Livoa LogoLivoa
DATA PREPROCESSING
[ S&P 500 index ]
A-MFDFA
[ Input ]
Generalized Hurst exponent
Generalized Hurst exponent
Return of S&P 500 index
Return of S&P 500 index
[ Target ]
One-day-ahead absolute return of S&P 500 index
One-day-ahead absolute return of S&P 500 index
FORECAST TIME SERIES
[ Data partitioning ]
Train Set (2000-2017)
Train Set (2000-2017)
Test Set (2018-2020)
Test Set (2018-2020)
[ RNNs ]
LSTM
GRU
BiLSTM
BiGRU
[ Performance ]
MSE
Correlation
* Confirmed the forecast performance of asymmetric hurst exponent
BACKTESTING
[ Comparison ]
By period
By absolute return
[ New model ]
Two-stage forecast by absolute return
* Using the performance of A-MFDFA in volatile market
[ Benchmarks ]
Return series
Historical volatility
MFDFA

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by thapa

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