Search Results (27)

Amidst global economic fluctuations and escalating geopolitical risks, gold futures, as a pivotal safe-haven asset, demonstrate price dynamics that directly impact investor decision-making and risk mitigation effectiveness. Traditional forecasting models face significant limitations in capturing long-term trends, addressing abrupt volatility, and mitigating multi-source noise within complex market environments characterized by nonlinear interactions and extreme events. Current research predominantly focuses on single-model approaches (e.g., ARIMA or standalone neural networks), inadequately addressing the synergistic effects of multimodal market signals (e.g., cross-market index linkages, exchange rate fluctuations, and policy shifts) and lacking the systematic validation of model robustness under extreme events. Furthermore, feature selection often relies on empirical assumptions, failing to uncover non-explicit correlations between market factors and gold futures prices. A review of the global literature reveals three critical gaps: (1) the insufficient integration of temporal dependency and global attention mechanisms, leading to imbalanced predictions of long-term trends and short-term volatility; (2) the neglect of dynamic coupling effects among cross-market risk factors, such as energy ETF-metal market spillovers; and (3) the absence of hybrid architectures tailored for high-frequency noise environments, limiting predictive utility for decision support. This study proposes a three-stage LSTM–Transformer–XGBoost fusion framework. Firstly, XGBoost-based feature importance ranking identifies six key drivers from thirty-six candidate indicators: the NASDAQ Index, S&P 500 closing price, silver futures, USD/CNY exchange rate, China’s 1-year Treasury yield, and Guotai Zhongzheng Coal ETF. Second, a dual-channel deep learning architecture integrates LSTM for long-term temporal memory and Transformer with multi-head self-attention to decode implicit relationships in unstructured signals (e.g., market sentiment and climate policies). Third, rolling-window forecasting is conducted using daily gold futures prices from the Shanghai Futures Exchange (2015–2025). Key innovations include the following: (1) a bidirectional LSTM–Transformer interaction architecture employing cross-attention mechanisms to dynamically couple global market context with local temporal features, surpassing traditional linear combinations; (2) a Dynamic Hierarchical Partition Framework (DHPF) that stratifies data into four dimensions (price trends, volatility, external correlations, and event shocks) to address multi-driver complexity; (3) a dual-loop adaptive mechanism enabling endogenous parameter updates and exogenous environmental perception to minimize prediction error volatility. This research proposes innovative cross-modal fusion frameworks for gold futures forecasting, providing financial institutions with robust quantitative tools to enhance asset allocation optimization and strengthen risk hedging strategies. It also provides an interpretable hybrid framework for derivative pricing intelligence. Future applications could leverage high-frequency data sharing and cross-market risk contagion models to enhance China’s influence in global gold pricing governance. Full article

Analyzing habitat conditions and mapping habitat structures are crucial for monitoring ecosystems and implementing effective conservation measures, especially in the context of declining open grassland ecosystems in Europe. The marsh fritillary (Euphydryas aurinia), an endangered butterfly species, depends heavily on specific habitat conditions found in these grasslands, making it vulnerable to environmental changes. To address this, we conducted a comprehensive habitat suitability analysis within the Hainich National Park in Thuringia, Germany, leveraging very high-resolution (VHR) airborne, red-green-blue (RGB), and color-infrared (CIR) remote sensing data and deep learning techniques. We generated habitat suitability models (HSM) to gain insights into the spatial factors influencing the occurrence of E. aurinia and to predict potential habitat suitability for the whole study site. Through a deep learning classification technique, we conducted biotope mapping and generated fine-scale spatial variables to model habitat suitability. By employing various modeling techniques, including Generalized Additive Models (GAM), Generalized Linear Models (GLM), and Random Forest (RF), we assessed the influence of different modeling parameters and pseudo-absence (PA) data generation on model performance. The biotope mapping achieved an overall accuracy of 81.8%, while the subsequent HSMs yielded accuracies ranging from 0.69 to 0.75, with RF showing slightly better performance. The models agree that homogeneous grasslands, paths, hedges, and areas with dense bush encroachment are unsuitable habitats, but they differ in their identification of high-suitability areas. Shrub proximity and density were identified as important factors influencing the occurrence of E. aurinia. Our findings underscore the critical role of human intervention in preserving habitat suitability, particularly in mitigating the adverse effects of natural succession dominated by shrubs and trees. Furthermore, our approach demonstrates the potential of VHR remote sensing data in mapping small-scale butterfly habitats, offering applicability to habitat mapping for various other species. Full article

