Autoencoding Conditional GAN for Portfolio Allocation Diversification

no code implementations • 17 Jun 2022 • Jun Lu, Shao Yi

Over the decades, the Markowitz framework has been used extensively in portfolio analysis though it puts too much emphasis on the analysis of the market uncertainty rather than on the trend prediction.

Generative Adversarial Network Time Series +1

Reducing overestimating and underestimating volatility via the augmented blending-ARCH model

no code implementations • 15 Mar 2022 • Jun Lu, Shao Yi

SVR-GARCH model tends to "backward eavesdrop" when forecasting the financial time series volatility in which case it tends to simply produce the prediction by deviating the previous volatility.

Time Series Time Series Analysis