ICAIF '22: Proceedings of the Third ACM International Conference on AI in Finance
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SESSION: Graph Neural Networks
research-article
Multivariate Realized Volatility Forecasting with Graph Neural Network
Pages 156–164https://doi.org/10.1145/3533271.3561663
Financial economics and econometrics literature demonstrate that the limit order book data is useful in predicting short-term volatility in stock markets. In this paper, we are interested in forecasting short-term realized volatility in a multivariate ...
research-article
Customer-Category Interest Model: A Graph-Based Collaborative Filtering Model with Applications in Finance
- Yue Leng,
- Evangelia Skiani,
- William Peak,
- Ewan Mackie,
- Fuyuan Li,
- Thwisha Charvi,
- Jennifer Law,
- Kieran Daly
Pages 165–173https://doi.org/10.1145/3533271.3561757
The financial domain naturally contains multiple different types of entities such as stocks, product categories, investment participants, intermediaries, and customers, and interactions between these entities. This paper introduces a Graph-based ...
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- Proceedings of the Third ACM International Conference on AI in Finance
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