To investigate the safe, stable, and economically viable operation of a boiler under ultra-low-load conditions during the deep peaking process of coal-fired units, a numerical simulation study was conducted on a 660 MW front- and rear-wall hedge cyclone burner boiler. The current research on low load conditions is limited to achieving stable combustion by adjusting the operating parameters, and few effective boiler operating parameter predictions are given for very low-load conditions, i.e., below 20%. Various burner operation modes under ultra-low load conditions were analyzed using computational fluid dynamics (CFDs) methods; this operation was successfully tested with six types of pulverized coal combustion in this paper, and fitting models for outlet flue gas temperature and NO_x emissions were derived based on the combustion characteristics of different types of pulverized coal. The results indicate that under 20% ultra-low-load conditions, the use of lower burners leads to a uniform temperature distribution within the furnace, achieving a minimum NO_x emission of 112 ppm and a flue gas temperature of 743 K. Coal type 3, with the highest carbon content and a calorific value of 22,440 kJ/kg, has the highest average section temperature of 1435.76 K. In contrast, coal type 1 has a higher nitrogen content, with a maximum cross-sectional average NO_x concentration of 865.90 ppm and an exit NO_x emission concentration of 800 ppm. The overall lower NO_x emissions of coal type 3 are primarily attributed to its reduced nitrogen content and increased oxygen content, which enhance pulverized coal combustion and suppress NO_x formation. The fitting models accurately capture the influence of pulverized coal composition on outlet flue gas temperature and NO_x emissions. This control strategy can be extended to the stable combustion of many kinds of coal. For validation, the fitting error bar for the predicted outlet flue gas temperature based on the elemental composition of coal type 6 was 8.09%, whereas the fitting error bar for the outlet NO_x emissions was only 1.45%. Full article

The global development and enhancement of electricity financial markets aim to mitigate price risk in the electricity spot market. Power producers utilize financial derivatives for both hedging and speculation, necessitating careful selection of portfolio strategies. Current research on investment strategies for power financial derivatives primarily emphasizes risk management, resulting in a lack of a comprehensive investment framework. This study analyzes six short-term electricity futures contracts: base day, base week, base weekend, peak day, peak week, and peak weekend. A multi-agent deep reinforcement learning algorithm, Dual-Q MADDPG, is employed to learn from interactions with both the spot and futures market environments, considering the hedging and speculative behaviors of power producers. Upon completion of model training, the algorithm enables power producers to derive optimal portfolio strategies. Numerical experiments conducted in the Nordic electricity spot and futures markets indicate that the proposed Dual-Q MADDPG algorithm effectively reduces price risk in the spot market while generating substantial speculative returns. This study contributes to lowering barriers for power generators in the power finance market, thereby facilitating the widespread adoption of financial instruments, which enhances market liquidity and stability. Full article

The global foreign exchange (FX) market represents a critical and sizeable component of our financial system. It is a market where firms and investors engage in both speculative trading and hedging. Over the years, there has been a growing interest in FX modeling and prediction. Recently, machine learning (ML) and deep learning (DL) techniques have shown promising results in enhancing predictive accuracy. Motivated by the growing size of the FX market, as well as advancements in ML, we propose a novel forecasting framework, the MVO-BiGRU model, which integrates variational mode decomposition (VMD), data augmentation, Optuna-optimized hyperparameters, and bidirectional GRU algorithms for monthly FX rate forecasting. The data augmentation in the Prevention module significantly increases the variety of data combinations, effectively reducing overfitting issues, while the Optuna optimization ensures optimal model configuration for enhanced performance. Our study’s contributions include the development of the MVO-BiGRU model, as well as the insights gained from its application in FX markets. Our findings demonstrate that the MVO-BiGRU model can successfully avoid overfitting and achieve the highest accuracy in out-of-sample forecasting, while outperforming benchmark models across multiple assessment criteria. These findings offer valuable insights for implementing ML and DL models on low-frequency time series data, where artificial data augmentation can be challenging. Full article

This study confirms gold’s role as a reliable inflation hedge while introducing new insights into lesser-explored assets like art and wheat. Using advanced methodologies such as the ARDL framework and LSTM deep learning, it conducts a detailed analysis of inflation-hedging dynamics, exploring non-linear relationships and unexpected inflation impacts across various asset classes. The findings reveal complex dynamics. Gold demonstrates strong long-term inflation hedging potential. The negative coefficient for the US dollar index suggests that gold acts as a hedge against currency depreciation. Furthermore, a positive relationship between gold returns and inflation during high inflation periods highlights its effectiveness in protecting purchasing power. Art presents a more intricate picture. Long-term analysis suggests a weak mean-reverting tendency, but a negative relationship with inflation, potentially linked to economic downturns. Interestingly, unexpected inflation positively correlates with art returns in the long run, hinting at its potential inflation-hedging abilities. No statistically significant connection between wheat prices and overall inflation was observed; the short-run analysis reveals a dynamic interplay between inflation, real GDP growth, and wheat prices at different time points. Full article

