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Quantitative Finance Volume 16, 2016 - Issue 12: Commodity Markets
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Research Papers

Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities

Charalampos StasinakisUniversity of Glasgow Business School, University of Glasgow, Adam Smith Building, Glasgow, G12 8QQ, UKCorrespondence[email protected]
,
Georgios SermpinisUniversity of Glasgow Business School, University of Glasgow, Adam Smith Building, Glasgow, G12 8QQ, UK
,
Ioannis PsaradellisInstitute for Risk and Uncertainty, University of Liverpool, Liverpool, L69 7ZH, UK
&
Thanos VerousisNewcastle University Business School, Newcastle University, Newcastle, NE1 4SE, UK
Pages 1901-1915 | Received 25 Nov 2015, Accepted 21 Jun 2016, Published online: 14 Sep 2016

Citations (13)

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Afshin Ashrafzadeh, Mohammad Ali Ghorbani, Seyed Mostafa Biazar & Zaher Mundher Yaseen. (2019) Evaporation process modelling over northern Iran: application of an integrative data-intelligence model with the krill herd optimization algorithm. Hydrological Sciences Journal 64:15, pages 1843-1856.
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Yang Zhao, Charalampos Stasinakis, Georgios Sermpinis & Yukun Shi. (2018) Neural network copula portfolio optimization for exchange traded funds. Quantitative Finance 18:5, pages 761-775.
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Articles from other publishers (11)

Kun Duan, Rui Wang, Shun Chen & Lei Ge. (2023) Exploring the predictability of attention mechanism with LSTM: Evidence from EU carbon futures prices. Research in International Business and Finance 66, pages 102020.
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Mingzhe Wei, Georgios Sermpinis & Charalampos Stasinakis. (2022) Forecasting and trading Bitcoin with machine learning techniques and a hybrid volatility/sentiment leverage. Journal of Forecasting 42:4, pages 852-871.
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Flavio Barboza, Geraldo Nunes Silva & José Augusto Fiorucci. (2023) A review of artificial intelligence quality in forecasting asset prices. Journal of Forecasting.
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Mergani Khairalla. (2022) Meta-Heuristic Search Optimization and its application to Time Series Forecasting Model. Intelligent Systems with Applications 16, pages 200142.
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Yixuan Li, Charalampos Stasinakis & Wee Meng Yeo. (2022) A Hybrid XGBoost-MLP Model for Credit Risk Assessment on Digital Supply Chain Finance. Forecasting 4:1, pages 184-207.
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Xin Li, Peng Yi, Wei Wei, Yiming Jiang & Le Tian. (2021) LNNLS-KH: A Feature Selection Method for Network Intrusion Detection. Security and Communication Networks 2021, pages 1-22.
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Erhard Reschenhofer, Manveer Kaur Mangat, Christian Zwatz & Sándor Guzmics. (2019) Evaluation of current research on stock return predictability. Journal of Forecasting 39:2, pages 334-351.
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Filipa Da Silva Fernandes, Charalampos Stasinakis & Zivile Zekaite. (2018) Forecasting government bond spreads with heuristic models: evidence from the Eurozone periphery. Annals of Operations Research 282:1-2, pages 87-118.
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Gai-Ge Wang, Amir H. Gandomi, Amir H. Alavi & Dunwei Gong. (2017) A comprehensive review of krill herd algorithm: variants, hybrids and applications. Artificial Intelligence Review 51:1, pages 119-148.
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Sai Li, Huajing Fang & Xiaoyong Liu. (2018) Parameter optimization of support vector regression based on sine cosine algorithm. Expert Systems with Applications 91, pages 63-77.
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Yang Zhao, Charalampos Stasinakis, Georgios Sermpinis & Yukun Shi. (2016) Neural Network Copula Portfolio Optimization for Exchange Traded Funds. SSRN Electronic Journal.
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