Financial markets are complex, non-stationary systems where the underlying data distributions can shift over time, a phenomenon known as regime changes, as well as concept drift in the machine learning literature. These shifts, often triggered by major economic events, pose a significant challenge for traditional statistical and machine learning models. A fundamental problem in developing and validating adaptive algorithms is the lack of a ground truth in real-world financial data, making it difficult to evaluate a model's ability to detect and recover from these drifts. This paper addresses this challenge by introducing a novel framework, named ProteuS, for generating semi-synthetic financial time series with pre-defined structural breaks. Our methodology involves fitting ARMA-GARCH models to real-world ETF data to capture distinct market regimes, and then simulating realistic, gradual, and abrupt transitions between them. The resulting datasets, which include a comprehensive set of technical indicators, provide a controlled environment with a known ground truth of regime changes. An analysis of the generated data confirms the complexity of the task, revealing significant overlap between the different market states. We aim to provide the research community with a tool for the rigorous evaluation of concept drift detection and adaptation mechanisms, paving the way for more robust financial forecasting models.

Despite the growing attention to time series forecasting in recent years, many studies have proposed various solutions to address the challenges encountered in time series prediction, aiming to improve forecasting performance. However, effectively applying these time series forecasting models to the field of financial asset pricing remains a challenging issue. There is still a need for a bridge to connect cutting-edge time series forecasting models with financial asset pricing. To bridge this gap, we have undertaken the following efforts: 1) We constructed three datasets from the financial domain; 2) We selected over ten time series forecasting models from recent studies and validated their performance in financial time series; 3) We developed new metrics, msIC and msIR, in addition to MSE and MAE, to showcase the time series correlation captured by the models; 4) We designed financial-specific tasks for these three datasets and assessed the practical performance and application potential of these forecasting models in important financial problems. We hope the developed new evaluation suite, FinTSBridge, can provide valuable insights into the effectiveness and robustness of advanced forecasting models in finanical domains.

Cryptocoins (i.e., Bitcoin, Ether, Litecoin) are tradable digital assets. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption techniques guarantee the security of the transactions (transfers of coins among owners), registered into the ledger. Cryptocoins are exchanged for specific trading prices. The extreme volatility of such trading prices across all different sets of crypto-assets remains undisputed. However, the relations between the trading prices across different cryptocoins remains largely unexplored. Major coin exchanges indicate trend correlation to advise for sells or buys. However, price correlations remain largely unexplored. We shed some light on the trend correlations across a large variety of cryptocoins, by investigating their coin/price correlation trends over the past two years. We study the causality between the trends, and exploit the derived correlations to understand the accuracy of state-of-the-art forecasting techniques for time series modeling (e.g., GBMs, LSTM and GRU) of correlated cryptocoins. Our evaluation shows (i) strong correlation patterns between the most traded coins (e.g., Bitcoin and Ether) and other types of cryptocurrencies, and (ii) state-of-the-art time series forecasting algorithms can be used to forecast cryptocoins price trends. We released datasets and code to reproduce our analysis to the research community.

One of the most discussed problems in the financial world is stock option pricing. The Black-Scholes Equation is a Parabolic Partial Differential Equation which provides an option pricing model. The present work proposes an approach based on Neural Networks to solve the Black-Scholes Equations. Real-world data from the stock options market were used as the initial boundary to solve the Black-Scholes Equation. In particular, times series of call options prices of Brazilian companies Petrobras and Vale were employed. The results indicate that the network can learn to solve the Black-Sholes Equation for a specific real-world stock options time series. The experimental results showed that the Neural network option pricing based on the Black-Sholes Equation solution can reach an option pricing forecasting more accurate than the traditional Black-Sholes analytical solutions. The experimental results making it possible to use this methodology to make short-term call option price forecasts in options markets.