In the dynamic sphere of financial markets, hedge funds have emerged as a critical force, navigating through volatility with advanced risk management techniques yet grappling with the challenges posed by illiquid assets. This study aims to transcend traditional option pricing models, which struggle under the complexities of hedge fund investments, by exploring the applicability of machine learning in financial risk management. Leveraging Deep Neural Networks (DNNs) and Long Short-Term Memory (LSTM) cells, the research introduces a model-free, data-driven approach for discrete-time hedging problems. Through a comparative analysis of simulated data and the implementation of LSTM architectures, the paper elucidates the potential of these machine learning techniques to enhance the precision of risk assessments and decision-making processes in hedge fund investments. The findings reveal that DNNs and LSTMs offer significant advancements over conventional models, effectively capturing long-term dependencies and complex patterns within financial time series data. Consequently, the study underscores the transformative impact of machine learning on the methodologies employed in financial risk management, proposing a novel paradigm that promises to mitigate the intricacies of hedging illiquid assets. This research not only contributes to the academic discourse but also paves the way for the development of more adaptive and resilient investment strategies in the face of market uncertainties. Full article

Due to its effectiveness as a risk-hedging trading strategy in financial markets, futures arbitrage is highly sought after by investors in turbulent market conditions. The essence of futures arbitrage lies in formulating strategies based on predictions of future futures price differentials. However, contemporary research predominantly focuses on projections of single indicators for the subsequent temporal juncture, and devising efficacious arbitrage strategies often necessitates the examination of multiple indicators across timeframes. To tackle the aforementioned challenge, our methodology leverages a PSO Deep-ConvLSTM network, which, through particle swarm optimization (PSO), refines hyperparameters, including layer architectures and learning rates, culminating in superior predictive performance. By analyzing temporal-spatial data within financial markets through ConvLSTM, the model captures intricate market patterns, performing better in forecasting than traditional models. Multistep forward simulation experiments and extensive ablation studies using future data from the Shanghai Futures Exchange in China validate the effectiveness of the integrated model. Compared with the gate recurrent unit (GRU), long short-term memory (LSTM), Transformer, and FEDformer, this model exhibits an average reduction of 39.8% in root mean squared error (RMSE), 42.5% in mean absolute error (MAE), 45.6% in mean absolute percentage error (MAPE), and an average increase of 1.96% in coefficient of determination (R2) values. Full article

This paper reviews 17 studies addressing dynamic option hedging in frictional markets through Deep Reinforcement Learning (DRL). Specifically, this work analyzes the DRL models, state and action spaces, reward formulations, data generation processes and results for each study. It is found that policy methods such as DDPG are more commonly employed due to their suitability for continuous action spaces. Despite diverse state space definitions, a lack of consensus exists on variable inclusion, prompting a call for thorough sensitivity analyses. Mean-variance metrics prevail in reward formulations, with episodic return, VaR and CvaR also yielding comparable results. Geometric Brownian motion is the primary data generation process, supplemented by stochastic volatility models like SABR (stochastic alpha, beta, rho) and the Heston model. RL agents, particularly those monitoring transaction costs, consistently outperform the Black–Scholes Delta method in frictional environments. Although consistent results emerge under constant and stochastic volatility scenarios, variations arise when employing real data. The lack of a standardized testing dataset or universal benchmark in the RL hedging space makes it difficult to compare results across different studies. A recommended future direction for this work is an implementation of DRL for hedging American options and an investigation of how DRL performs compared to other numerical American option hedging methods. Full article

The objective is to study the use of non-translation invariant risk measures within the equal risk pricing (ERP) methodology for the valuation of financial derivatives. The ability to move beyond the class of convex risk measures considered in several prior studies provides more flexibility within the pricing scheme. In particular, suitable choices for the risk measure embedded in the ERP framework, such as the semi-mean-square-error (SMSE), are shown herein to alleviate the price inflation phenomenon observed under the tail value at risk-based ERP as documented in previous work. The numerical implementation of non-translation invariant ERP is performed through deep reinforcement learning, where a slight modification is applied to the conventional deep hedging training algorithm so as to enable obtaining a price through a single training run for the two neural networks associated with the respective long and short hedging strategies. The accuracy of the neural network training procedure is shown in simulation experiments not to be materially impacted by such modification of the training algorithm. Full article

