Abstract
References
- Arbel, N. (2018, December 21). How LSTM networks solve the problem of vanishing gradients. https://medium.datadriveninvestor.com/how-do-lstm-networks-solve-the-problem-of-vanishing-gradients-a6784971a577
- C3 AI. (2022). Root Mean Square Error (RMSE). https://c3.ai/glossary/data-science/root-mean-square-error-rmse/
- Chen, J. (2022, October 22). What is an exchange-traded fund (ETF)? Investopedia. https://www.investopedia.com/terms/e/etf.asp
ETF Markets’ Prediction & Assets Management Platform Using Probabilistic Autoregressive Recurrent Networks
Abstract
The significance of macroeconomic policy changes on ETF markets and financial markets cannot be disre-garded. This study endeavors to predict the future trend of these markets by incorporating a group of selected economic indicators sourced from various ETF markets and utilizing probabilistic autoregressive recurrent net-works (DeepAR). The choice of economic indicators was made based on the advice of a domain expert and the results of correlation estimation. These indicators were then divided into two categories: "US" indicators, which depict the impact of US policies such as the federal reserve fund rate and quantitative easing on the global markets, and "region-specific" indicators. The findings of the study indicate that the inclusion of "US" indicators enhances the prediction accuracy and that the DeepAR model outperforms the LSTM and GRU models. Fur-thermore, a web platform has been developed to apply the DeepAR models, which enables the user to predict the trend of an ETF ticker for the next 15 time-steps using the most recent data. The platform also possesses the capability to automatically generate fresh datasets from corresponding RESTful API sources in case the current data becomes outdated.
Keywords
Macroeconomic policy ETF markets Financial markets DeepAR Economic indicators Machine learning
References
- Arbel, N. (2018, December 21). How LSTM networks solve the problem of vanishing gradients. https://medium.datadriveninvestor.com/how-do-lstm-networks-solve-the-problem-of-vanishing-gradients-a6784971a577
- C3 AI. (2022). Root Mean Square Error (RMSE). https://c3.ai/glossary/data-science/root-mean-square-error-rmse/
- Chen, J. (2022, October 22). What is an exchange-traded fund (ETF)? Investopedia. https://www.investopedia.com/terms/e/etf.asp
Details
| Primary Language | English |
|---|---|
| Subjects | Environmental and Sustainable Processes |
| Journal Section | Articles |
| Authors | |
| Early Pub Date | October 6, 2023 |
| Publication Date | September 30, 2023 |
| Published in Issue | Year 2023Volume: 23 |