In recent years, deep or reinforcement learning approaches have been applied to optimise investment portfolios through learning the spatial and temporal information under the dynamic financial market. Yet in most cases, the existing approaches may produce biased trading signals based on the conventional price data due to a lot of market noises, which possibly fails to balance the investment returns and risks. Accordingly, a multi-agent and self-adaptive portfolio optimisation framework integrated with attention mechanisms and time series, namely the MASAAT, is proposed in this work in which multiple trading agents are created to observe and analyse the price series and directional change data that recognises the significant changes of asset prices at different levels of granularity for enhancing the signal-to-noise ratio of price series. Afterwards, by reconstructing the tokens of financial data in a sequence, the attention-based cross-sectional analysis module and temporal analysis module of each agent can effectively capture the correlations between assets and the dependencies between time points. Besides, a portfolio generator is integrated into the proposed framework to fuse the spatial-temporal information and then summarise the portfolios suggested by all trading agents to produce a newly ensemble portfolio for reducing biased trading actions and balancing the overall returns and risks. The experimental results clearly demonstrate that the MASAAT framework achieves impressive enhancement when compared with many well-known portfolio optimsation approaches on three challenging data sets of DJIA, S&P 500 and CSI 300. More importantly, our proposal has potential strengths in many possible applications for future study.

This is probably due to at least two reasons: high volatility of the Bitcoin price and market immaturity for cryptocurrencies. This is confirmed by the statistics reported in tables 1 and 2. The results obtained partitioning the dataset into shorter sequences also confirmed the kindness of our hypothesis of identifying time regimes that do not resemble a random walk and that are easier to model, finding that best results are obtained using more than one previous price. It is worth noting that, with this novel approach we obtained the best results for the Bitcoin price series, rather than for the stock market series as happened in the analysis of the series in their totality. As stated before, this is probably 18 due to the high volatility of the Bitcoin price, in fact it is no accident that the best result was found for the time regime identified by a translation step h of 120, where the Bitcoin prices are more distributed around the mean, showing a lower variance. This is confirmed by the standard deviation values shown in table 2. It is important to emphasize that the innovative approach proposed in this paper, namely the identification of short-time regimes within the entire series, allowed us to obtain leading-edge results in the field of financial series forecasting.

The more discretionary and quant traders try to analyze market price action, the higher the chances of failure. This may sound counter-intuitive because it contradicts the common belief that the more one tries to achieve a goal, the higher the chances of success. But this is not how things work in the markets. Confirmation bias is a primary cause of failure of discretionary traders. Data-mining bias is a primary cause of failure of quant traders.

Abstract--We use machine learning for designing a medium frequency trading strategy for a portfolio of 5 year and 10 year US Treasury note futures. We formulate this as a classification problem where we predict the weekly direction of movement of the portfolio using features extracted from a deep belief network trained on technical indicators of the portfolio constituents. The experimentation shows that the resulting pipeline is effective in making a profitable trade. I. INTRODUCTION AND RELATED WORK Machine learning application in finance is a challenging problem owing to low signal to noise ratio. Moreover, domain expertise is essential for engineering features which assist in solving an appropriate classification or regression problem.

An accurate prediction of crude oil prices over long future horizons is challenging and of great interest to governments, enterprises, and investors. This paper proposes a revised hybrid model built upon empirical mode decomposition (EMD) based on the feed-forward neural network (FNN) modeling framework incorporating the slope-based method (SBM), which is capable of capturing the complex dynamic of crude oil prices. Three commonly used multi-step-ahead prediction strategies proposed in the literature, including iterated strategy, direct strategy, and MIMO (multiple-input multiple-output) strategy, are examined and compared, and practical considerations for the selection of a prediction strategy for multi-step-ahead forecasting relating to crude oil prices are identified. The weekly data from the WTI (West Texas Intermediate) crude oil spot price are used to compare the performance of the alternative models under the EMD-SBM-FNN modeling framework with selected counterparts. The quantitative and comprehensive assessments are performed on the basis of prediction accuracy and computational cost. The results obtained in this study indicate that the proposed EMD-SBM-FNN model using the MIMO strategy is the best in terms of prediction accuracy with accredited computational load.