Haoren Zhu, Pengfei Zhao, Wilfred Siu Hung NG, Dik Lun Lee
{"title":"利用时空模式预测金融资产依赖性","authors":"Haoren Zhu, Pengfei Zhao, Wilfred Siu Hung NG, Dik Lun Lee","doi":"arxiv-2406.11886","DOIUrl":null,"url":null,"abstract":"Financial assets exhibit complex dependency structures, which are crucial for\ninvestors to create diversified portfolios to mitigate risk in volatile\nfinancial markets. To explore the financial asset dependencies dynamics, we\npropose a novel approach that models the dependencies of assets as an Asset\nDependency Matrix (ADM) and treats the ADM sequences as image sequences. This\nallows us to leverage deep learning-based video prediction methods to capture\nthe spatiotemporal dependencies among assets. However, unlike images where\nneighboring pixels exhibit explicit spatiotemporal dependencies due to the\nnatural continuity of object movements, assets in ADM do not have a natural\norder. This poses challenges to organizing the relational assets to reveal\nbetter the spatiotemporal dependencies among neighboring assets for ADM\nforecasting. To tackle the challenges, we propose the Asset Dependency Neural\nNetwork (ADNN), which employs the Convolutional Long Short-Term Memory\n(ConvLSTM) network, a highly successful method for video prediction. ADNN can\nemploy static and dynamic transformation functions to optimize the\nrepresentations of the ADM. Through extensive experiments, we demonstrate that\nour proposed framework consistently outperforms the baselines in the ADM\nprediction and downstream application tasks. This research contributes to\nunderstanding and predicting asset dependencies, offering valuable insights for\nfinancial market participants.","PeriodicalId":501294,"journal":{"name":"arXiv - QuantFin - Computational Finance","volume":"111 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Financial Assets Dependency Prediction Utilizing Spatiotemporal Patterns\",\"authors\":\"Haoren Zhu, Pengfei Zhao, Wilfred Siu Hung NG, Dik Lun Lee\",\"doi\":\"arxiv-2406.11886\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Financial assets exhibit complex dependency structures, which are crucial for\\ninvestors to create diversified portfolios to mitigate risk in volatile\\nfinancial markets. To explore the financial asset dependencies dynamics, we\\npropose a novel approach that models the dependencies of assets as an Asset\\nDependency Matrix (ADM) and treats the ADM sequences as image sequences. This\\nallows us to leverage deep learning-based video prediction methods to capture\\nthe spatiotemporal dependencies among assets. However, unlike images where\\nneighboring pixels exhibit explicit spatiotemporal dependencies due to the\\nnatural continuity of object movements, assets in ADM do not have a natural\\norder. This poses challenges to organizing the relational assets to reveal\\nbetter the spatiotemporal dependencies among neighboring assets for ADM\\nforecasting. To tackle the challenges, we propose the Asset Dependency Neural\\nNetwork (ADNN), which employs the Convolutional Long Short-Term Memory\\n(ConvLSTM) network, a highly successful method for video prediction. ADNN can\\nemploy static and dynamic transformation functions to optimize the\\nrepresentations of the ADM. Through extensive experiments, we demonstrate that\\nour proposed framework consistently outperforms the baselines in the ADM\\nprediction and downstream application tasks. This research contributes to\\nunderstanding and predicting asset dependencies, offering valuable insights for\\nfinancial market participants.\",\"PeriodicalId\":501294,\"journal\":{\"name\":\"arXiv - QuantFin - Computational Finance\",\"volume\":\"111 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-06-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Computational Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2406.11886\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Computational Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2406.11886","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Financial assets exhibit complex dependency structures, which are crucial for
investors to create diversified portfolios to mitigate risk in volatile
financial markets. To explore the financial asset dependencies dynamics, we
propose a novel approach that models the dependencies of assets as an Asset
Dependency Matrix (ADM) and treats the ADM sequences as image sequences. This
allows us to leverage deep learning-based video prediction methods to capture
the spatiotemporal dependencies among assets. However, unlike images where
neighboring pixels exhibit explicit spatiotemporal dependencies due to the
natural continuity of object movements, assets in ADM do not have a natural
order. This poses challenges to organizing the relational assets to reveal
better the spatiotemporal dependencies among neighboring assets for ADM
forecasting. To tackle the challenges, we propose the Asset Dependency Neural
Network (ADNN), which employs the Convolutional Long Short-Term Memory
(ConvLSTM) network, a highly successful method for video prediction. ADNN can
employ static and dynamic transformation functions to optimize the
representations of the ADM. Through extensive experiments, we demonstrate that
our proposed framework consistently outperforms the baselines in the ADM
prediction and downstream application tasks. This research contributes to
understanding and predicting asset dependencies, offering valuable insights for
financial market participants.