Market Forecasting

Benchmarking Pre-Trained Time Series Models for Electricity Price Forecasting ArXiv ID: 2506.08113 “View on arXiv” Authors: Timothée Hornek Amir Sartipi, Igor Tchappi, Gilbert Fridgen Abstract Accurate electricity price forecasting (EPF) is crucial for effective decision-making in power trading on the spot market. While recent advances in generative artificial intelligence (GenAI) and pre-trained large language models (LLMs) have inspired the development of numerous time series foundation models (TSFMs) for time series forecasting, their effectiveness in EPF remains uncertain. To address this gap, we benchmark several state-of-the-art pretrained models–Chronos-Bolt, Chronos-T5, TimesFM, Moirai, Time-MoE, and TimeGPT–against established statistical and machine learning (ML) methods for EPF. Using 2024 day-ahead auction (DAA) electricity prices from Germany, France, the Netherlands, Austria, and Belgium, we generate daily forecasts with a one-day horizon. Chronos-Bolt and Time-MoE emerge as the strongest among the TSFMs, performing on par with traditional models. However, the biseasonal MSTL model, which captures daily and weekly seasonality, stands out for its consistent performance across countries and evaluation metrics, with no TSFM statistically outperforming it. ...

Predicting risk/reward ratio in financial markets for asset management using machine learning ArXiv ID: 2311.09148 “View on arXiv” Authors: Unknown Abstract Financial market forecasting remains a formidable challenge despite the surge in computational capabilities and machine learning advancements. While numerous studies have underscored the precision of computer-generated market predictions, many of these forecasts fail to yield profitable trading outcomes. This discrepancy often arises from the unpredictable nature of profit and loss ratios in the event of successful and unsuccessful predictions. In this study, we introduce a novel algorithm specifically designed for forecasting the profit and loss outcomes of trading activities. This is further augmented by an innovative approach for integrating these forecasts with previous predictions of market trends. This approach is designed for algorithmic trading, enabling traders to assess the profitability of each trade and calibrate the optimal trade size. Our findings indicate that this method significantly improves the performance of traditional trading strategies as well as algorithmic trading systems, offering a promising avenue for enhancing trading decisions. ...

Financial sentiment analysis using FinBERT with application in predicting stock movement ArXiv ID: 2306.02136 “View on arXiv” Authors: Unknown Abstract In this study, we integrate sentiment analysis within a financial framework by leveraging FinBERT, a fine-tuned BERT model specialized for financial text, to construct an advanced deep learning model based on Long Short-Term Memory (LSTM) networks. Our objective is to forecast financial market trends with greater accuracy. To evaluate our model’s predictive capabilities, we apply it to a comprehensive dataset of stock market news and perform a comparative analysis against standard BERT, standalone LSTM, and the traditional ARIMA models. Our findings indicate that incorporating sentiment analysis significantly enhances the model’s ability to anticipate market fluctuations. Furthermore, we propose a suite of optimization techniques aimed at refining the model’s performance, paving the way for more robust and reliable market prediction tools in the field of AI-driven finance. ...