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Keywords = inter-commodity spread

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21 pages, 8442 KB  
Article
Multi-Step Multidimensional Statistical Arbitrage Prediction Using PSO Deep-ConvLSTM: An Enhanced Approach for Forecasting Price Spreads
by Sensen Tu, Panke Qin, Mingfu Zhu, Zeliang Zeng, Shenjie Cheng and Bo Ye
Appl. Sci. 2024, 14(9), 3798; https://doi.org/10.3390/app14093798 - 29 Apr 2024
Cited by 5 | Viewed by 3097
Abstract
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 [...] Read more.
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 article belongs to the Special Issue Advances in Neural Networks and Deep Learning)
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11 pages, 1148 KB  
Review
Back to the Future: A Glance Over Wolf Social Behavior to Understand Dog–Human Relationship
by Giada Cordoni and Elisabetta Palagi
Animals 2019, 9(11), 991; https://doi.org/10.3390/ani9110991 - 18 Nov 2019
Cited by 24 | Viewed by 14489
Abstract
This review focuses on wolf sociobiology to delineate the traits of cooperative baggage driven by natural selection (wolf-wolf cooperation) and better understand the changes obtained by artificial selection (dog-human cooperation). We selected some behaviors of the dog’s ancestors that provide the basis for [...] Read more.
This review focuses on wolf sociobiology to delineate the traits of cooperative baggage driven by natural selection (wolf-wolf cooperation) and better understand the changes obtained by artificial selection (dog-human cooperation). We selected some behaviors of the dog’s ancestors that provide the basis for the expression of a cooperative society, such as dominance relationships, leverage power, post-aggressive strategies, and playful dynamics between pack members. When possible, we tried to compare the data on wolves with those coming from the dog literature. Wolves can negotiate commodities when the interacting subjects occupy different ranking positions by bargaining social tolerance with helping and support. They are able to manage group disruption by engaging in sophisticated post-conflict maneuvers, thus restoring the relationship between the opponents and reducing the spreading of aggression in the group. Wolves engage in social play also as adults to manipulate social relationships. They are able to flexibly adjust their playful interactions to minimize the risk of escalation. Complex cognitive abilities and communicative skills are probably the main proximate causes for the evolution of inter-specific cooperation in wolves. Full article
(This article belongs to the Special Issue Dog Behaviour, Physiology and Welfare)
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