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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 …

In the constantly changing landscape of corporate sustainability, navigating the complex network of ESG reporting standards and frameworks has become a significant challenge for businesses worldwide. This research seeks to improve understanding of ESG reporting and shed light on the complexities of the …

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 …

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