking ? I want to know about the following: Trends in finance/banking area What creative companies do in finance/banking area ...
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1answer
1k views

Application of Control Theory in Data Science [closed]

I have recently completed an MSc in Control Systems from a top university. It seems to me that control theory must have an application within data science. I would like to apply my degree within this ...
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2answers
392 views

Use of Nash-Equilibrium in big data environments

Has there been a successful implementation of Nash-Equilibrium in big data problems like suggesting a best buy in a stock market, in traffic monitoring systems or crowd control systems. All the above ...