DC Field | Value | Language |
---|---|---|
dc.contributor.author | Choi, Insu | ko |
dc.contributor.author | Kim, Woo Chang | ko |
dc.date.accessioned | 2024-09-05T11:00:30Z | - |
dc.date.available | 2024-09-05T11:00:30Z | - |
dc.date.created | 2024-08-29 | - |
dc.date.issued | 2024-01 | - |
dc.identifier.citation | ENTROPY, v.26, no.1 | - |
dc.identifier.uri | http://hdl.handle.net/10203/322736 | - |
dc.description.abstract | This study presents a novel approach to predicting price fluctuations for U.S. sector index ETFs. By leveraging information-theoretic measures like mutual information and transfer entropy, we constructed threshold networks highlighting nonlinear dependencies between log returns and trading volume rate changes. We derived centrality measures and node embeddings from these networks, offering unique insights into the ETFs' dynamics. By integrating these features into gradient-boosting algorithm-based models, we significantly enhanced the predictive accuracy. Our approach offers improved forecast performance for U.S. sector index futures and adds a layer of explainability to the existing literature. | - |
dc.language | English | - |
dc.publisher | MDPI | - |
dc.title | Enhancing Exchange-Traded Fund Price Predictions: Insights from Information-Theoretic Networks and Node Embeddings | - |
dc.type | Article | - |
dc.identifier.wosid | 001149150300001 | - |
dc.identifier.scopusid | 2-s2.0-85183146603 | - |
dc.type.rims | ART | - |
dc.citation.volume | 26 | - |
dc.citation.issue | 1 | - |
dc.citation.publicationname | ENTROPY | - |
dc.identifier.doi | 10.3390/e26010070 | - |
dc.contributor.localauthor | Kim, Woo Chang | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | mutual information | - |
dc.subject.keywordAuthor | transfer entropy | - |
dc.subject.keywordAuthor | machine learning | - |
dc.subject.keywordAuthor | node embedding | - |
dc.subject.keywordAuthor | centrality measure | - |
dc.subject.keywordAuthor | explainable artificial intelligence (xAI) | - |
dc.subject.keywordPlus | STOCK MARKETS | - |
dc.subject.keywordPlus | CENTRALITY | - |
dc.subject.keywordPlus | VOLATILITY | - |
dc.subject.keywordPlus | DEPENDENCE | - |
dc.subject.keywordPlus | ENTROPY | - |
dc.subject.keywordPlus | SPILLOVERS | - |
dc.subject.keywordPlus | ALGORITHM | - |
dc.subject.keywordPlus | COMMODITY | - |
dc.subject.keywordPlus | VARIANTS | - |
dc.subject.keywordPlus | EQUITY | - |
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