2024
Authors
Castilho, D; Souza, TTP; Kang, SM; Gama, J; de Carvalho, ACPLF;
Publication
KNOWLEDGE AND INFORMATION SYSTEMS
Abstract
We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as a dynamic asset network by quantifying time-dependent co-movement of asset price returns across company constituents of major global market indices. We provide empirical evidence using three different network filtering methods to estimate market structure, namely Dynamic Asset Graph, Dynamic Minimal Spanning Tree and Dynamic Threshold Networks. Experimental results show that the proposed model can forecast market structure with high predictive performance with up to 40%\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$40\%$$\end{document} improvement over a time-invariant correlation-based benchmark. Non-pair-wise correlation features showed to be important compared to traditionally used pair-wise correlation measures for all markets studied, particularly in the long-term forecasting of stock market structure. Evidence is provided for stock constituents of the DAX30, EUROSTOXX50, FTSE100, HANGSENG50, NASDAQ100 and NIFTY50 market indices. Findings can be useful to improve portfolio selection and risk management methods, which commonly rely on a backward-looking covariance matrix to estimate portfolio risk.
2024
Authors
Mastelini, SM; Veloso, B; Halford, M; de Carvalho, ACPDF; Gama, J;
Publication
INFORMATION FUSION
Abstract
Nearest neighbor search (NNS) is one of the main concerns in data stream applications since similarity queries can be used in multiple scenarios. Online NNS is usually performed on a sliding window by lazily scanning every element currently stored in the window. This paper proposes Sliding Window-based Incremental Nearest Neighbors (SWINN), a graph-based online search index algorithm for speeding up NNS in potentially never-ending and dynamic data stream tasks. Our proposal broadens the application of online NNS-based solutions, as even moderately large data buffers become impractical to handle when a naive NNS strategy is selected. SWINN enables efficient handling of large data buffers by using an incremental strategy to build and update a search graph supporting any distance metric. Vertices can be added and removed from the search graph. To keep the graph reliable for search queries, lightweight graph maintenance routines are run. According to experimental results, SWINN is significantly faster than performing a naive complete scan of the data buffer while keeping competitive search recall values. We also apply SWINN to online classification and regression tasks and show that our proposal is effective against popular online machine learning algorithms.
2024
Authors
Salazar, T; Gama, J; Araújo, H; Abreu, PH;
Publication
CoRR
Abstract
2024
Authors
Gama, J; Ribeiro, RP; Mastelini, SM; Davari, N; Veloso, B;
Publication
CoRR
Abstract
2024
Authors
Davari, N; Veloso, B; Ribeiro, RP; da Gama, JMP;
Publication
Proceedings of the 39th ACM/SIGAPP Symposium on Applied Computing, SAC 2024, Avila, Spain, April 8-12, 2024
Abstract
2024
Authors
Andrade, T; Gama, J;
Publication
Proceedings of the 39th ACM/SIGAPP Symposium on Applied Computing, SAC 2024, Avila, Spain, April 8-12, 2024
Abstract
The access to the final selection minute is only available to applicants.
Please check the confirmation e-mail of your application to obtain the access code.