Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning

@article{Moews2020PredictiveIC,
  title={Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning},
  author={Ben Moews and Gbenga Ibikunle},
  journal={ArXiv},
  year={2020},
  volume={abs/2002.10385}
}
  • Ben Moews, Gbenga Ibikunle
  • Published in ArXiv 2020
  • Mathematics, Economics, Computer Science
  • Standard methods and theories in finance can be ill-equipped to capture highly non-linear interactions in financial prediction problems based on large-scale datasets, with deep learning offering a way to gain insights into correlations in markets as complex systems. In this paper, we apply deep learning to econometrically constructed gradients to learn and exploit lagged correlations among S&P 500 stocks to compare model behaviour in stable and volatile market environments, and under the… CONTINUE READING

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