Soil amendments with composted organic materials are recommended to increase soil organic matter (SOM) and promote soil fertility. Growing areas of hedged olive groves in the southern Iberia peninsula generate huge amounts of olive leaves, and their potential as an organic soil amendment is not fully studied. An experimental field trial in a hedged olive grove (“Cobrançosa”) was set up near Portalegre, Portugal, to test a compost of olive leaves plus sheep manure (with a ratio of 2:1) when applied in a row at the soil’s surface. Nominal rates of zero, 2.5, and 5.0 kg m⁻² (T0, T1, and T2, respectively) were applied in a complete randomized block setup (three treatments, three replicas, and nine plots), and soil properties of layers between 0–5, 5–15, and 15–30 cm were annually monitored. More expressive results occurred in the soil layer 0–5 cm, and with the dosage T2. After one year, there were significant increases in the total N, carbon of the particulate organic matter, permanganate oxidizable carbon (POX-C), extractable phosphorus, and zinc. After two years, there was 16% more soil organic carbon (SOC), an absolute increase of 0.5 in pHKCl, 1.9 times more extractable phosphorus, and ten times more zinc. The soil’s C-stock in the 0–30 cm layer, after two years of T1 and T2 dosages, was 0.11 and 0.35 kg m⁻² (~3 and ~9%, respectively), which was higher than with T0. POX-C was the most sensitive SOM-related indicator, showing increases of up to 30 cm deep after one year. This compost improved soil fertility but should be monitored over longer periods of time. Full article

The Black–Scholes model assumes that volatility is constant, and the Heston model assumes that volatility is stochastic, while the rough Bergomi (rBergomi) model, which allows rough volatility, can perform better with high-frequency data. However, classical calibration and hedging techniques are difficult to apply under the rBergomi model due to the high cost caused by its non-Markovianity. This paper proposes a gated recurrent unit neural network (GRU-NN) architecture for hedging with different-regularity volatility. One advantage is that the gating network signals embedded in our architecture can control how the present input and previous memory update the current activation. These gates are updated adaptively in the learning process and thus outperform conventional deep learning techniques in a non-Markovian environment. Our numerical results also prove that the rBergomi model outperforms the other two models in hedging. Full article

Accurate localization of hedges in 3D space is a key step in automatic pruning. However, due to the irregularity of the hedge shape, the localization accuracy based on traditional algorithms is poor. In this paper, we propose a deep learning approach based on a bird’s-eye view to overcoming this problem, which we call $HeLoDL$. Specifically, we first project the hedge point cloud top-down as a single image and, then, augment the image with morphological operations and rotation. Finally, we trained a convolutional neural network, $HeLoDL$, based on transfer learning, to regress the center axis and radius of the hedge. In addition, we propose an evaluation metric OIoU that can respond to the radius error, as well as the circle center error in an integrated way. In our test set, $HeLoDL$ achieved an accuracy of 90.44% within the error tolerance, which greatly exceeds the 61.74% of the state-of-the-art algorithm. The average OIoU of $HeLoDL$ is 92.65%; however, the average OIoU of the best conventional algorithm is 83.69%. Extensive experiments demonstrated that $HeLoDL$ shows considerable accuracy in the 3D spatial localization of irregular models. Full article

The Brazilian Power System is mainly composed of renewable generation from hydroelectric and wind. Hence, spot and forward electricity prices tend to represent the inherently stochastic nature of these resources, while risk management is a measure taken by agents, especially hydro power plants (HPPs) to hedge against deep financial losses. A HPP goal is to maximize its profit considering uncertainties in forward electricity prices, spot prices, and generation scaling factor (GSF) for years ahead. Therefore, the objective of this work is to simulate the real decision-making process of a HPP, where they need to have a perspective of the forward market and future spot price assessment to negotiate forward electricity contracts. To do so, the present work models the uncertainty in electricity forward prices via two-stage stochastic programming, assessing the benefits of the stochastic solution in comparison to the deterministic one. In addition, different risk aversion levels are assessed using conditional value at risk (CVaR). An important conclusion is that the results show that the greater the HPP risk aversion is, the greater the energy selling via electricity forward contracts. Moreover, the proposed model has benefits in comparison to a deterministic approach. Full article

Four deep generative methods for time series are studied on commodity markets and compared with classical probabilistic models. The lack of data in the case of deep hedgers is a common flaw, which deep generative methods seek to address. In the specific case of commodities, it turns out that these generators can also be used to refine the price models by tackling the high-dimensional challenges. In this work, the synthetic time series of commodity prices produced by such generators are studied and then used to train deep hedgers on various options. A fully data-driven approach to commodity risk management is thus proposed, from synthetic price generation to learning risk hedging policies. Full article