Search Results - "Thavaneswaran, Aerambamoorthy"

Forecasting the Volatility of Cryptocurrencies in the Presence of COVID-19 with the State Space Model and Kalman Filter by Azman, Shafiqah, Pathmanathan, Dharini, Thavaneswaran, Aerambamoorthy

“…During the COVID-19 pandemic, cryptocurrency prices showed abnormal volatility that attracted the participation of many investors. Studying the behaviour of…”
Get full text

Generalized duration models and optimal estimation using estimating functions by Thavaneswaran, Aerambamoorthy, Ravishanker, Nalini, Liang, You

“…This article introduces a class of generalized duration models and shows that the autoregressive conditional duration (ACD) models and stochastic conditional…”
Get full text

Generalized value at risk forecasting by Thavaneswaran, Aerambamoorthy, Paseka, Alex, Frank, Julieta

“…In this paper, using estimating function approach, a new optimal volatility estimator is introduced and based on the recursive form of the estimator a…”
Get full text

Estimating Functions for Circular Time Series Models by Thavaneswaran, Aerambamoorthy, Ravishanker, Nalini

“…In this article, we describe an estimating function (EF) approach for circular time series models. We construct EFs based on conditional trigonometric moments…”
Get full text

Modeling financial durations using penalized estimating functions by Zhang, Yaohua, Zou, Jian, Ravishanker, Nalini, Thavaneswaran, Aerambamoorthy

“…Accurate modeling under least restrictive assumptions of patterns in inter-event durations is of considerable interest in the analysis of high-frequency…”
Get full text

Data-Driven and Neuro-Volatility Fuzzy Forecasts for Cryptocurrencies by Singh, Japjeet, Bowala, Sulalitha, Thavaneswaran, Aerambamoorthy, Thulasiram, Ruppa, Mandal, Saumen

“…The forecasting problems in Computational Finance involve modelling the vagueness and imprecision inherent to the financial markets. Fuzzy set theory has a…”
Get full text

Bond valuation for generalized Langevin processes with integrated Lévy noise by Paseka, Alex, Thavaneswaran, Aerambamoorthy

“…Purpose Recently, Stein et al. (2016) studied theoretical properties and parameter estimation of continuous time processes derived as solutions of a…”
Get full text

A Novel Data Driven Machine Learning Algorithm For Fuzzy Estimates of Optimal Portfolio Weights and Risk Tolerance Coefficient by Thavaneswaran, Aerambamoorthy, Liang, You, Paseka, Alex, Hoque, Md. Erfanul, Thulasiram, Ruppa K.

“…Recently, there has been a growing interest in portfolio optimization using graphical LASSO (GL) machine learning method, by assuming normality for asset…”
Get full text

Long Term Interval Forecasts of Demand using Data-Driven Dynamic Regression Models by Liang, You, Thavaneswaran, Aerambamoorthy

“…Long-term electricity load forecasts are the main in-puts of production planning and scheduling at different horizons and load forecasting plays an important…”
Get full text

LSTM based Algorithmic Trading model for Bitcoin by Singh, Japjeet, Thulasiram, Ruppa, Thavaneswaran, Aerambamoorthy

“…Cryptocurrencies have emerged as an alternative financial asset in the last decade, with their market growing exponentially in recent years. The price of…”
Get full text

Novel Data-Driven Dynamic Network Science Application in Algorithmic Trading by Ranathungage, Thimani, Thavaneswaran, Aerambamoorthy, Liang, You, Thulasiram, Ruppa, Paseka, Alex

“…One of the recent developments in computational finance has been the rise in using graph-based approaches to analyse stock market dynamics systematically. In…”
Get full text

Neural Network Fuzzy Electricity Demand Forecasts Based on Fuzzy Inputs by Bowala, Sulalitha, Hoque, Md Erfanul, Thavaneswaran, Aerambamoorthy, Thulasiram, Ruppa, Appadoo, Srimantoorao

“…Recently, there has been a growing interest in studying both long-term and short-term forecasts of electricity demand using dynamic regression models with…”
Get full text

Novel Resilient Model Risk Forecasts Based on Neuro Volatility Models by Hoque, Md Erfanul, Bowala, Sulalitha, Saumyamala, Avanthi, Thavaneswaran, Aerambamoorthy, Thulasiram, Ruppa

“…Recently, there has been a growing interest in using neuro volatility models in fuzzy forecasting and fuzzy option pricing. Neuro volatility models are used to…”
Get full text

Novel Non-linear Adaptive Fuzzy Adjacency Matrices for Financial Volatility Network Models by Saumyamala, Avanthi, Bowala, Sulalitha, Liang, You, Basnayake, Shanika, Thavaneswaran, Aerambamoorthy, Thulasiram, Ruppa

“…Recently, there has been a growing interest in utilizing empirical correlations of log returns to examine financial network models for stock prices by…”
Get full text

Application of a Novel Fuzzy Pattern Mining Algorithm for Sequence Data by Ranathungage, Thimani, Bowala, Sulalitha, Hoque, Md Erfanul, Thavaneswaran, Aerambamoorthy, Thulasiram, Ruppa

“…For many Markov chains that arise in applications (health, finance, etc.), state spaces are huge, and existing matrix methods may not be practical or even not…”
Get full text

A Cryptocurrency Multiple Trading Strategy with Kalman Filter Innovation Volatility Interval Forecasts by Liang, You, Thavaneswaran, Aerambamoorthy, Liyau, Juan, Muhammad, Areebah, Ranathungage, Thimani, Thulasiram, Ruppa

“…Pairs trading and multiple trading strategies are types of market-neutral strategies to use a pair or a combination of stocks and other financial instruments…”
Get full text

A Novel Algorithmic Trading Strategy Using Data-Driven Innovation Volatility by Liang, You, Thavaneswaran, Aerambamoorthy, Hoque, Md. Erfanul

“…The explosion of algorithmic trading has been one of the most prominent recent trends in the finance industry. Regularized estimating functions including…”
Get full text

Comparison of Fuzzy Risk Forecast Intervals for Cryptocurrencies by Bowala, Sulalitha, Singh, Japjeet, Thavaneswaran, Aerambamoorthy, Thulasiram, Ruppa, Mandal, Saumen

“…Data-driven volatility models and neuro-volatility models have the potential to revolutionize the area of Computational Finance. Volatility measures the…”
Get full text

Deep Learning Predictions for Cryptocurrencies by Thavaneswaran, Aerambamoorthy, Liang, You, Bowala, Sulalitha, Paseka, Alex, Ghahramani, Melody

“…Recently there has been a growing interest in applying neural network modelling from natural language processing to financial time series prediction problems…”
Get full text

Superiority of Neural Networks for Trading Volume Forecasts of Stocks and Cryptocurrencies by Bowala, Sulalitha, Thavaneswaran, Aerambamoorthy, Thulasiram, Ruppa, Hoque, Md Erfanul, Paseka, Alex

“…Trading volume is an important variable to successfully capture market risks along with asset price/returns. Recently, there has been a growing interest in…”
Get full text