Purpose This study aims to critically evaluate the competitiveness of Transformer-based models in financial forecasting, specifically in the context of stock realized volatility forecasting. It seeks to challenge and extend upon the assertions of Zeng et al. (2023) regarding the purported limitations …

This paper presents a Python script that automates the estimation of Yang & Zhang’s stock realized volatility proxy for univariate and multivariate cases. Yang & Zhang’s realized volatility is a stock volatility proxy commonly used by financial researchers and practitioners due to its unbiasedness in …

This study proposes a novel loss function for neural network models that explores the topological structure of stock realized volatility (RV) data by adding Wasserstein Distance (WD). The study shows that the proposed loss statistically significantly improves the forecast accuracy of neural network models …

This paper presents a user-friendly version of Persistent Homology (PH) graph code to model financial market structures and changes. By leveraging Topological Data Analysis (TDA), the code offers an effective approach for analyzing high-dimensional stock data, enabling the identification of persistent …

This paper presents user-friendly code for the implementation of a loss function for neural network time series models that exploits the topological structures of financial data. By leveraging the recently-discovered presence of topological features present in financial time series data, the code offers …

This paper investigates the application of neural basis expansion analysis with exogenous variables (NBEATSx) in the prediction of daily stock realized volatility for various time steps. It compares NBEATSx’s forecasting accuracy and robustness with several commonly used models, namely Long-Short Term …

This paper proposes a novel theory, coined as Topological Tail Dependence Theory, that links the mathematical theory behind Persistent Homology (PH) and the financial stock market theory. This study also proposes a novel algorithm to measure topological stock market changes as well as the incorporation …

Cities all over the world are rethinking their mobility policies in light of environmental and quality of life objectives. As space is one of cities’ scarcest resources, mobility’s spatial footprint is increasingly scrutinized as externality to mitigate. Similar to passenger transport, goods transport …

This research study aims to determine the most suitable soil stabilization method for ensuring a stable and sustainable foundation for the design of a railway embankment expansion between Zoeterwoude East and Hazerswoude-Rijndijk. The research question is addressed through a comprehensive analysis using …

Many neighborhoods dating from the 1970s, with corporation-owned terraced housing in open urban schemes, saw a round of renovation for the houses in the last decades, but left the supply of family homes intact. This housing stock doesn’t meet the needs of the elderly still living in them anymore, nor …